Managed Futures ETFs

Specification

Benchmark
iMGP DBi Managed Futures Strategy ETF (DBMF)

Description

A list of trend following/managed futures strategies available in ETF vehicles. ReturnStacked and Standpoint trend strategies are models only and have attempted to strip out other long overlays.

Policy Report

Backtest Report

From to (8m 10d)

Returns

Portfolio 6.76%
Benchmark 9.76%

Risk (annualized)

Portfolio 8.58%
Benchmark 11.06%

Sharpe (annualized)

Portfolio 0.53
Benchmark 0.79

Excess Return

-2.99%

Tracking Error (annualized)

5.90%

Risk Free Rate

3.70%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

1.33

Skew

-0.62
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Credit Factor -0.4666 -0.4666
Duration Factor -0.5440 -0.5440
High Beta (Low Beta) -0.0177 -0.0177
Inflation Factor 0.3083 0.3083
Market Factor 0.2212 0.2212
U.S. Tilt (Non U.S.) 0.1513 0.1513
Yield Curve Factor 0.0949 0.0949

Adjusted R2

Portfolio 0.41
Benchmark 0.40

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution