Managed Futures Mutual Funds
Specification
Policy
| Rebalancing Interval | Quarterly |
|---|---|
| Weights Algorithm | Equal Weights |
Assets
Benchmark
| ISHARES 1-3 YEAR TREASURY BOND ETF (SHY) |
Description
A list of trend following/managed futures strategies available in ETF vehicles. Standpoint trend strategy is a model only and attempts to strip out other long overlays.
Policy Report
Backtest Report
From to (4y 4m 18d)
Returns (annualized)
| Portfolio | 9.80% |
| Benchmark | 0.65% |
Risk (annualized)
| Portfolio | 11.30% |
| Benchmark | 1.94% |
Sharpe (annualized)
| Portfolio | 0.69 |
| Benchmark | -0.76 |
Excess Return (annualized)
| 9.14% |
Tracking Error (annualized)
| 12.32% |
Information Ratio
| 0.74 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 12.95% | 1.88% |
| Sortino Ratio | 0.61 | -0.78 |
| Calmar Ratio | 0.54 | -0.26 |
| Ulcer Index | 15.07 | 15.61 |
| Max Drawdown | 14.65% | 5.71% |
| VaR (99% Confidence) | $-2,628 | $-450 |
| VaR (99.9% Confidence) | $-3,491 | $-598 |
| Beta to Benchmark | -2.71 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 8.95 |
Skew
| -1.38 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Duration Factor | -0.4928 | -0.4928 |
| Inflation Factor | 0.2109 | 0.2109 |
| Market Factor | -0.1725 | -0.1725 |
| Vol Factor | -0.0379 | -0.0379 |
| Vol Term Structure | 0.0900 | 0.0900 |
Adjusted R2
| Portfolio | 0.25 |
| Benchmark | 0.65 |
Intercept
| Portfolio | 0.00 |
| Benchmark | 0.00 |