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Managed Defensive Growth
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


KMLM 25%COWZ 25%SPGP 25%BLNDX 25%AlternativesAlternativesEquityEquityMulti-AssetMulti-Asset
PositionCategory/SectorWeight
BLNDX
Standpoint Multi-Asset Fund Institutional
Diversified Portfolio
25%
COWZ
Pacer US Cash Cows 100 ETF
All Cap Equities
25%
KMLM
KFA Mount Lucas Index Strategy ETF
Long-Short, Actively Managed
25%
SPGP
Invesco S&P 500 GARP ETF
Large Cap Growth Equities
25%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Managed Defensive Growth, 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%15.00%MayJuneJulyAugustSeptemberOctober
0.75%
15.83%
Managed Defensive Growth
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
22.29%1.65%15.83%39.98%13.99%11.23%
Managed Defensive Growth8.06%-1.40%1.64%11.21%N/AN/A
BLNDX
Standpoint Multi-Asset Fund Institutional
14.06%-1.99%2.69%15.47%N/AN/A
COWZ
Pacer US Cash Cows 100 ETF
11.73%-0.97%6.65%22.36%16.82%N/A
SPGP
Invesco S&P 500 GARP ETF
8.62%0.72%6.82%21.96%13.83%13.90%
KMLM
KFA Mount Lucas Index Strategy ETF
-1.98%-3.35%-8.72%-12.67%N/AN/A

Monthly Returns

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


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-0.38%4.84%5.23%-2.41%0.68%-1.03%2.66%-0.65%0.53%8.06%
20233.95%-1.64%-1.29%1.52%-1.30%3.69%3.42%-0.51%0.18%-2.25%1.42%1.48%8.72%
2022-1.09%1.80%5.55%0.29%2.17%-6.06%3.33%0.07%-3.83%5.98%1.16%-4.32%4.35%
20211.11%5.76%4.82%4.47%1.42%-0.35%1.43%1.55%-1.61%4.65%-3.26%3.76%25.98%
20204.16%4.16%

Expense Ratio

Managed Defensive Growth features an expense ratio of 0.76%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


Expense ratio chart for BLNDX: current value at 1.27% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.27%
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%
Expense ratio chart for COWZ: current value at 0.49% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.49%
Expense ratio chart for SPGP: current value at 0.36% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.36%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Managed Defensive Growth is 9, indicating that it is in the bottom 9% 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 Managed Defensive Growth is 99
Combined Rank
The Sharpe Ratio Rank of Managed Defensive Growth is 77Sharpe Ratio Rank
The Sortino Ratio Rank of Managed Defensive Growth is 66Sortino Ratio Rank
The Omega Ratio Rank of Managed Defensive Growth is 66Omega Ratio Rank
The Calmar Ratio Rank of Managed Defensive Growth is 2121Calmar Ratio Rank
The Martin Ratio Rank of Managed Defensive Growth is 88Martin 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.


Managed Defensive Growth
Sharpe ratio
The chart of Sharpe ratio for Managed Defensive Growth, currently valued at 1.26, compared to the broader market0.002.004.006.001.26
Sortino ratio
The chart of Sortino ratio for Managed Defensive Growth, currently valued at 1.76, compared to the broader market-2.000.002.004.006.001.76
Omega ratio
The chart of Omega ratio for Managed Defensive Growth, currently valued at 1.22, compared to the broader market0.801.001.201.401.601.802.001.22
Calmar ratio
The chart of Calmar ratio for Managed Defensive Growth, currently valued at 1.74, compared to the broader market0.005.0010.0015.001.74
Martin ratio
The chart of Martin ratio for Managed Defensive Growth, currently valued at 5.50, compared to the broader market0.0010.0020.0030.0040.0050.0060.005.50
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 3.43, compared to the broader market0.002.004.006.003.43
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 4.52, compared to the broader market-2.000.002.004.006.004.52
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.64, compared to the broader market0.801.001.201.401.601.802.001.64
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 3.17, compared to the broader market0.005.0010.0015.003.17
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 22.22, compared to the broader market0.0010.0020.0030.0040.0050.0060.0022.22

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
BLNDX
Standpoint Multi-Asset Fund Institutional
1.371.901.251.646.10
COWZ
Pacer US Cash Cows 100 ETF
1.752.531.303.057.54
SPGP
Invesco S&P 500 GARP ETF
1.612.221.282.467.46
KMLM
KFA Mount Lucas Index Strategy ETF
-1.13-1.470.83-0.51-1.39

Sharpe Ratio

The current Managed Defensive Growth Sharpe ratio is 1.26. 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 2.49 to 3.44, 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 Managed Defensive Growth 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 Ratio0.001.002.003.004.00MayJuneJulyAugustSeptemberOctober
1.26
3.43
Managed Defensive Growth
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Managed Defensive Growth provided a 1.01% dividend yield over the last twelve months.


TTM20232022202120202019201820172016201520142013
Managed Defensive Growth1.01%1.01%2.96%3.45%1.21%0.71%0.65%0.66%0.26%0.28%0.38%0.53%
BLNDX
Standpoint Multi-Asset Fund Institutional
0.77%0.88%0.53%4.70%1.21%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
COWZ
Pacer US Cash Cows 100 ETF
1.90%1.92%1.96%1.48%2.54%1.96%1.67%1.95%0.13%0.00%0.00%0.00%
SPGP
Invesco S&P 500 GARP ETF
1.37%1.24%1.22%0.69%1.10%0.86%0.95%0.68%0.89%1.12%1.52%2.11%
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.


-8.00%-6.00%-4.00%-2.00%0.00%MayJuneJulyAugustSeptemberOctober
-2.45%
-0.54%
Managed Defensive Growth
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Managed Defensive Growth. 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 Managed Defensive Growth was 8.98%, occurring on Jul 6, 2022. Recovery took 262 trading sessions.

The current Managed Defensive Growth drawdown is 2.45%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-8.98%Jun 8, 202219Jul 6, 2022262Jul 21, 2023281
-6.94%Jul 17, 202414Aug 5, 2024
-6.18%Nov 17, 202110Dec 1, 202162Mar 2, 202272
-4.84%Apr 20, 202216May 11, 202217Jun 6, 202233
-4.55%Sep 15, 202331Oct 27, 202369Feb 7, 2024100

Volatility

Volatility Chart

The current Managed Defensive Growth volatility is 2.64%, 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.


1.00%2.00%3.00%4.00%5.00%6.00%MayJuneJulyAugustSeptemberOctober
2.64%
2.71%
Managed Defensive Growth
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.

KMLMCOWZBLNDXSPGP
KMLM1.00-0.070.35-0.13
COWZ-0.071.000.570.87
BLNDX0.350.571.000.61
SPGP-0.130.870.611.00
The correlation results are calculated based on daily price changes starting from Dec 3, 2020