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 23d)
Returns
| Portfolio | -10.96% |
| Benchmark | -10.61% |
Risk (annualized)
| Portfolio | 8.36% |
| Benchmark | 10.22% |
Sharpe (annualized)
| Portfolio | -2.06 |
| Benchmark | -1.63 |
Excess Return
| -0.35% |
Tracking Error (annualized)
| 6.21% |
Information Ratio
| -0.06 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 10.18% | 11.76% |
| Sortino Ratio | -1.69 | -1.41 |
| Calmar Ratio | -1.45 | -1.06 |
| Ulcer Index | 14.99 | 14.49 |
| Max Drawdown | 11.91% | 15.60% |
| VaR (99% Confidence) | $-1,941 | $-2,372 |
| VaR (99.9% Confidence) | $-2,578 | $-3,151 |
| 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
| 1.09 |
Skew
| -0.82 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Credit Factor | 0.2871 | 0.2871 |
| Duration Factor | -0.0796 | -0.0796 |
| High Beta (Low Beta) | 0.0757 | 0.0757 |
| Inflation Factor | 0.4359 | 0.4359 |
| Market Factor | 0.1913 | 0.1913 |
| U.S. Tilt (Non U.S.) | -0.0241 | -0.0241 |
| Yield Curve Factor | -0.0971 | -0.0971 |
Adjusted R2
| Portfolio | 0.39 |
| Benchmark | 0.42 |
Intercept
| Portfolio | -0.00 |
| Benchmark | -0.00 |