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 8m 13d)
Returns (annualized)
| Portfolio | 3.21% |
| Benchmark | 7.12% |
Risk (annualized)
| Portfolio | 9.14% |
| Benchmark | 10.88% |
Sharpe (annualized)
| Portfolio | -0.07 |
| Benchmark | 0.30 |
Excess Return (annualized)
| -3.91% |
Tracking Error (annualized)
| 6.27% |
Information Ratio
| -0.62 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 10.53% | 11.57% |
| Sortino Ratio | -0.06 | 0.28 |
| Calmar Ratio | -0.05 | 0.21 |
| Ulcer Index | 15.00 | 14.67 |
| Max Drawdown | 11.91% | 15.60% |
| VaR (99% Confidence) | $-2,123 | $-2,527 |
| VaR (99.9% Confidence) | $-2,820 | $-3,357 |
| Beta to Benchmark | 0.69 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 3.64 |
Skew
| -0.80 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Credit Factor | -0.1318 | 0.0579 | -0.1897 |
| Duration Factor | -0.0020 | -0.0266 | 0.0246 |
| High Beta (Low Beta) | 0.1003 | 0.1325 | -0.0322 |
| Inflation Factor | 0.5677 | 0.7747 | -0.2070 |
| Market Factor | 0.3294 | 0.3265 | 0.0029 |
| U.S. Tilt (Non U.S.) | -0.1813 | -0.2116 | 0.0303 |
| Yield Curve Factor | -0.0475 | -0.0881 | 0.0406 |
Adjusted R2
| Portfolio | 0.39 |
| Benchmark | 0.36 |
Intercept
| Portfolio | -0.00 |
| Benchmark | -0.00 |