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 28d)
Returns (annualized)
| Portfolio | -9.47% |
| Benchmark | -7.97% |
Risk (annualized)
| Portfolio | 7.91% |
| Benchmark | 9.61% |
Sharpe (annualized)
| Portfolio | -1.78 |
| Benchmark | -1.28 |
Excess Return (annualized)
| -1.49% |
Tracking Error (annualized)
| 6.14% |
Information Ratio
| -0.24 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 9.56% | 10.93% |
| Sortino Ratio | -1.47 | -1.13 |
| Calmar Ratio | -1.18 | -0.79 |
| Ulcer Index | 14.85 | 14.38 |
| Max Drawdown | 11.91% | 15.60% |
| VaR (99% Confidence) | $-1,837 | $-2,230 |
| VaR (99.9% Confidence) | $-2,440 | $-2,963 |
| 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
| 1.41 |
Skew
| -0.84 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Credit Factor | 0.1687 | 0.1687 |
| Duration Factor | -0.0371 | -0.0371 |
| High Beta (Low Beta) | 0.0564 | 0.0564 |
| Inflation Factor | 0.4818 | 0.4818 |
| Market Factor | 0.2130 | 0.2130 |
| U.S. Tilt (Non U.S.) | -0.0666 | -0.0666 |
| Yield Curve Factor | -0.1037 | -0.1037 |
Adjusted R2
| Portfolio | 0.35 |
| Benchmark | 0.34 |
Intercept
| Portfolio | -0.00 |
| Benchmark | -0.00 |