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2X DBMF

Last updated Sep 23, 2023

Asset Allocation


DBMF 200%AlternativesAlternatives
PositionCategory/SectorWeight
DBMF
iM DBi Managed Futures Strategy ETF
Hedge Fund, Actively Managed200%

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


0.00%5.00%10.00%15.00%AprilMayJuneJulyAugustSeptember
13.18%
8.61%
2X DBMF
Benchmark (^GSPC)
Portfolio components

Returns


1 month6 monthsYear-To-Date1 year5 years (annualized)10 years (annualized)
Benchmark-2.61%8.79%12.52%14.96%9.72%N/A
2X DBMF5.00%19.86%-9.36%-27.89%14.41%N/A
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

Asset Correlations Table

The table below shows the correlation coefficients between the assets in the portfolio.

BILDBMF
BIL1.00-0.03
DBMF-0.031.00

Sharpe Ratio

The current 2X DBMF Sharpe ratio is -1.02. A negative Sharpe ratio means that the risk-free rate is higher than the portfolio's return. This value does not convey any meaningful information.

-1.000.001.002.003.004.00-1.02

The Sharpe ratio of 2X DBMF is in the bottom 25%, suggesting that this portfolio isn't performing as well in terms of risk-adjusted returns compared to many others. This could be due to lower returns, higher volatility, or both. It might be an indication that the portfolio needs fine-tuning.


Rolling 12-month Sharpe Ratio-1.00-0.500.000.501.00AprilMayJuneJulyAugustSeptember
-1.02
0.81
2X DBMF
Benchmark (^GSPC)
Portfolio components

Dividend yield

2X DBMF granted a 11.75% dividend yield in the last twelve months.


TTM2022202120202019201820172016
2X DBMF11.75%14.05%21.57%1.66%19.50%-1.78%-0.74%-0.07%
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.


0.85%
0.00%2.15%
0.14%
0.00%2.15%

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 ratioSortino ratioOmega ratioCalmar ratioUlcer 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.


-40.00%-30.00%-20.00%-10.00%0.00%AprilMayJuneJulyAugustSeptember
-33.07%
-9.93%
2X DBMF
Benchmark (^GSPC)
Portfolio components

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, 2022106Mar 24, 2023
-20.03%Feb 21, 202019Mar 18, 2020226Feb 9, 2021245
-14.21%Jun 14, 202233Aug 1, 202236Sep 21, 202269
-12.33%Sep 5, 20197Sep 13, 201987Jan 17, 202094
-11.75%Nov 17, 202111Dec 2, 202149Feb 11, 202260

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.


5.00%10.00%15.00%AprilMayJuneJulyAugustSeptember
4.03%
3.41%
2X DBMF
Benchmark (^GSPC)
Portfolio components