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feb23
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

feb23

Last updated Sep 21, 2024

Asset Allocation

KMLM 15%GLDM 14.14%FLMX 15%FLIN 15%VOO 15%TUR 12.36%ISF.L 3.5%FLBR 2%FRCH.L 2%EIDO 2%FLJP 2%QQQ 2%AlternativesAlternativesCommodityCommodityEquityEquity
PositionCategory/SectorWeight
EIDO
iShares MSCI Indonesia ETF		Asia Pacific Equities
2%
FLBR
Franklin FTSE Brazil ETF		Latin America Equities
2%
FLIN
Franklin FTSE India ETF		Asia Pacific Equities
15%
FLJP
Franklin FTSE Japan ETF		Japan Equities
2%
FLMX
Franklin FTSE Mexico ETF		Latin America Equities
15%
FRCH.L
Franklin FTSE China UCITS ETF		China Equities
2%
GLDM
SPDR Gold MiniShares Trust		Precious Metals, Gold
14.14%
ISF.L
iShares Core FTSE 100 UCITS ETF (Dist)		Europe Equities
3.50%
KMLM
KFA Mount Lucas Index Strategy ETF		Long-Short, Actively Managed
15%
QQQ
Invesco QQQ		Large Cap Blend Equities
2%
TUR
iShares MSCI Turkey ETF		Emerging Markets Equities
12.36%
VOO
Vanguard S&P 500 ETF		Large Cap Growth Equities
15%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in feb23, 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

-5.00%0.00%5.00%10.00%AprilMayJuneJulyAugustSeptember
5.52%
8.94%
feb23
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		19.55%1.45%8.95%31.70%13.79%11.17%
feb2310.93%0.91%5.52%15.53%N/AN/A
Portfolio components:
KMLM
KFA Mount Lucas Index Strategy ETF		1.80%-1.25%-1.51%-9.61%N/AN/A
FLMX
Franklin FTSE Mexico ETF		-18.19%-1.66%-18.16%-6.83%7.18%N/A
FLIN
Franklin FTSE India ETF		22.22%3.25%18.12%35.22%15.25%N/A
ISF.L
iShares Core FTSE 100 UCITS ETF (Dist)		14.34%1.17%11.13%20.23%5.87%5.96%
TUR
iShares MSCI Turkey ETF		16.95%-1.43%4.12%1.84%11.57%-0.28%
GLDM
SPDR Gold MiniShares Trust		26.96%4.34%21.04%36.40%11.44%N/A
FLBR
Franklin FTSE Brazil ETF		-12.49%-4.32%-5.63%1.71%-0.39%N/A
FRCH.L
Franklin FTSE China UCITS ETF		5.36%0.26%6.49%1.64%-5.23%N/A
EIDO
iShares MSCI Indonesia ETF		7.49%5.60%6.02%6.26%0.96%0.12%
FLJP
Franklin FTSE Japan ETF		12.07%0.97%0.44%17.94%6.76%N/A
VOO
Vanguard S&P 500 ETF		20.75%1.67%9.72%33.60%15.64%13.20%
QQQ
Invesco QQQ		18.15%-0.01%8.25%35.55%21.22%18.16%

Monthly Returns

The table below presents the monthly returns of feb23, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20241.05%2.28%2.74%1.23%1.23%-0.41%1.88%-1.36%10.93%
20233.59%-1.77%1.54%1.75%-0.54%2.30%5.04%-0.15%-1.27%-2.66%5.48%2.25%16.27%
20220.45%0.08%5.30%-1.97%-0.54%-5.71%2.65%1.46%-3.33%6.39%7.33%-1.55%10.15%
2021-1.60%1.42%0.26%2.89%3.33%-1.48%1.38%3.31%-3.20%2.19%-4.72%3.95%7.55%
20205.60%5.60%

Expense Ratio

feb23 features an expense ratio of 0.32%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.

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%
TUR
iShares MSCI Turkey ETF
Expense ratio chart for TUR: current value at 0.59% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.59%
EIDO
iShares MSCI Indonesia ETF
Expense ratio chart for EIDO: current value at 0.59% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.59%
QQQ
Invesco QQQ
Expense ratio chart for QQQ: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%
FLMX
Franklin FTSE Mexico ETF
Expense ratio chart for FLMX: current value at 0.19% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.19%
FLIN
Franklin FTSE India ETF
Expense ratio chart for FLIN: current value at 0.19% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.19%
FLBR
Franklin FTSE Brazil ETF
Expense ratio chart for FLBR: current value at 0.19% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.19%
FRCH.L
Franklin FTSE China UCITS ETF
Expense ratio chart for FRCH.L: current value at 0.19% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.19%
GLDM
SPDR Gold MiniShares Trust
Expense ratio chart for GLDM: current value at 0.18% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.18%
FLJP
Franklin FTSE Japan ETF
Expense ratio chart for FLJP: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%
ISF.L
iShares Core FTSE 100 UCITS ETF (Dist)
Expense ratio chart for ISF.L: current value at 0.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.07%
VOO
Vanguard S&P 500 ETF
Expense ratio chart for VOO: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of feb23 is 29, 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.

The Risk-Adjusted Performance Rank of feb23 is 2929
feb23
The Sharpe Ratio Rank of feb23 is 2222Sharpe Ratio Rank
The Sortino Ratio Rank of feb23 is 2424Sortino Ratio Rank
The Omega Ratio Rank of feb23 is 2828Omega Ratio Rank
The Calmar Ratio Rank of feb23 is 5454Calmar Ratio Rank
The Martin Ratio Rank of feb23 is 1717Martin 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.

feb23
Sharpe ratio
The chart of Sharpe ratio for feb23, currently valued at 1.74, compared to the broader market-1.000.001.002.003.004.001.74
Sortino ratio
The chart of Sortino ratio for feb23, currently valued at 2.45, compared to the broader market-2.000.002.004.006.002.45
Omega ratio
The chart of Omega ratio for feb23, currently valued at 1.33, compared to the broader market0.801.001.201.401.601.801.33
Calmar ratio
The chart of Calmar ratio for feb23, currently valued at 2.21, compared to the broader market0.002.004.006.008.0010.002.21
Martin ratio
The chart of Martin ratio for feb23, currently valued at 7.50, compared to the broader market0.0010.0020.0030.0040.007.50
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.32, compared to the broader market-1.000.001.002.003.004.002.32
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.11, compared to the broader market-2.000.002.004.006.003.11
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.42, compared to the broader market0.801.001.201.401.601.801.42
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 2.09, compared to the broader market0.002.004.006.008.0010.002.09
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 14.29, compared to the broader market0.0010.0020.0030.0040.0014.29
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
KMLM
KFA Mount Lucas Index Strategy ETF		-0.89-1.140.86-0.42-1.02
FLMX
Franklin FTSE Mexico ETF		-0.18-0.080.99-0.17-0.38
FLIN
Franklin FTSE India ETF		2.442.981.493.9821.91
ISF.L
iShares Core FTSE 100 UCITS ETF (Dist)		1.752.591.312.2511.10
TUR
iShares MSCI Turkey ETF		0.010.191.020.010.03
GLDM
SPDR Gold MiniShares Trust		2.813.851.503.5218.12
FLBR
Franklin FTSE Brazil ETF		0.200.431.050.200.41
FRCH.L
Franklin FTSE China UCITS ETF		0.080.281.030.030.19
EIDO
iShares MSCI Indonesia ETF		0.480.791.100.371.17
FLJP
Franklin FTSE Japan ETF		1.131.591.200.985.57
VOO
Vanguard S&P 500 ETF		2.773.711.512.9717.23
QQQ
Invesco QQQ		2.022.671.362.579.42

Sharpe Ratio

The current feb23 Sharpe ratio is 1.74. 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 1.91 to 2.59, 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 feb23 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
1.74
2.32
feb23
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

feb23 granted a 1.62% dividend yield in the last twelve months.

TTM20232022202120202019201820172016201520142013
feb231.62%1.75%2.93%2.95%0.89%1.59%1.64%0.83%0.84%0.89%0.65%0.74%
Portfolio components:
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%
FLMX
Franklin FTSE Mexico ETF		3.22%2.90%4.22%3.15%1.48%2.95%2.51%0.31%0.00%0.00%0.00%0.00%
FLIN
Franklin FTSE India ETF		1.44%0.73%0.73%2.26%0.68%0.90%0.92%0.00%0.00%0.00%0.00%0.00%
ISF.L
iShares Core FTSE 100 UCITS ETF (Dist)		3.81%3.86%3.75%3.76%3.11%4.47%4.44%3.96%3.79%4.12%3.41%3.29%
TUR
iShares MSCI Turkey ETF		2.27%4.43%1.97%4.22%0.87%3.29%4.05%2.64%2.89%3.04%1.63%2.34%
GLDM
SPDR Gold MiniShares Trust		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
FLBR
Franklin FTSE Brazil ETF		6.98%8.84%11.99%8.71%2.32%3.42%3.73%0.42%0.00%0.00%0.00%0.00%
FRCH.L
Franklin FTSE China UCITS ETF		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
EIDO
iShares MSCI Indonesia ETF		3.62%2.94%2.53%1.33%1.51%1.78%1.99%1.26%1.16%1.67%1.32%2.03%
FLJP
Franklin FTSE Japan ETF		4.97%3.00%1.92%2.40%1.51%2.26%1.50%0.10%0.00%0.00%0.00%0.00%
VOO
Vanguard S&P 500 ETF		1.26%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%
QQQ
Invesco QQQ		0.49%0.62%0.80%0.43%0.55%0.74%0.91%0.84%1.06%0.99%1.41%1.01%

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%AprilMayJuneJulyAugustSeptember
-2.08%
-0.19%
feb23
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the feb23. 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 feb23 was 12.34%, occurring on Jul 14, 2022. Recovery took 85 trading sessions.

The current feb23 drawdown is 2.08%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-12.34%Apr 19, 202263Jul 14, 202285Nov 10, 2022148
-7.38%Jul 17, 202414Aug 5, 2024———
-7.26%Nov 16, 202111Nov 30, 202179Mar 21, 202290
-5.14%Sep 12, 202334Oct 27, 202322Nov 28, 202356
-4.67%Jan 21, 20217Jan 29, 20217Feb 9, 202114

Volatility

Volatility Chart

The current feb23 volatility is 2.55%, 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%AprilMayJuneJulyAugustSeptember
2.55%
4.31%
feb23
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.
KMLMGLDMTURFRCH.LFLBREIDOISF.LFLINFLMXQQQFLJPVOO
KMLM1.00-0.11-0.05-0.09-0.02-0.06-0.06-0.12-0.12-0.17-0.16-0.14
GLDM-0.111.000.130.190.250.250.260.210.260.130.270.15
TUR-0.050.131.000.170.220.240.260.280.220.220.240.24
FRCH.L-0.090.190.171.000.330.310.470.300.390.330.340.32
FLBR-0.020.250.220.331.000.340.410.390.520.310.390.39
EIDO-0.060.250.240.310.341.000.380.450.420.390.420.43
ISF.L-0.060.260.260.470.410.381.000.450.510.360.500.46
FLIN-0.120.210.280.300.390.450.451.000.440.500.510.55
FLMX-0.120.260.220.390.520.420.510.441.000.450.480.53
QQQ-0.170.130.220.330.310.390.360.500.451.000.600.93
FLJP-0.160.270.240.340.390.420.500.510.480.601.000.66
VOO-0.140.150.240.320.390.430.460.550.530.930.661.00
The correlation results are calculated based on daily price changes starting from Dec 3, 2020