KMLM
Asset Allocation
| Position | Category/Sector | Weight |
|---|---|---|
BTAL AGFiQ US Market Neutral Anti-Beta Fund | Long-Short | 20% |
KMLM KFA Mount Lucas Index Strategy ETF | Long-Short, Actively Managed | 20% |
TLT iShares 20+ Year Treasury Bond ETF | Government Bonds | 20% |
UPRO ProShares UltraPro S&P 500 | Leveraged Equities, Leveraged | 40% |
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in KMLM, 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 Dec 2, 2020, corresponding to the inception date of KMLM
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% |
| KMLM | 25.13% | 1.71% | 11.48% | 34.81% | N/A | N/A |
| Portfolio components: | ||||||
UPRO ProShares UltraPro S&P 500 | 55.26% | 5.09% | 20.61% | 90.42% | 25.33% | 24.21% |
TLT iShares 20+ Year Treasury Bond ETF | 3.06% | 0.92% | 8.78% | 10.90% | -4.63% | 1.03% |
BTAL AGFiQ US Market Neutral Anti-Beta Fund | 15.16% | -2.50% | 8.50% | 4.78% | -1.95% | 1.01% |
KMLM KFA Mount Lucas Index Strategy ETF | 2.59% | -0.08% | -0.52% | -8.18% | N/A | N/A |
Monthly Returns
The table below presents the monthly returns of KMLM, 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 | 2.41% | 5.69% | 4.27% | -4.54% | 4.99% | 4.37% | 1.57% | 2.86% | 25.13% | ||||
| 2023 | 6.91% | -4.61% | 4.94% | 2.96% | -1.43% | 6.33% | 2.32% | -2.10% | -5.57% | -3.14% | 10.33% | 4.68% | 22.19% |
| 2022 | -5.07% | -3.94% | 4.81% | -8.09% | -0.24% | -6.65% | 9.60% | -5.70% | -11.92% | 7.89% | 5.72% | -8.82% | -22.55% |
| 2021 | -1.83% | 0.88% | 4.08% | 7.97% | 0.26% | 3.54% | 3.81% | 3.41% | -6.20% | 9.54% | -1.34% | 5.91% | 33.15% |
| 2020 | 4.00% | 4.00% |
Expense Ratio
KMLM has a high expense ratio of 1.00%, 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 Rank
The current rank of KMLM is 62, 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 | |
|---|---|---|---|---|---|
UPRO ProShares UltraPro S&P 500 | 2.23 | 2.65 | 1.35 | 1.60 | 12.22 |
TLT iShares 20+ Year Treasury Bond ETF | 0.67 | 1.04 | 1.12 | 0.25 | 1.85 |
BTAL AGFiQ US Market Neutral Anti-Beta Fund | 0.34 | 0.60 | 1.07 | 0.32 | 0.85 |
KMLM KFA Mount Lucas Index Strategy ETF | -0.78 | -0.98 | 0.88 | -0.37 | -0.91 |
Dividends
Dividend yield
KMLM granted a 2.02% dividend yield in the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| KMLM | 2.02% | 2.20% | 2.57% | 1.71% | 0.34% | 0.84% | 0.86% | 0.49% | 0.57% | 0.66% | 0.62% | 0.68% |
| Portfolio components: | ||||||||||||
UPRO ProShares UltraPro S&P 500 | 0.55% | 0.74% | 0.52% | 0.06% | 0.11% | 0.53% | 0.63% | 0.00% | 0.12% | 0.34% | 0.22% | 0.07% |
TLT iShares 20+ Year Treasury Bond ETF | 3.65% | 3.38% | 2.67% | 1.50% | 1.50% | 2.27% | 2.63% | 2.43% | 2.60% | 2.61% | 2.67% | 3.26% |
BTAL AGFiQ US Market Neutral Anti-Beta Fund | 5.33% | 6.14% | 1.01% | 0.00% | 0.00% | 0.88% | 0.39% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
KMLM KFA Mount Lucas Index Strategy ETF | 0.00% | 0.00% | 8.12% | 6.94% | 0.00% | 0.00% | 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 KMLM. 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 KMLM was 26.30%, occurring on Oct 12, 2022. Recovery took 333 trading sessions.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -26.3% | Dec 30, 2021 | 198 | Oct 12, 2022 | 333 | Feb 9, 2024 | 531 |
| -8.33% | Jul 17, 2024 | 16 | Aug 7, 2024 | 10 | Aug 21, 2024 | 26 |
| -7.43% | Feb 16, 2021 | 13 | Mar 4, 2021 | 20 | Apr 1, 2021 | 33 |
| -6.75% | Sep 3, 2021 | 19 | Sep 30, 2021 | 17 | Oct 25, 2021 | 36 |
| -5.57% | Mar 28, 2024 | 16 | Apr 19, 2024 | 18 | May 15, 2024 | 34 |
Volatility
Volatility Chart
The current KMLM volatility is 4.38%, 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
| TLT | KMLM | UPRO | BTAL | |
|---|---|---|---|---|
| TLT | 1.00 | -0.37 | 0.05 | -0.06 |
| KMLM | -0.37 | 1.00 | -0.15 | 0.13 |
| UPRO | 0.05 | -0.15 | 1.00 | -0.60 |
| BTAL | -0.06 | 0.13 | -0.60 | 1.00 |