Managed Futures ETFs
Portfolio Specification
Assets
Policy
| Rebalancing Interval | Quarterly |
|---|---|
| Weights Algorithm | Equal Weights |
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 18d)
Returns (annualized)
| Portfolio | -7.57% |
| Benchmark | -7.34% |
Risk (annualized)
| Portfolio | 7.83% |
| Benchmark | 9.40% |
Sharpe (annualized)
| Portfolio | -1.54 |
| Benchmark | -1.24 |
Excess Return (annualized)
| -0.23% |
Tracking Error (annualized)
| 6.13% |
Information Ratio
| -0.04 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 9.45% | 10.76% |
| Sortino Ratio | -1.27 | -1.08 |
| Calmar Ratio | -1.01 | -0.75 |
| Ulcer Index | 14.83 | 14.36 |
| Max Drawdown | 11.91% | 15.60% |
| VaR (99% Confidence) | $-1,818 | $-2,183 |
| VaR (99.9% Confidence) | $-2,416 | $-2,900 |
| Beta to Benchmark | 0.63 | 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
| -0.85 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Credit Factor | 0.1614 | 0.1614 |
| Duration Factor | -0.0303 | -0.0303 |
| High Beta (Low Beta) | 0.0611 | 0.0611 |
| Inflation Factor | 0.4941 | 0.4941 |
| Market Factor | 0.2127 | 0.2127 |
| U.S. Tilt (Non U.S.) | -0.0700 | -0.0700 |
| Yield Curve Factor | -0.0979 | -0.0979 |
Adjusted R2
| Portfolio | 0.35 |
| Benchmark | 0.34 |
Intercept
| Portfolio | -0.00 |
| Benchmark | -0.00 |