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 (10m 25d)
Returns
| Portfolio | -11.05% |
| Benchmark | -10.43% |
Risk (annualized)
| Portfolio | 8.34% |
| Benchmark | 10.18% |
Sharpe (annualized)
| Portfolio | -2.07 |
| Benchmark | -1.60 |
Excess Return
| -0.62% |
Tracking Error (annualized)
| 6.19% |
Information Ratio
| -0.11 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 10.14% | 11.71% |
| Sortino Ratio | -1.70 | -1.39 |
| Calmar Ratio | -1.45 | -1.04 |
| Ulcer Index | 14.98 | 14.48 |
| Max Drawdown | 11.91% | 15.60% |
| VaR (99% Confidence) | $-1,935 | $-2,363 |
| VaR (99.9% Confidence) | $-2,571 | $-3,140 |
| Beta to Benchmark | 0.65 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 1.10 |
Skew
| -0.82 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Credit Factor | 0.2772 | 0.2772 |
| Duration Factor | -0.1071 | -0.1071 |
| High Beta (Low Beta) | 0.0656 | 0.0656 |
| Inflation Factor | 0.4004 | 0.4004 |
| Market Factor | 0.1956 | 0.1956 |
| U.S. Tilt (Non U.S.) | -0.0284 | -0.0284 |
| Yield Curve Factor | -0.1017 | -0.1017 |
Adjusted R2
| Portfolio | 0.39 |
| Benchmark | 0.42 |
Intercept
| Portfolio | -0.00 |
| Benchmark | -0.00 |