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 (1y 11m 29d)
Returns (annualized)
| Portfolio | 6.06% |
| Benchmark | 7.74% |
Risk (annualized)
| Portfolio | 9.21% |
| Benchmark | 11.14% |
Sharpe (annualized)
| Portfolio | 0.24 |
| Benchmark | 0.35 |
Excess Return (annualized)
| -1.68% |
Tracking Error (annualized)
| 6.45% |
Information Ratio
| -0.26 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 10.54% | 12.20% |
| Sortino Ratio | 0.21 | 0.32 |
| Calmar Ratio | 0.18 | 0.25 |
| Ulcer Index | 15.10 | 14.80 |
| Max Drawdown | 11.91% | 15.60% |
| VaR (99% Confidence) | $-2,140 | $-2,588 |
| VaR (99.9% Confidence) | $-2,843 | $-3,438 |
| Beta to Benchmark | 0.67 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 3.19 |
Skew
| -0.78 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Credit Factor | -0.0655 | -0.0019 | -0.0636 |
| Duration Factor | 0.0289 | 0.0291 | -0.0002 |
| High Beta (Low Beta) | 0.0551 | 0.0821 | -0.0270 |
| Inflation Factor | 0.9038 | 1.1291 | -0.2253 |
| Market Factor | 0.2491 | 0.2709 | -0.0218 |
| U.S. Tilt (Non U.S.) | -0.1059 | -0.1750 | 0.0691 |
| Yield Curve Factor | -0.0327 | -0.0530 | 0.0203 |
Adjusted R2
| Portfolio | 0.28 |
| Benchmark | 0.27 |
Intercept
| Portfolio | -0.00 |
| Benchmark | -0.00 |