Managed Futures ETFs
Portfolio Specification
Assets
Policy
| Rebalancing Interval | Quarterly |
|---|---|
| Weights Algorithm | Equal Weights |
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 4d)
Returns (annualized)
| Portfolio | -10.75% |
| Benchmark | -10.50% |
Risk (annualized)
| Portfolio | 8.01% |
| Benchmark | 9.84% |
Sharpe (annualized)
| Portfolio | -1.94 |
| Benchmark | -1.53 |
Excess Return (annualized)
| -0.25% |
Tracking Error (annualized)
| 6.07% |
Information Ratio
| -0.04 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 9.71% | 11.13% |
| Sortino Ratio | -1.60 | -1.36 |
| Calmar Ratio | -1.30 | -0.97 |
| Ulcer Index | 14.89 | 14.41 |
| Max Drawdown | 11.91% | 15.60% |
| VaR (99% Confidence) | $-1,859 | $-2,283 |
| VaR (99.9% Confidence) | $-2,469 | $-3,033 |
| Beta to Benchmark | 0.64 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 1.37 |
Skew
| -0.85 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Credit Factor | 0.2015 | 0.2015 |
| Duration Factor | -0.0290 | -0.0290 |
| High Beta (Low Beta) | 0.0540 | 0.0540 |
| Inflation Factor | 0.5391 | 0.5391 |
| Market Factor | 0.2001 | 0.2001 |
| U.S. Tilt (Non U.S.) | -0.0580 | -0.0580 |
| Yield Curve Factor | -0.1106 | -0.1106 |
Adjusted R2
| Portfolio | 0.36 |
| Benchmark | 0.37 |
Intercept
| Portfolio | -0.00 |
| Benchmark | -0.00 |