ReturnStacked Trend
Specification
Policy
Rebalancing Interval | Daily |
---|---|
Weights Algorithm | Constant Weights |
Assets
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 plus the implementation costs of leverage. Therefore, comparison to other stand-alone trend programs should adjust for that consideration.
Assets Report
Policy Report
Backtest Report
From to (7m 23d)
Returns
Portfolio | 5.56% |
---|---|
Benchmark | 10.57% |
Risk (annualized)
Portfolio | 13.45% |
---|---|
Benchmark | 10.94% |
Sharpe (annualized)
Portfolio | 0.30 |
---|---|
Benchmark | 1.00 |
Excess Return
-5.01% |
Tracking Error (annualized)
9.84% |
Risk Free Rate
3.42% |
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
0.81 |
Skew
0.12 |
Factor Analysis
Data Table
Factor | Portfolio | Benchmark |
---|---|---|
Credit Factor | -0.1333 | -0.1333 |
Duration Factor | -0.7508 | -0.7508 |
High Beta (Low Beta) | 0.1486 | 0.1486 |
Inflation Factor | -0.1120 | -0.1120 |
Market Factor | 0.3191 | 0.3191 |
U.S. Tilt (Non U.S.) | 0.2666 | 0.2666 |
Yield Curve Factor | 0.1017 | 0.1017 |
Adjusted R2
Portfolio | 0.27 |
---|---|
Benchmark | 0.40 |
Intercept
Portfolio | 0.00 |
---|---|
Benchmark | 0.00 |