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 26d)
Returns (annualized)
| Portfolio | -3.64% |
| Benchmark | -2.29% |
Risk (annualized)
| Portfolio | 7.82% |
| Benchmark | 9.11% |
Sharpe (annualized)
| Portfolio | -1.00 |
| Benchmark | -0.69 |
Excess Return (annualized)
| -1.35% |
Tracking Error (annualized)
| 5.96% |
Information Ratio
| -0.23 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 9.23% | 10.15% |
| Sortino Ratio | -0.84 | -0.62 |
| Calmar Ratio | -0.65 | -0.40 |
| Ulcer Index | 14.81 | 14.37 |
| Max Drawdown | 11.91% | 15.60% |
| VaR (99% Confidence) | $-1,815 | $-2,116 |
| VaR (99.9% Confidence) | $-2,412 | $-2,811 |
| 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
| 1.42 |
Skew
| -0.79 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Credit Factor | 0.0925 | 0.3279 | -0.2353 |
| Duration Factor | -0.0265 | -0.0571 | 0.0306 |
| High Beta (Low Beta) | 0.0585 | 0.0734 | -0.0149 |
| Inflation Factor | 0.4995 | 0.6921 | -0.1925 |
| Market Factor | 0.2432 | 0.2218 | 0.0215 |
| U.S. Tilt (Non U.S.) | -0.0958 | -0.1092 | 0.0134 |
| Yield Curve Factor | -0.0783 | -0.1051 | 0.0268 |
Adjusted R2
| Portfolio | 0.36 |
| Benchmark | 0.34 |
Intercept
| Portfolio | -0.00 |
| Benchmark | -0.00 |