Asset Allocation
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in BlackBox, 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 never rebalanced.
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The earliest data available for this chart is May 8, 2019, corresponding to the inception date of DBMF
Returns By Period
| 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | 0.80% | 4.83% | 2.59% | 5.27% | 30.14% | 19.29% | 10.91% | 12.94% |
Portfolio BlackBox | -0.16% | 3.75% | 7.01% | 9.49% | 26.76% | 15.15% | 8.74% | — |
| Portfolio components: | ||||||||
QVAL Alpha Architect U.S. Quantitative Value ETF | -0.41% | 5.83% | 10.61% | 17.93% | 37.63% | 18.32% | 11.54% | 10.80% |
MTUM iShares MSCI USA Momentum Factor ETF | -0.13% | 9.50% | 7.96% | 6.32% | 36.83% | 24.53% | 10.30% | 15.28% |
DBMF iM DBi Managed Futures Strategy ETF | -0.13% | -1.43% | 8.27% | 12.20% | 27.76% | 9.76% | 8.31% | — |
VGIT Vanguard Intermediate-Term Treasury ETF | -0.12% | -0.02% | 0.37% | 0.70% | 4.66% | 3.40% | 0.31% | 1.34% |
USMV iShares MSCI USA Minimum Volatility Factor ETF | 0.29% | -1.37% | 0.18% | 0.50% | 5.03% | 10.30% | 7.13% | 9.83% |
Monthly Returns
Based on dividend-adjusted daily data since May 9, 2019, BlackBox's average daily return is +0.04%, while the average monthly return is +0.86%. At this rate, an investment would double in approximately 6.7 years.
Historically, 67% of months were positive and 33% were negative. The best month was Oct 2022 with a return of +7.9%, while the worst month was Mar 2020 at -10.7%. The longest winning streak lasted 10 consecutive months, and the longest losing streak was 3 months.
On a daily basis, BlackBox closed higher 55% of trading days. The best single day was Apr 9, 2025 with a return of +6.4%, while the worst single day was Mar 12, 2020 at -7.1%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 3.19% | 3.02% | -3.56% | 4.38% | 7.01% | ||||||||
| 2025 | 2.96% | -0.85% | -3.18% | -0.34% | 4.45% | 2.27% | -0.68% | 2.26% | 3.78% | -0.14% | 1.94% | 0.42% | 13.37% |
| 2024 | 2.10% | 4.03% | 4.78% | -2.70% | 3.18% | 0.52% | 1.28% | 0.89% | 1.93% | -2.39% | 4.88% | -4.01% | 14.95% |
| 2023 | 2.33% | -1.72% | -1.59% | 0.49% | -3.51% | 6.27% | 2.37% | 0.31% | -0.51% | -2.16% | 4.03% | 3.57% | 9.84% |
| 2022 | -4.93% | 0.15% | 3.55% | -3.07% | 0.60% | -6.18% | 4.38% | -1.55% | -3.94% | 7.87% | 1.11% | -3.93% | -6.71% |
| 2021 | 1.56% | 0.34% | 3.57% | 3.86% | 1.08% | 0.40% | 1.41% | 1.76% | -3.19% | 5.10% | -1.71% | 2.17% | 17.28% |
Benchmark Metrics
BlackBox has an annualized alpha of 1.28%, beta of 0.63, and R² of 0.85 versus S&P 500 Index. Calculated based on daily prices since May 09, 2019.
- This portfolio participated in 63.14% of S&P 500 Index downside but only 59.33% of its upside — more exposed to losses than it benefited from rallies.
- Beta of 0.63 indicates this portfolio moves significantly less than S&P 500 Index — a genuinely defensive profile with reduced participation in both market rallies and downturns.
- Alpha
- 1.28%
- Beta
- 0.63
- R²
- 0.85
- Upside Capture
- 59.33%
- Downside Capture
- 63.14%
Expense Ratio
BlackBox has an expense ratio of 0.31%, placing it in the medium range. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.
Return for Risk
Risk / Return Rank
BlackBox ranks 69 for risk / return — better than 69% of portfolios on our site. You're getting solid returns for the risk taken. A good sign, especially for investors who want growth without excessive volatility.
