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 25d)
Returns (annualized)
| Portfolio | 4.00% |
| Benchmark | 6.78% |
Risk (annualized)
| Portfolio | 9.26% |
| Benchmark | 11.32% |
Sharpe (annualized)
| Portfolio | 0.02 |
| Benchmark | 0.27 |
Excess Return (annualized)
| -2.78% |
Tracking Error (annualized)
| 6.48% |
Information Ratio
| -0.43 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 10.77% | 12.21% |
| Sortino Ratio | 0.02 | 0.25 |
| Calmar Ratio | 0.01 | 0.19 |
| Ulcer Index | 15.04 | 14.73 |
| Max Drawdown | 11.91% | 15.60% |
| VaR (99% Confidence) | $-2,152 | $-2,629 |
| VaR (99.9% Confidence) | $-2,859 | $-3,493 |
| 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
| 3.34 |
Skew
| -0.82 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Credit Factor | -0.2103 | -0.1455 | -0.0648 |
| Duration Factor | 0.0005 | 0.0119 | -0.0114 |
| High Beta (Low Beta) | 0.0876 | 0.1112 | -0.0236 |
| Inflation Factor | 0.6848 | 0.9273 | -0.2426 |
| Market Factor | 0.3206 | 0.3584 | -0.0379 |
| U.S. Tilt (Non U.S.) | -0.1731 | -0.2466 | 0.0734 |
| Yield Curve Factor | -0.0395 | -0.0775 | 0.0380 |
Adjusted R2
| Portfolio | 0.36 |
| Benchmark | 0.35 |
Intercept
| Portfolio | -0.00 |
| Benchmark | -0.00 |