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2X DBMF
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


DBMF 200%AlternativesAlternativesBondBond
PositionCategory/SectorWeight
BIL
SPDR Barclays 1-3 Month T-Bill ETF
Government Bonds

-100%

DBMF
iM DBi Managed Futures Strategy ETF
Hedge Fund, Actively Managed

200%

S&P 500

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


60.00%70.00%80.00%90.00%100.00%110.00%120.00%130.00%2024FebruaryMarchAprilMayJune
121.88%
89.20%
2X DBMF
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is May 8, 2019, corresponding to the inception date of DBMF

Returns By Period


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
14.22%2.70%14.58%25.29%13.38%10.79%
2X DBMF33.36%2.31%32.82%18.92%16.40%N/A
DBMF
iM DBi Managed Futures Strategy ETF
17.42%1.35%17.24%13.06%9.86%N/A
BIL
SPDR Barclays 1-3 Month T-Bill ETF
2.53%0.39%2.60%5.34%2.01%1.35%

Monthly Returns

The table below presents the monthly returns of 2X DBMF, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20244.47%6.71%10.24%8.18%-2.27%33.36%
2023-6.72%1.17%-15.36%1.62%0.76%6.41%-1.11%0.15%8.98%-1.19%-10.98%-6.62%-22.85%
20220.80%6.22%13.40%21.43%-1.83%6.22%-7.26%5.49%11.57%1.78%-17.81%0.42%40.99%
2021-0.24%8.95%5.71%4.46%5.63%-2.45%1.49%-5.24%-0.31%8.31%-4.53%0.80%23.61%
20201.88%-4.31%2.43%4.48%-6.06%-3.84%7.08%-1.23%-5.81%-0.03%1.47%7.96%2.84%
20192.56%2.49%4.17%14.45%-2.88%-2.41%1.36%-0.06%20.33%

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.


Expense ratio chart for DBMF: current value at 0.85% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.85%
Expense ratio chart for BIL: current value at 0.14% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.14%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of 2X DBMF is 12, indicating that it is in the bottom 12% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.


The Risk-Adjusted Performance Rank of 2X DBMF is 1212
2X DBMF
The Sharpe Ratio Rank of 2X DBMF is 1313Sharpe Ratio Rank
The Sortino Ratio Rank of 2X DBMF is 1212Sortino Ratio Rank
The Omega Ratio Rank of 2X DBMF is 1313Omega Ratio Rank
The Calmar Ratio Rank of 2X DBMF is 1111Calmar Ratio Rank
The Martin Ratio Rank of 2X DBMF is 1111Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

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.


2X DBMF
Sharpe ratio
The chart of Sharpe ratio for 2X DBMF, currently valued at 0.93, compared to the broader market0.002.004.000.93
Sortino ratio
The chart of Sortino ratio for 2X DBMF, currently valued at 1.36, compared to the broader market-2.000.002.004.006.001.36
Omega ratio
The chart of Omega ratio for 2X DBMF, currently valued at 1.17, compared to the broader market0.801.001.201.401.601.801.17
Calmar ratio
The chart of Calmar ratio for 2X DBMF, currently valued at 0.50, compared to the broader market0.002.004.006.008.0010.000.50
Martin ratio
The chart of Martin ratio for 2X DBMF, currently valued at 2.18, compared to the broader market0.0010.0020.0030.0040.0050.002.18
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.16, compared to the broader market0.002.004.002.16
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.06, compared to the broader market-2.000.002.004.006.003.06
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.38, compared to the broader market0.801.001.201.401.601.801.38
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.72, compared to the broader market0.002.004.006.008.0010.001.72
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 8.08, compared to the broader market0.0010.0020.0030.0040.0050.008.08

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
DBMF
iM DBi Managed Futures Strategy ETF
1.281.811.230.733.31
BIL
SPDR Barclays 1-3 Month T-Bill ETF
20.94337.78239.84489.885,503.63

Sharpe Ratio

The current 2X DBMF Sharpe ratio is 0.93. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Compared to the broad market, where average Sharpe ratios range from 1.51 to 2.35, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests that it may not be performing as well in terms of risk-adjusted returns compared to many other portfolios. The lower performance could be due to either lower returns, higher volatility, or a combination of both. This might indicate that the portfolio requires some fine-tuning. You can use the Portfolio Optimization tool to find an allocation that maximizes the Sharpe ratio.

Use the chart below to compare the Sharpe ratio of 2X DBMF with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.


Rolling 12-month Sharpe Ratio-1.000.001.002.003.002024FebruaryMarchAprilMayJune
0.93
2.16
2X DBMF
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

2X DBMF granted a 0.83% dividend yield in the last twelve months.


TTM20232022202120202019201820172016
2X DBMF0.83%0.89%14.09%20.76%1.42%16.64%-1.66%-0.68%-0.07%
DBMF
iM DBi Managed Futures Strategy ETF
3.01%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
5.20%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.


-40.00%-30.00%-20.00%-10.00%0.00%2024FebruaryMarchAprilMayJune
-17.59%
-0.71%
2X DBMF
Benchmark (^GSPC)
Portfolio components

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 17.59%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-39.43%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

Volatility Chart

The current 2X DBMF volatility is 6.95%, 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.


2.00%4.00%6.00%8.00%10.00%2024FebruaryMarchAprilMayJune
6.95%
2.39%
2X DBMF
Benchmark (^GSPC)
Portfolio components

Diversification

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

BILDBMF
BIL1.00-0.02
DBMF-0.021.00
The correlation results are calculated based on daily price changes starting from May 9, 2019