Managed Futures ETFs
Portfolio Specification
Assets
Policy
| Rebalancing Interval | Quarterly |
|---|---|
| Weights Algorithm | Equal Weights |
This portfolio is listed on the Community Portfolios page.
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 (2y 1m 29d)
Returns (annualized)
| Portfolio | 4.67% |
| Benchmark | 7.43% |
Risk (annualized)
| Portfolio | 9.42% |
| Benchmark | 11.05% |
Sharpe (annualized)
| Portfolio | 0.10 |
| Benchmark | 0.33 |
Excess Return (annualized)
| -2.76% |
Tracking Error (annualized)
| 6.39% |
Information Ratio
| -0.43 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 10.83% | 12.13% |
| Sortino Ratio | 0.08 | 0.30 |
| Calmar Ratio | 0.08 | 0.24 |
| Ulcer Index | 15.11 | 14.86 |
| Max Drawdown | 11.91% | 15.60% |
| VaR (99% Confidence) | $-2,189 | $-2,568 |
| VaR (99.9% Confidence) | $-2,908 | $-3,411 |
| Beta to Benchmark | 0.70 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 2.85 |
Skew
| -0.78 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Credit Factor | -0.0956 | -0.0257 | -0.0699 |
| Duration Factor | 0.0184 | 0.0019 | 0.0165 |
| High Beta (Low Beta) | 0.0788 | 0.0855 | -0.0066 |
| Inflation Factor | 0.9774 | 1.1219 | -0.1445 |
| Market Factor | 0.2419 | 0.2652 | -0.0233 |
| U.S. Tilt (Non U.S.) | -0.1281 | -0.1742 | 0.0461 |
| Yield Curve Factor | -0.0227 | -0.0352 | 0.0125 |
Adjusted R2
| Portfolio | 0.31 |
| Benchmark | 0.29 |
Intercept
| Portfolio | -0.00 |
| Benchmark | -0.00 |