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 (9m 26d)
Returns
| Portfolio | -7.52% |
| Benchmark | -10.43% |
Risk (annualized)
| Portfolio | 7.90% |
| Benchmark | 10.14% |
Sharpe (annualized)
| Portfolio | -1.74 |
| Benchmark | -1.71 |
Excess Return
| 2.91% |
Tracking Error (annualized)
| 6.01% |
Information Ratio
| 0.58 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 9.36% | 12.02% |
| Sortino Ratio | -1.46 | -1.45 |
| Calmar Ratio | -1.57 | -1.14 |
| Ulcer Index | 15.04 | 14.56 |
| Max Drawdown | 8.72% | 15.27% |
| VaR (99% Confidence) | $-1,832 | $-2,352 |
| VaR (99.9% Confidence) | $-2,434 | $-3,124 |
| 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
| 0.34 |
Skew
| -0.62 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Credit Factor | 0.4286 | 0.4286 |
| Duration Factor | -0.0730 | -0.0730 |
| High Beta (Low Beta) | 0.0710 | 0.0710 |
| Inflation Factor | 0.4606 | 0.4606 |
| Market Factor | 0.2320 | 0.2320 |
| U.S. Tilt (Non U.S.) | 0.0118 | 0.0118 |
| Yield Curve Factor | -0.0545 | -0.0545 |
Adjusted R2
| Portfolio | 0.38 |
| Benchmark | 0.45 |
Intercept
| Portfolio | -0.00 |
| Benchmark | -0.00 |