ReturnStacked Trend
Portfolio Specification
Assets
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 5m 27d)
Returns (annualized)
| Portfolio | 3.92% |
| Benchmark | 10.05% |
Risk (annualized)
| Portfolio | 14.25% |
| Benchmark | 11.15% |
Sharpe (annualized)
| Portfolio | 0.03 |
| Benchmark | 0.51 |
Excess Return (annualized)
| -6.14% |
Tracking Error (annualized)
| 9.78% |
Information Ratio
| -0.63 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 16.07% | 11.95% |
| Sortino Ratio | 0.02 | 0.48 |
| Calmar Ratio | 0.02 | 0.37 |
| Ulcer Index | 14.58 | 14.88 |
| Max Drawdown | 19.10% | 15.60% |
| VaR (99% Confidence) | $-3,311 | $-2,591 |
| VaR (99.9% Confidence) | $-4,399 | $-3,442 |
| Beta to Benchmark | 0.93 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 1.74 |
Skew
| -0.64 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Credit Factor | -0.4432 | -0.3038 | -0.1394 |
| Duration Factor | -0.4452 | -0.4448 | -0.0004 |
| High Beta (Low Beta) | 0.0510 | 0.0583 | -0.0073 |
| Inflation Factor | 0.2279 | 0.4464 | -0.2185 |
| Market Factor | 0.5095 | 0.3653 | 0.1442 |
| U.S. Tilt (Non U.S.) | -0.2159 | -0.1851 | -0.0308 |
| Yield Curve Factor | 0.0139 | 0.0067 | 0.0071 |
Adjusted R2
| Portfolio | 0.25 |
| Benchmark | 0.30 |
Intercept
| Portfolio | 0.00 |
| Benchmark | 0.00 |