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 4m 16d)
Returns (annualized)
| Portfolio | -0.69% |
| Benchmark | 1.12% |
Risk (annualized)
| Portfolio | 8.13% |
| Benchmark | 10.05% |
Sharpe (annualized)
| Portfolio | -0.58 |
| Benchmark | -0.27 |
Excess Return (annualized)
| -1.81% |
Tracking Error (annualized)
| 6.24% |
Information Ratio
| -0.29 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 9.40% | 11.15% |
| Sortino Ratio | -0.50 | -0.25 |
| Calmar Ratio | -0.40 | -0.18 |
| Ulcer Index | 14.84 | 14.41 |
| Max Drawdown | 11.91% | 15.60% |
| VaR (99% Confidence) | $-1,888 | $-2,333 |
| VaR (99.9% Confidence) | $-2,509 | $-3,100 |
| Beta to Benchmark | 0.63 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 1.81 |
Skew
| -0.61 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Credit Factor | 0.0986 | 0.3278 | -0.2291 |
| Duration Factor | -0.0216 | -0.0621 | 0.0406 |
| High Beta (Low Beta) | 0.0703 | 0.1087 | -0.0383 |
| Inflation Factor | 0.5457 | 0.7452 | -0.1995 |
| Market Factor | 0.2538 | 0.2482 | 0.0056 |
| U.S. Tilt (Non U.S.) | -0.1085 | -0.1358 | 0.0274 |
| Yield Curve Factor | -0.0896 | -0.1356 | 0.0460 |
Adjusted R2
| Portfolio | 0.38 |
| Benchmark | 0.36 |
Intercept
| Portfolio | -0.00 |
| Benchmark | -0.00 |