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 7m 23d)
Returns (annualized)
| Portfolio | 3.21% |
| Benchmark | 5.93% |
Risk (annualized)
| Portfolio | 8.35% |
| Benchmark | 9.99% |
Sharpe (annualized)
| Portfolio | -0.09 |
| Benchmark | 0.20 |
Excess Return (annualized)
| -2.72% |
Tracking Error (annualized)
| 6.13% |
Information Ratio
| -0.44 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 9.39% | 10.80% |
| Sortino Ratio | -0.08 | 0.19 |
| Calmar Ratio | -0.06 | 0.13 |
| Ulcer Index | 14.97 | 14.63 |
| Max Drawdown | 11.91% | 15.60% |
| VaR (99% Confidence) | $-1,940 | $-2,321 |
| VaR (99.9% Confidence) | $-2,577 | $-3,083 |
| Beta to Benchmark | 0.66 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 1.45 |
Skew
| -0.45 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Credit Factor | 0.0511 | 0.2695 | -0.2183 |
| Duration Factor | -0.0241 | -0.0647 | 0.0405 |
| High Beta (Low Beta) | 0.0712 | 0.1009 | -0.0297 |
| Inflation Factor | 0.4878 | 0.6625 | -0.1747 |
| Market Factor | 0.2906 | 0.2795 | 0.0111 |
| U.S. Tilt (Non U.S.) | -0.1336 | -0.1490 | 0.0155 |
| Yield Curve Factor | -0.0793 | -0.1194 | 0.0400 |
Adjusted R2
| Portfolio | 0.38 |
| Benchmark | 0.35 |
Intercept
| Portfolio | -0.00 |
| Benchmark | -0.00 |