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 10m 21d)
Returns (annualized)
| Portfolio | 4.91% |
| Benchmark | 6.66% |
Risk (annualized)
| Portfolio | 9.29% |
| Benchmark | 11.24% |
Sharpe (annualized)
| Portfolio | 0.11 |
| Benchmark | 0.26 |
Excess Return (annualized)
| -1.76% |
Tracking Error (annualized)
| 6.44% |
Information Ratio
| -0.27 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 10.82% | 12.19% |
| Sortino Ratio | 0.10 | 0.24 |
| Calmar Ratio | 0.09 | 0.19 |
| Ulcer Index | 15.06 | 14.75 |
| Max Drawdown | 11.91% | 15.60% |
| VaR (99% Confidence) | $-2,158 | $-2,613 |
| VaR (99.9% Confidence) | $-2,866 | $-3,471 |
| Beta to Benchmark | 0.68 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 3.22 |
Skew
| -0.81 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Credit Factor | -0.1155 | -0.0865 | -0.0291 |
| Duration Factor | 0.0603 | 0.0602 | 0.0000 |
| High Beta (Low Beta) | 0.0833 | 0.1077 | -0.0244 |
| Inflation Factor | 0.8463 | 1.0749 | -0.2286 |
| Market Factor | 0.2702 | 0.3083 | -0.0381 |
| U.S. Tilt (Non U.S.) | -0.1412 | -0.2204 | 0.0792 |
| Yield Curve Factor | -0.0425 | -0.0704 | 0.0279 |
Adjusted R2
| Portfolio | 0.31 |
| Benchmark | 0.31 |
Intercept
| Portfolio | -0.00 |
| Benchmark | -0.00 |