Managed Futures ETFs

Portfolio Specification

Portfolio Description

A list of trend following/managed futures strategies available in ETF vehicles. ReturnStacked trend strategy is a model only and attempts to strip out other long overlays.

Policy Report

Backtest Report

From to (1y 1m 11d)

Returns (annualized)

Portfolio -7.35%
Benchmark -7.56%

Risk (annualized)

Portfolio 7.86%
Benchmark 9.47%

Sharpe (annualized)

Portfolio -1.50
Benchmark -1.25

Excess Return (annualized)

0.21%

Tracking Error (annualized)

6.11%

Information Ratio

0.03
Statistic Portfolio Benchmark
Downside Volatility 9.53% 10.82%
Sortino Ratio -1.24 -1.10
Calmar Ratio -0.99 -0.76
Ulcer Index 14.83 14.37
Max Drawdown 11.91% 15.60%
VaR (99% Confidence) $-1,826 $-2,198
VaR (99.9% Confidence) $-2,425 $-2,919
Beta to Benchmark 0.64 N/A

Value at Risk (VaR) is calculated off a $10,000 portfolio value.

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

1.46

Skew

-0.86
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Credit Factor 0.1481 0.1481
Duration Factor -0.0303 -0.0303
High Beta (Low Beta) 0.0599 0.0599
Inflation Factor 0.4968 0.4968
Market Factor 0.2146 0.2146
U.S. Tilt (Non U.S.) -0.0699 -0.0699
Yield Curve Factor -0.0982 -0.0982

Adjusted R2

Portfolio 0.35
Benchmark 0.34

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution