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 11m 8d)
Returns (annualized)
| Portfolio | 6.43% |
| Benchmark | 7.41% |
Risk (annualized)
| Portfolio | 9.23% |
| Benchmark | 11.24% |
Sharpe (annualized)
| Portfolio | 0.27 |
| Benchmark | 0.32 |
Excess Return (annualized)
| -0.98% |
Tracking Error (annualized)
| 6.47% |
Information Ratio
| -0.15 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 10.75% | 12.31% |
| Sortino Ratio | 0.23 | 0.30 |
| Calmar Ratio | 0.21 | 0.23 |
| Ulcer Index | 15.09 | 14.77 |
| Max Drawdown | 11.91% | 15.60% |
| VaR (99% Confidence) | $-2,145 | $-2,613 |
| VaR (99.9% Confidence) | $-2,849 | $-3,471 |
| Beta to Benchmark | 0.67 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 3.24 |
Skew
| -0.82 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Credit Factor | -0.0685 | 0.0064 | -0.0749 |
| Duration Factor | 0.0538 | 0.0531 | 0.0007 |
| High Beta (Low Beta) | 0.0729 | 0.0966 | -0.0237 |
| Inflation Factor | 0.8958 | 1.1274 | -0.2316 |
| Market Factor | 0.2492 | 0.2690 | -0.0199 |
| U.S. Tilt (Non U.S.) | -0.1180 | -0.1827 | 0.0647 |
| Yield Curve Factor | -0.0372 | -0.0599 | 0.0228 |
Adjusted R2
| Portfolio | 0.29 |
| Benchmark | 0.28 |
Intercept
| Portfolio | -0.00 |
| Benchmark | -0.00 |