Return / Risk — by metrics
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 2.66 | 2.30 | +0.36 |
Sortino ratioReturn per unit of downside risk | 3.82 | 3.18 | +0.63 |
Omega ratioGain probability vs. loss probability | 1.49 | 1.43 | +0.07 |
Calmar ratioReturn relative to maximum drawdown | 5.21 | 3.40 | +1.81 |
Martin ratioReturn relative to average drawdown | 20.68 | 15.35 | +5.33 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
How much return does each position deliver for the risk it carries? Higher values mean better reward for the risk taken.
| Risk / Return Rank | Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|---|
QVAL Alpha Architect U.S. Quantitative Value ETF | 77 | 2.50 | 3.87 | 1.44 | 6.31 | 16.84 |
MTUM iShares MSCI USA Momentum Factor ETF | 51 | 2.00 | 2.70 | 1.36 | 3.36 | 13.49 |
DBMF iM DBi Managed Futures Strategy ETF | 72 | 2.36 | 3.17 | 1.51 | 4.56 | 18.44 |
VGIT Vanguard Intermediate-Term Treasury ETF | 28 | 1.34 | 1.99 | 1.24 | 2.28 | 7.06 |
USMV iShares MSCI USA Minimum Volatility Factor ETF | 14 | 0.54 | 0.82 | 1.10 | 0.94 | 3.47 |
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Dividends
Dividend yield
BlackBox provided a 2.46% dividend yield over the last twelve months.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.46% | 2.59% | 2.62% | 2.06% | 3.01% | 3.00% | 1.50% | 3.38% | 1.37% | 1.04% | 1.26% | 0.78% |
| Portfolio components: | ||||||||||||
QVAL Alpha Architect U.S. Quantitative Value ETF | 1.51% | 1.44% | 1.72% | 1.76% | 2.00% | 1.23% | 1.86% | 1.99% | 1.64% | 1.08% | 1.30% | 0.00% |
MTUM iShares MSCI USA Momentum Factor ETF | 0.73% | 0.91% | 0.75% | 1.35% | 1.80% | 0.55% | 0.83% | 1.48% | 1.27% | 1.02% | 1.43% | 1.12% |
DBMF iM DBi Managed Futures Strategy ETF | 5.28% | 5.91% | 5.75% | 2.91% | 7.72% | 10.38% | 0.86% | 9.35% | 0.00% | 0.00% | 0.00% | 0.00% |
VGIT Vanguard Intermediate-Term Treasury ETF | 3.81% | 3.79% | 3.67% | 2.73% | 1.74% | 1.69% | 2.23% | 2.24% | 2.05% | 1.67% | 1.69% | 1.69% |
USMV iShares MSCI USA Minimum Volatility Factor ETF | 1.56% | 1.49% | 1.67% | 1.82% | 1.62% | 1.26% | 1.81% | 1.88% | 2.12% | 1.77% | 2.22% | 2.02% |
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.
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Worst Drawdowns
The table below displays the maximum drawdowns of the BlackBox. 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 BlackBox was 26.16%, occurring on Mar 23, 2020. Recovery took 172 trading sessions.
The current BlackBox drawdown is 0.16%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -26.16% | Feb 20, 2020 | 23 | Mar 23, 2020 | 172 | Nov 24, 2020 | 195 |
| -13.52% | Feb 19, 2025 | 35 | Apr 8, 2025 | 55 | Jun 27, 2025 | 90 |
| -13.42% | Nov 17, 2021 | 215 | Sep 26, 2022 | 310 | Dec 19, 2023 | 525 |
| -7.46% | Jul 17, 2024 | 14 | Aug 5, 2024 | 32 | Sep 19, 2024 | 46 |
| -5.7% | Feb 16, 2021 | 13 | Mar 4, 2021 | 21 | Apr 5, 2021 | 34 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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Diversification
Diversification Metrics
Number of Effective Assets
The portfolio contains 5 assets, with an effective number of assets of 4.65, reflecting the diversification based on asset allocation. This number of effective assets suggests a highly concentrated portfolio, where a few assets dominate the allocation, potentially increasing the portfolio's risk due to lack of diversification.
Asset Correlations Table
| Benchmark | VGIT | DBMF | QVAL | USMV | MTUM | Portfolio | |
|---|---|---|---|---|---|---|---|
| Benchmark | 1.00 | -0.04 | 0.18 | 0.72 | 0.81 | 0.85 | 0.88 |
| VGIT | -0.04 | 1.00 | -0.23 | -0.09 | 0.07 | -0.04 | -0.04 |
| DBMF | 0.18 | -0.23 | 1.00 | 0.12 | 0.11 | 0.21 | 0.34 |
| QVAL | 0.72 | -0.09 | 0.12 | 1.00 | 0.63 | 0.58 | 0.87 |
| USMV | 0.81 | 0.07 | 0.11 | 0.63 | 1.00 | 0.68 | 0.77 |
| MTUM | 0.85 | -0.04 | 0.21 | 0.58 | 0.68 | 1.00 | 0.85 |
| Portfolio | 0.88 | -0.04 | 0.34 | 0.87 | 0.77 | 0.85 | 1.00 |