VOO-DBMF
Asset Allocation
| Position | Category/Sector | Weight |
|---|---|---|
DBMF iM DBi Managed Futures Strategy ETF | Hedge Fund, Actively Managed | 40% |
VOO Vanguard S&P 500 ETF | Large Cap Growth Equities | 60% |
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in VOO-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 | 19.79% | 2.08% | 9.01% | 29.79% | 13.85% | 11.12% |
| VOO-DBMF | 17.02% | 1.69% | 5.95% | 20.57% | 13.09% | N/A |
| Portfolio components: | ||||||
VOO Vanguard S&P 500 ETF | 20.99% | 2.22% | 9.79% | 31.67% | 15.70% | 13.16% |
DBMF iM DBi Managed Futures Strategy ETF | 10.94% | 0.82% | 0.09% | 3.99% | 7.14% | N/A |
Monthly Returns
The table below presents the monthly returns of VOO-DBMF, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | 1.94% | 4.58% | 4.14% | -0.63% | 2.49% | 3.04% | -0.80% | 0.26% | 17.02% | ||||
| 2023 | 2.47% | -1.27% | -0.64% | 1.35% | 0.51% | 5.29% | 1.84% | -0.87% | -1.07% | -1.45% | 3.35% | 1.82% | 11.68% |
| 2022 | -2.98% | -0.46% | 5.18% | -1.02% | -0.30% | -3.04% | 4.09% | -1.59% | -3.44% | 5.23% | -0.06% | -3.54% | -2.48% |
| 2021 | -0.66% | 3.44% | 3.91% | 4.07% | 1.54% | 0.84% | 1.76% | 0.74% | -2.91% | 5.88% | -1.39% | 2.93% | 21.69% |
| 2020 | 0.38% | -5.69% | -6.75% | 8.54% | 1.77% | 0.46% | 4.96% | 3.98% | -3.50% | -1.54% | 6.83% | 3.83% | 12.68% |
| 2019 | -2.01% | 4.65% | 1.75% | 2.02% | 0.49% | 0.86% | 2.49% | 1.83% | 12.61% |
Expense Ratio
VOO-DBMF features an expense ratio of 0.36%, falling within the medium range. 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 Rank
The current rank of VOO-DBMF is 40, suggesting that the investment has average results relative to other portfolios in terms of risk-adjusted performance. This ranking is determined by the cumulative values of the indicators listed below.
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 | |
|---|---|---|---|---|---|
VOO Vanguard S&P 500 ETF | 2.39 | 3.20 | 1.43 | 2.62 | 14.27 |
DBMF iM DBi Managed Futures Strategy ETF | 0.30 | 0.48 | 1.06 | 0.20 | 0.67 |
Dividends
Dividend yield
VOO-DBMF granted a 2.40% dividend yield in the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| VOO-DBMF | 2.40% | 2.04% | 4.10% | 4.90% | 1.27% | 4.87% | 1.24% | 1.07% | 1.21% | 1.26% | 1.11% | 1.10% |
| Portfolio components: | ||||||||||||
VOO Vanguard S&P 500 ETF | 1.26% | 1.46% | 1.69% | 1.25% | 1.54% | 1.88% | 2.06% | 1.78% | 2.02% | 2.10% | 1.85% | 1.84% |
DBMF iM DBi Managed Futures Strategy ETF | 4.12% | 2.91% | 7.72% | 10.38% | 0.86% | 9.35% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.
Worst Drawdowns
The table below displays the maximum drawdowns of the VOO-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 VOO-DBMF was 23.01%, occurring on Mar 23, 2020. Recovery took 107 trading sessions.
The current VOO-DBMF drawdown is 2.08%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -23.01% | Feb 20, 2020 | 23 | Mar 23, 2020 | 107 | Aug 24, 2020 | 130 |
| -9.68% | Apr 20, 2022 | 225 | Mar 13, 2023 | 76 | Jun 30, 2023 | 301 |
| -9.65% | Jul 17, 2024 | 14 | Aug 5, 2024 | — | — | — |
| -7.63% | Sep 3, 2020 | 14 | Sep 23, 2020 | 44 | Nov 24, 2020 | 58 |
| -6.38% | Dec 29, 2021 | 39 | Feb 23, 2022 | 19 | Mar 22, 2022 | 58 |
Volatility
Volatility Chart
The current VOO-DBMF volatility is 3.18%, 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
| DBMF | VOO | |
|---|---|---|
| DBMF | 1.00 | 0.13 |
| VOO | 0.13 | 1.00 |