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 trend strategy is a model only and attempts to strip out other long overlays.

Policy Report

Backtest Report

From to (10m 2d)

Returns

Portfolio -7.56%
Benchmark -10.50%

Risk (annualized)

Portfolio 7.86%
Benchmark 10.09%

Sharpe (annualized)

Portfolio -1.74
Benchmark -1.72

Excess Return

2.94%

Tracking Error (annualized)

5.98%

Information Ratio

0.58
Statistic Portfolio Benchmark
Downside Volatility 9.32% 11.97%
Sortino Ratio -1.47 -1.45
Calmar Ratio -1.57 -1.14
Ulcer Index 15.04 14.55
Max Drawdown 8.72% 15.27%
VaR (99% Confidence) $-1,824 $-2,342
VaR (99.9% Confidence) $-2,423 $-3,112
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

0.37

Skew

-0.62
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Credit Factor 0.4254 0.4254
Duration Factor -0.0749 -0.0749
High Beta (Low Beta) 0.0714 0.0714
Inflation Factor 0.4486 0.4486
Market Factor 0.2329 0.2329
U.S. Tilt (Non U.S.) 0.0123 0.0123
Yield Curve Factor -0.0530 -0.0530

Adjusted R2

Portfolio 0.38
Benchmark 0.44

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution