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 3m 3d)
Returns (annualized)
| Portfolio | -5.57% |
| Benchmark | -5.95% |
Risk (annualized)
| Portfolio | 7.91% |
| Benchmark | 9.21% |
Sharpe (annualized)
| Portfolio | -1.24 |
| Benchmark | -1.10 |
Excess Return (annualized)
| 0.38% |
Tracking Error (annualized)
| 6.00% |
Information Ratio
| 0.06 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 9.42% | 10.31% |
| Sortino Ratio | -1.05 | -0.98 |
| Calmar Ratio | -0.83 | -0.65 |
| Ulcer Index | 14.80 | 14.35 |
| Max Drawdown | 11.91% | 15.60% |
| VaR (99% Confidence) | $-1,837 | $-2,139 |
| VaR (99.9% Confidence) | $-2,441 | $-2,841 |
| Beta to Benchmark | 0.66 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 1.35 |
Skew
| -0.78 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Credit Factor | 0.1128 | 0.3307 | -0.2179 |
| Duration Factor | -0.0229 | -0.0749 | 0.0520 |
| High Beta (Low Beta) | 0.0530 | 0.0679 | -0.0149 |
| Inflation Factor | 0.5314 | 0.7272 | -0.1958 |
| Market Factor | 0.2371 | 0.2172 | 0.0199 |
| U.S. Tilt (Non U.S.) | -0.0937 | -0.1006 | 0.0069 |
| Yield Curve Factor | -0.0830 | -0.1233 | 0.0403 |
Adjusted R2
| Portfolio | 0.36 |
| Benchmark | 0.35 |
Intercept
| Portfolio | -0.00 |
| Benchmark | -0.00 |