2X DBMF
Asset Allocation
| Position | Category/Sector | Weight |
|---|---|---|
DBMF iM DBi Managed Futures Strategy ETF | Hedge Fund, Actively Managed | 200% |
Performance
The chart shows the growth of an initial investment of $10,000 in 2X DBMF, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends. The portfolio is rebalanced Quarterly
Returns
| 1 month | 6 months | Year-To-Date | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
| Benchmark | -2.61% | 8.79% | 12.52% | 14.96% | 9.72% | N/A |
| 2X DBMF | 5.00% | 19.86% | -9.36% | -27.89% | 14.41% | N/A |
| Portfolio components: | ||||||
DBMF iM DBi Managed Futures Strategy ETF | 2.72% | 10.39% | -2.54% | -11.90% | 8.62% | N/A |
BIL SPDR Barclays 1-3 Month T-Bill ETF | 0.45% | 2.42% | 3.46% | 4.38% | 1.46% | N/A |
| Returns over 1 year are annualized | ||||||
Asset Correlations Table
| BIL | DBMF | |
|---|---|---|
| BIL | 1.00 | -0.03 |
| DBMF | -0.03 | 1.00 |
Dividend yield
2X DBMF granted a 11.75% dividend yield in the last twelve months.
| TTM | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | |
|---|---|---|---|---|---|---|---|---|
| 2X DBMF | 11.75% | 14.05% | 21.57% | 1.66% | 19.50% | -1.78% | -0.74% | -0.07% |
| Portfolio components: | ||||||||
DBMF iM DBi Managed Futures Strategy ETF | 7.92% | 7.72% | 10.79% | 0.99% | 10.82% | 0.00% | 0.00% | 0.00% |
BIL SPDR Barclays 1-3 Month T-Bill ETF | 4.09% | 1.39% | 0.00% | 0.31% | 2.15% | 1.78% | 0.74% | 0.07% |
Expense Ratio
The 2X DBMF has a high expense ratio of 1.56%, indicating higher-than-average management fees. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.
Risk-Adjusted Performance
This table presents a comparison of risk-adjusted performance metrics for positions. Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.
| Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Ulcer Index | |
|---|---|---|---|---|---|
DBMF iM DBi Managed Futures Strategy ETF | -0.91 | ||||
BIL SPDR Barclays 1-3 Month T-Bill ETF | 14.90 |
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way.
Worst Drawdowns
The table below shows the maximum drawdowns of the 2X DBMF. A maximum drawdown is an indicator of risk. It shows a reduction in portfolio value from its maximum due to a series of losing trades.
The maximum drawdown since January 2010 for the 2X DBMF is 44.16%, recorded on Mar 24, 2023. The portfolio has not recovered from it yet.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -44.16% | Oct 21, 2022 | 106 | Mar 24, 2023 | — | — | — |
| -20.03% | Feb 21, 2020 | 19 | Mar 18, 2020 | 226 | Feb 9, 2021 | 245 |
| -14.21% | Jun 14, 2022 | 33 | Aug 1, 2022 | 36 | Sep 21, 2022 | 69 |
| -12.33% | Sep 5, 2019 | 7 | Sep 13, 2019 | 87 | Jan 17, 2020 | 94 |
| -11.75% | Nov 17, 2021 | 11 | Dec 2, 2021 | 49 | Feb 11, 2022 | 60 |
Volatility Chart
The current 2X DBMF volatility is 4.03%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.