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 (7m 17d)
Returns
| Portfolio | -4.17% |
| Benchmark | -6.46% |
Risk (annualized)
| Portfolio | 7.65% |
| Benchmark | 10.33% |
Sharpe (annualized)
| Portfolio | -1.45 |
| Benchmark | -1.42 |
Excess Return
| 2.29% |
Tracking Error (annualized)
| 6.13% |
Information Ratio
| 0.57 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 9.03% | 12.34% |
| Sortino Ratio | -1.23 | -1.19 |
| Calmar Ratio | -1.35 | -1.20 |
| Ulcer Index | 15.08 | 14.70 |
| Max Drawdown | 8.21% | 12.30% |
| VaR (99% Confidence) | $-1,773 | $-2,396 |
| VaR (99.9% Confidence) | $-2,356 | $-3,183 |
| Beta to Benchmark | 0.60 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 0.58 |
Skew
| -0.72 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Credit Factor | 0.3881 | 0.3881 |
| Duration Factor | -0.0804 | -0.0804 |
| High Beta (Low Beta) | 0.0316 | 0.0316 |
| Inflation Factor | 0.2995 | 0.2995 |
| Market Factor | 0.3157 | 0.3157 |
| U.S. Tilt (Non U.S.) | -0.0111 | -0.0111 |
| Yield Curve Factor | -0.0085 | -0.0085 |
Adjusted R2
| Portfolio | 0.41 |
| Benchmark | 0.47 |
Intercept
| Portfolio | -0.00 |
| Benchmark | -0.00 |