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 9m 4d)
Returns (annualized)
| Portfolio | 4.42% |
| Benchmark | 8.18% |
Risk (annualized)
| Portfolio | 9.21% |
| Benchmark | 11.23% |
Sharpe (annualized)
| Portfolio | 0.06 |
| Benchmark | 0.38 |
Excess Return (annualized)
| -3.75% |
Tracking Error (annualized)
| 6.46% |
Information Ratio
| -0.58 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 10.68% | 12.04% |
| Sortino Ratio | 0.05 | 0.36 |
| Calmar Ratio | 0.05 | 0.28 |
| Ulcer Index | 15.02 | 14.71 |
| Max Drawdown | 11.91% | 15.60% |
| VaR (99% Confidence) | $-2,140 | $-2,610 |
| VaR (99.9% Confidence) | $-2,843 | $-3,467 |
| 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
| 3.58 |
Skew
| -0.84 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Credit Factor | -0.1816 | -0.1188 | -0.0628 |
| Duration Factor | -0.0120 | -0.0205 | 0.0085 |
| High Beta (Low Beta) | 0.0934 | 0.1206 | -0.0272 |
| Inflation Factor | 0.5468 | 0.8008 | -0.2541 |
| Market Factor | 0.3444 | 0.3705 | -0.0262 |
| U.S. Tilt (Non U.S.) | -0.1913 | -0.2549 | 0.0636 |
| Yield Curve Factor | -0.0440 | -0.0768 | 0.0328 |
Adjusted R2
| Portfolio | 0.39 |
| Benchmark | 0.36 |
Intercept
| Portfolio | -0.00 |
| Benchmark | -0.00 |