2X DBMF
Asset Allocation
| Position | Category/Sector | Weight |
|---|---|---|
BIL SPDR Barclays 1-3 Month T-Bill ETF | Government Bonds | -100% |
DBMF iM DBi Managed Futures Strategy ETF | Hedge Fund, Actively Managed | 200% |
Performance
Performance Chart
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
The earliest data available for this chart is May 8, 2019, corresponding to the inception date of DBMF
Returns By Period
| Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 5.57% | -4.16% | 20.07% | 20.82% | 11.56% | 10.37% |
| 2X DBMF | 32.95% | 6.09% | 12.92% | 25.76% | N/A | N/A |
| Portfolio components: | ||||||
DBMF iM DBi Managed Futures Strategy ETF | 16.83% | 3.31% | 8.71% | 16.34% | N/A | N/A |
BIL SPDR Barclays 1-3 Month T-Bill ETF | 1.73% | 0.40% | 2.61% | 5.30% | 1.92% | 1.27% |
Monthly Returns Heatmap
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | 4.47% | 6.71% | 10.24% | |||||||||
| 2023 | -1.19% | -10.98% | -6.62% |
Expense Ratio
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
Risk-Adjusted Performance Indicators
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 | Martin ratio | |
|---|---|---|---|---|---|
DBMF iM DBi Managed Futures Strategy ETF | 1.71 | 2.41 | 1.31 | 0.92 | 4.27 |
BIL SPDR Barclays 1-3 Month T-Bill ETF | 19.83 | 191.82 | 118.44 | 241.15 | 2,894.89 |
Dividends
Dividend yield
2X DBMF granted a 1.32% dividend yield in the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | |
|---|---|---|---|---|---|---|---|---|---|
| 2X DBMF | 1.32% | 0.89% | 14.09% | 20.76% | 1.42% | 16.64% | -1.66% | -0.68% | -0.07% |
| Portfolio components: | |||||||||
DBMF iM DBi Managed Futures Strategy ETF | 3.03% | 2.91% | 7.72% | 10.38% | 0.86% | 9.35% | 0.00% | 0.00% | 0.00% |
BIL SPDR Barclays 1-3 Month T-Bill ETF | 4.74% | 4.92% | 1.35% | 0.00% | 0.30% | 2.05% | 1.66% | 0.68% | 0.07% |
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way.
Worst Drawdowns
The table below displays the maximum drawdowns of the 2X DBMF. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.
The maximum drawdown for the 2X DBMF was 39.43%, occurring on Mar 24, 2023. The portfolio has not yet recovered.
The current 2X DBMF drawdown is 17.84%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -39.43% | 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
Volatility Chart
The current 2X DBMF volatility is 9.34%, 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.
Diversification
Asset Correlations Table
| BIL | DBMF | |
|---|---|---|
| BIL | 1.00 | -0.02 |
| DBMF | -0.02 | 1.00 |