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UPRO-KMLM
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

UPRO-KMLM

Last updated Sep 17, 2024

Asset Allocation

KMLM 67%UPRO 33%AlternativesAlternativesEquityEquity
PositionCategory/SectorWeight
KMLM
KFA Mount Lucas Index Strategy ETF		Long-Short, 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-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

0.00%5.00%10.00%AprilMayJuneJulyAugustSeptember
7.82%
9.39%
UPRO-KMLM
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Dec 2, 2020, corresponding to the inception date of KMLM

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		18.10%1.42%9.39%26.58%13.42%10.88%
UPRO-KMLM18.27%2.75%7.06%18.36%N/AN/A
Portfolio components:
UPRO
ProShares UltraPro S&P 500		49.05%3.23%19.92%76.48%23.92%23.42%
KMLM
KFA Mount Lucas Index Strategy ETF		4.48%2.52%0.70%-6.95%N/AN/A

Monthly Returns

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

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20240.45%6.53%4.68%-1.49%0.67%2.32%1.88%0.29%18.27%
20234.03%-2.16%1.58%4.22%0.89%4.59%3.48%-1.32%-1.92%-3.05%4.72%1.77%17.67%
2022-1.87%0.05%9.11%-1.57%0.92%-6.81%7.87%-0.06%-6.88%6.42%-1.01%-9.40%-4.97%
2021-0.85%6.44%3.03%9.44%0.49%0.64%2.02%2.87%-3.52%9.61%-4.41%4.40%33.28%
20205.93%5.93%

Expense Ratio

UPRO-KMLM features an expense ratio of 0.91%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.

UPRO
ProShares UltraPro S&P 500
Expense ratio chart for UPRO: current value at 0.92% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.92%
KMLM
KFA Mount Lucas Index Strategy ETF
Expense ratio chart for KMLM: current value at 0.90% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.90%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of UPRO-KMLM is 19, indicating that it is in the bottom 19% 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 UPRO-KMLM is 1919
UPRO-KMLM
The Sharpe Ratio Rank of UPRO-KMLM is 1414Sharpe Ratio Rank
The Sortino Ratio Rank of UPRO-KMLM is 1313Sortino Ratio Rank
The Omega Ratio Rank of UPRO-KMLM is 1313Omega Ratio Rank
The Calmar Ratio Rank of UPRO-KMLM is 4141Calmar Ratio Rank
The Martin Ratio Rank of UPRO-KMLM is 1616Martin 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.

UPRO-KMLM
Sharpe ratio
The chart of Sharpe ratio for UPRO-KMLM, currently valued at 1.24, compared to the broader market-1.000.001.002.003.004.001.24
Sortino ratio
The chart of Sortino ratio for UPRO-KMLM, currently valued at 1.74, compared to the broader market-2.000.002.004.006.001.74
Omega ratio
The chart of Omega ratio for UPRO-KMLM, currently valued at 1.21, compared to the broader market0.801.001.201.401.601.801.21
Calmar ratio
The chart of Calmar ratio for UPRO-KMLM, currently valued at 1.60, compared to the broader market0.002.004.006.008.001.60
Martin ratio
The chart of Martin ratio for UPRO-KMLM, currently valued at 5.72, compared to the broader market0.0010.0020.0030.005.72
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.96, compared to the broader market-1.000.001.002.003.004.001.96
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.65, compared to the broader market-2.000.002.004.006.002.65
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.35, compared to the broader market0.801.001.201.401.601.801.35
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.77, compared to the broader market0.002.004.006.008.001.77
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 10.43, compared to the broader market0.0010.0020.0030.0010.43
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
UPRO
ProShares UltraPro S&P 500		1.852.311.301.329.28
KMLM
KFA Mount Lucas Index Strategy ETF		-0.59-0.720.91-0.28-0.69

Sharpe Ratio

The current UPRO-KMLM Sharpe ratio is 1.24. 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 1.64 to 2.29, 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 UPRO-KMLM 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 Ratio1.001.502.002.503.00AprilMayJuneJulyAugustSeptember
1.24
1.96
UPRO-KMLM
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

UPRO-KMLM granted a 0.21% dividend yield in the last twelve months.

TTM20232022202120202019201820172016201520142013
UPRO-KMLM0.21%0.24%5.61%4.67%0.04%0.18%0.21%0.00%0.04%0.11%0.07%0.02%
Portfolio components:
UPRO
ProShares UltraPro S&P 500		0.64%0.74%0.52%0.06%0.11%0.53%0.63%0.00%0.12%0.34%0.22%0.07%
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.

-10.00%-8.00%-6.00%-4.00%-2.00%0.00%AprilMayJuneJulyAugustSeptember
-1.41%
-0.60%
UPRO-KMLM
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the UPRO-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 UPRO-KMLM was 20.22%, occurring on Mar 13, 2023. Recovery took 221 trading sessions.

The current UPRO-KMLM drawdown is 1.41%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-20.22%Aug 19, 2022141Mar 13, 2023221Jan 29, 2024362
-12.43%Apr 20, 202253Jul 6, 202229Aug 16, 202282
-10.78%Jul 17, 202416Aug 7, 2024———
-8.84%Nov 26, 20214Dec 1, 202164Mar 4, 202268
-5.69%Feb 25, 20216Mar 4, 20217Mar 15, 202113

Volatility

Volatility Chart

The current UPRO-KMLM volatility is 3.78%, 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%3.00%4.00%5.00%6.00%7.00%AprilMayJuneJulyAugustSeptember
3.78%
4.09%
UPRO-KMLM
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.
KMLMUPRO
KMLM1.00-0.15
UPRO-0.151.00
The correlation results are calculated based on daily price changes starting from Dec 3, 2020