Managed Futures ETFs
Specification
Policy
Rebalancing Interval | Quarterly |
---|---|
Weights Algorithm | Equal Weights |
Assets
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 (6m 19d)
Returns
Portfolio | -5.23% |
Benchmark | -8.70% |
Risk (annualized)
Portfolio | 7.78% |
Benchmark | 10.61% |
Sharpe (annualized)
Portfolio | -1.79 |
Benchmark | -1.91 |
Excess Return
3.47% |
Tracking Error (annualized)
6.23% |
Information Ratio
0.94 |
Statistic | Portfolio | Benchmark |
---|---|---|
Downside Volatility | 9.20% | 12.84% |
Sortino Ratio | -1.52 | -1.58 |
Calmar Ratio | -1.70 | -1.65 |
Ulcer Index | 15.08 | 14.76 |
Max Drawdown | 8.21% | 12.30% |
VaR (99% Confidence) | $-1,802 | $-2,459 |
VaR (99.9% Confidence) | $-2,394 | $-3,267 |
Beta to Benchmark | 0.60 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
0.56 |
Skew
-0.74 |
Data Table
Factor | Portfolio | Benchmark |
---|---|---|
Credit Factor | 0.2375 | 0.2375 |
Duration Factor | -0.1187 | -0.1187 |
High Beta (Low Beta) | 0.0176 | 0.0176 |
Inflation Factor | 0.1557 | 0.1557 |
Market Factor | 0.3773 | 0.3773 |
U.S. Tilt (Non U.S.) | -0.0152 | -0.0152 |
Yield Curve Factor | -0.0493 | -0.0493 |
Adjusted R2
Portfolio | 0.46 |
Benchmark | 0.53 |
Intercept
Portfolio | -0.00 |
Benchmark | -0.00 |