UPRO-DBMF
Asset Allocation
| Position | Category/Sector | Weight |
|---|---|---|
DBMF iM DBi Managed Futures Strategy ETF | Hedge Fund, Actively Managed | 67% |
UPRO ProShares UltraPro S&P 500 | Leveraged Equities, Leveraged | 33% |
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in UPRO-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 | 24.72% | 2.30% | 12.31% | 32.12% | 13.81% | 11.31% |
| UPRO-DBMF | 26.04% | 0.56% | 4.97% | 30.41% | 17.53% | N/A |
| Portfolio components: | ||||||
DBMF iM DBi Managed Futures Strategy ETF | 7.11% | -2.11% | -6.79% | 2.14% | 6.40% | N/A |
UPRO ProShares UltraPro S&P 500 | 71.69% | 5.67% | 31.83% | 101.47% | 24.84% | 24.66% |
Monthly Returns
The table below presents the monthly returns of UPRO-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 | 2.78% | 7.29% | 6.70% | -1.30% | 3.43% | 4.69% | -1.92% | -0.31% | 2.54% | -4.21% | 26.04% | ||
| 2023 | 3.77% | -2.79% | -1.69% | 1.88% | 0.32% | 8.70% | 2.79% | -2.08% | -2.02% | -2.85% | 5.16% | 3.19% | 14.55% |
| 2022 | -4.95% | -0.66% | 7.66% | -1.01% | -1.26% | -3.59% | 6.92% | -3.58% | -5.97% | 8.02% | -0.40% | -7.12% | -7.21% |
| 2021 | -1.32% | 5.52% | 6.37% | 6.86% | 2.34% | 1.50% | 2.79% | 1.35% | -5.18% | 9.86% | -2.49% | 4.99% | 36.58% |
| 2020 | 0.37% | -8.96% | -12.95% | 13.43% | 3.30% | -0.05% | 8.34% | 7.69% | -6.99% | -2.85% | 11.63% | 6.61% | 16.87% |
| 2019 | -3.41% | 7.34% | 2.72% | 2.75% | 0.56% | 1.14% | 4.20% | 3.07% | 19.53% |
Expense Ratio
UPRO-DBMF features an expense ratio of 0.87%, 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 UPRO-DBMF is 23, indicating that it is in the bottom 23% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined 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 | |
|---|---|---|---|---|---|
DBMF iM DBi Managed Futures Strategy ETF | 0.26 | 0.42 | 1.05 | 0.16 | 0.54 |
UPRO ProShares UltraPro S&P 500 | 2.84 | 3.19 | 1.44 | 2.63 | 17.02 |
Dividends
Dividend yield
UPRO-DBMF provided a 3.75% dividend yield over the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 3.75% | 2.19% | 5.34% | 6.97% | 0.61% | 6.44% | 0.21% | 0.00% | 0.04% | 0.11% | 0.07% | 0.02% |
| Portfolio components: | ||||||||||||
DBMF iM DBi Managed Futures Strategy ETF | 5.24% | 2.91% | 7.72% | 10.38% | 0.86% | 9.35% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
UPRO ProShares UltraPro S&P 500 | 0.73% | 0.74% | 0.52% | 0.06% | 0.11% | 0.53% | 0.63% | 0.00% | 0.12% | 0.34% | 0.22% | 0.07% |
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 UPRO-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 UPRO-DBMF was 31.38%, occurring on Mar 18, 2020. Recovery took 114 trading sessions.
The current UPRO-DBMF drawdown is 3.76%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -31.38% | Feb 20, 2020 | 20 | Mar 18, 2020 | 114 | Aug 28, 2020 | 134 |
| -19.38% | Aug 19, 2022 | 141 | Mar 13, 2023 | 209 | Jan 10, 2024 | 350 |
| -16% | Jul 11, 2024 | 18 | Aug 5, 2024 | — | — | — |
| -14.11% | Sep 3, 2020 | 14 | Sep 23, 2020 | 51 | Dec 4, 2020 | 65 |
| -10.83% | Apr 20, 2022 | 41 | Jun 16, 2022 | 40 | Aug 15, 2022 | 81 |
Volatility
Volatility Chart
The current UPRO-DBMF volatility is 5.18%, 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 | UPRO | |
|---|---|---|
| DBMF | 1.00 | 0.14 |
| UPRO | 0.14 | 1.00 |