Managed Futures ETFs
Specification
Policy
| Rebalancing Interval | Quarterly |
|---|---|
| Weights Algorithm | Equal Weights |
Assets
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 (9m 19d)
Returns
| Portfolio | -7.61% |
| Benchmark | -10.64% |
Risk (annualized)
| Portfolio | 7.94% |
| Benchmark | 10.24% |
Sharpe (annualized)
| Portfolio | -1.77 |
| Benchmark | -1.76 |
Excess Return
| 3.03% |
Tracking Error (annualized)
| 6.04% |
Information Ratio
| 0.61 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 9.42% | 12.07% |
| Sortino Ratio | -1.49 | -1.49 |
| Calmar Ratio | -1.61 | -1.18 |
| Ulcer Index | 15.05 | 14.57 |
| Max Drawdown | 8.72% | 15.27% |
| VaR (99% Confidence) | $-1,842 | $-2,376 |
| VaR (99.9% Confidence) | $-2,447 | $-3,157 |
| 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
| 0.33 |
Skew
| -0.62 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Credit Factor | 0.4078 | 0.4078 |
| Duration Factor | -0.1143 | -0.1143 |
| High Beta (Low Beta) | 0.0684 | 0.0684 |
| Inflation Factor | 0.3975 | 0.3975 |
| Market Factor | 0.2481 | 0.2481 |
| U.S. Tilt (Non U.S.) | 0.0231 | 0.0231 |
| Yield Curve Factor | -0.0405 | -0.0405 |
Adjusted R2
| Portfolio | 0.39 |
| Benchmark | 0.46 |
Intercept
| Portfolio | -0.00 |
| Benchmark | -0.00 |