ReturnStacked Trend

Portfolio Specification

Policy

Rebalancing Interval Daily
Weights Algorithm Constant Weights

Anyone who has a link can see this portfolio.

Portfolio Description

An attempt to capture the isolated returns of ReturnStacked Trend program by starting with RSST returns (which includes 100% stocks + 100% trend) and stripping out the overlayed stock exposure.

The portfolio is rebalanced daily to maintain a neutralized weighting to only the trend component (since the strategy is also rebalanced daily).

The net return stream should reflect the trend program minus the implementation costs of leverage. Therefore, comparison to other stand-alone trend programs should adjust for that consideration.

Policy Report

Backtest Report

From to (2y 5d)

Returns (annualized)

Portfolio -2.74%
Benchmark 2.93%

Risk (annualized)

Portfolio 13.67%
Benchmark 9.88%

Sharpe (annualized)

Portfolio -0.48
Benchmark -0.13

Excess Return (annualized)

-5.67%

Tracking Error (annualized)

9.89%

Information Ratio

-0.57
Statistic Portfolio Benchmark
Downside Volatility 15.28% 10.78%
Sortino Ratio -0.43 -0.12
Calmar Ratio -0.34 -0.08
Ulcer Index 14.46 14.70
Max Drawdown 19.10% 15.60%
VaR (99% Confidence) $-3,176 $-2,295
VaR (99.9% Confidence) $-4,220 $-3,049
Beta to Benchmark 0.96 N/A

Value at Risk (VaR) is calculated off a $10,000 portfolio value.

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

1.29

Skew

-0.55
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Credit Factor -0.3422 -0.0321 -0.3101
Duration Factor -0.4516 -0.4628 0.0112
High Beta (Low Beta) -0.0017 0.0097 -0.0114
Inflation Factor 0.2352 0.3773 -0.1421
Market Factor 0.4172 0.2507 0.1665
U.S. Tilt (Non U.S.) -0.1081 -0.0525 -0.0556
Yield Curve Factor 0.0014 -0.0045 0.0059

Adjusted R2

Portfolio 0.19
Benchmark 0.28

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution