feb23

Performance

Risk-Adjusted Performance

Dividends

Drawdowns

Volatility

Diversification

feb23

Currency in USD · Last updated May 14, 2025

Asset Allocation

Position	Category/Sector	Target Weight
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%

Benchmark

Rebalance

Performance

Performance Chart

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

Returns By Period

	YTD	1M	6M	1Y	5Y*	10Y*
^GSPC S&P 500	0.19%	9.00%	-1.55%	12.31%	15.59%	10.78%
feb23	6.49%	5.39%	5.80%	3.56%	N/A	N/A
Portfolio components:
KMLM KFA Mount Lucas Index Strategy ETF	-7.26%	-1.70%	-6.50%	-11.38%	N/A	N/A
FLMX Franklin FTSE Mexico ETF	27.23%	14.52%	20.18%	-9.46%	18.64%	N/A
FLIN Franklin FTSE India ETF	2.03%	5.95%	1.87%	4.85%	19.13%	N/A
ISF.L iShares Core FTSE 100 UCITS ETF (Dist)	13.47%	6.41%	14.03%	11.63%	12.04%	6.01%
TUR iShares MSCI Turkey ETF	-9.43%	1.09%	-6.75%	-19.75%	12.93%	-1.71%
GLDM SPDR Gold MiniShares Trust	21.18%	-0.99%	23.53%	34.85%	12.67%	N/A
FLBR Franklin FTSE Brazil ETF	24.38%	11.11%	10.11%	-2.79%	13.54%	N/A
FRCH.L Franklin FTSE China UCITS ETF	17.58%	8.95%	16.93%	23.42%	-1.03%	N/A
EIDO iShares MSCI Indonesia ETF	-2.76%	11.68%	-10.68%	-7.82%	5.61%	-1.60%
FLJP Franklin FTSE Japan ETF	6.78%	6.22%	7.34%	7.49%	8.91%	N/A
VOO Vanguard S&P 500 ETF	0.59%	9.01%	-0.97%	13.78%	17.33%	12.75%
QQQ Invesco QQQ	1.61%	13.38%	1.57%	17.02%	19.19%	17.78%

*Annualized

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.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2025	1.71%	-1.07%	1.52%	2.06%	2.15%								6.49%
2024	1.05%	2.28%	2.75%	1.20%	1.26%	-0.41%	1.88%	-1.35%	1.93%	-3.22%	0.61%	-1.85%	6.11%
2023	3.59%	-1.77%	1.54%	1.75%	-0.54%	2.30%	5.04%	-0.15%	-1.27%	-2.66%	5.48%	2.25%	16.27%
2022	0.45%	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%
2020												5.60%	5.60%

Expense Ratio

feb23 has an expense ratio of 0.32%, 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.

KMLM

KFA Mount Lucas Index Strategy ETF

TUR

iShares MSCI Turkey ETF

EIDO

iShares MSCI Indonesia ETF

QQQ

Invesco QQQ

FLMX

Franklin FTSE Mexico ETF

FLIN

Franklin FTSE India ETF

FLBR

Franklin FTSE Brazil ETF

FRCH.L

Franklin FTSE China UCITS ETF

GLDM

SPDR Gold MiniShares Trust

FLJP

Franklin FTSE Japan ETF

ISF.L

iShares Core FTSE 100 UCITS ETF (Dist)

VOO

Vanguard S&P 500 ETF

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of feb23 is 7, meaning it’s performing worse than 93% of other portfolios on our website when it comes to balancing risk and reward. Below is a breakdown of how it compares using common performance measures.

Overall Rank

Sharpe Ratio Rank

Sortino Ratio Rank

Omega Ratio Rank

Calmar Ratio Rank

Martin 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.

Portfolio components

	Sharpe ratio	Sortino ratio	Omega ratio	Calmar ratio	Martin ratio
KMLM KFA Mount Lucas Index Strategy ETF	-1.09	-1.37	0.84	-0.36	-1.52
FLMX Franklin FTSE Mexico ETF	-0.34	-0.31	0.96	-0.31	-0.49
FLIN Franklin FTSE India ETF	0.28	0.34	1.05	0.15	0.31
ISF.L iShares Core FTSE 100 UCITS ETF (Dist)	0.72	0.94	1.14	0.79	2.69
TUR iShares MSCI Turkey ETF	-0.71	-1.14	0.85	-0.82	-1.36
GLDM SPDR Gold MiniShares Trust	1.94	2.43	1.31	3.85	10.77
FLBR Franklin FTSE Brazil ETF	-0.11	0.09	1.01	-0.05	-0.14
FRCH.L Franklin FTSE China UCITS ETF	0.45	1.10	1.18	0.41	1.05
EIDO iShares MSCI Indonesia ETF	-0.32	-0.34	0.96	-0.22	-0.47
FLJP Franklin FTSE Japan ETF	0.36	0.60	1.08	0.48	1.39
VOO Vanguard S&P 500 ETF	0.70	1.00	1.15	0.64	2.47
QQQ Invesco QQQ	0.66	0.96	1.14	0.64	2.07

The Sharpe ratio helps investors understand how much return they're getting for the level of risk taken. A higher Sharpe ratio indicates better risk-adjusted performance, meaning more reward for each unit of risk.

feb23 Sharpe ratios as of May 14, 2025 (values are recalculated daily):

1-Year: 0.30
All Time: 1.04

These values reflect how efficiently the investment has delivered returns relative to its volatility over different time periods. All figures are annualized and based on daily total returns (including price changes and dividends).

Compared to the broad market, where average Sharpe ratios range from 0.59 to 1.09, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests weaker risk-adjusted returns than most portfolios, possibly due to lower returns, higher volatility, or both. It may be worth reviewing the allocation. You can use the Portfolio Optimization tool to explore options for improving the Sharpe ratio.

The chart below shows the rolling Sharpe ratio of feb23 compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time. For deeper analysis or to customize the calculation, use the Sharpe ratio tool.

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Dividends

Dividend yield

feb23 provided a 1.64% dividend yield over the last twelve months.

	TTM	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015	2014
Portfolio	1.64%	1.75%	1.75%	2.93%	2.95%	0.89%	1.59%	1.64%	0.83%	0.84%	0.89%	0.65%
Portfolio components:
KMLM KFA Mount Lucas Index Strategy ETF	0.88%	0.82%	0.00%	8.12%	6.94%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
FLMX Franklin FTSE Mexico ETF	2.60%	3.31%	2.90%	4.22%	3.15%	1.48%	2.95%	2.51%	0.31%	0.00%	0.00%	0.00%
FLIN Franklin FTSE India ETF	1.55%	1.58%	0.73%	0.73%	2.26%	0.69%	0.90%	0.92%	0.00%	0.00%	0.00%	0.00%
ISF.L iShares Core FTSE 100 UCITS ETF (Dist)	3.48%	3.71%	3.86%	3.75%	3.76%	3.11%	4.47%	4.44%	3.96%	3.79%	4.12%	3.41%
TUR iShares MSCI Turkey ETF	1.97%	1.79%	4.43%	1.97%	4.22%	0.87%	3.29%	4.05%	2.63%	2.89%	3.04%	1.63%
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	6.17%	7.68%	8.84%	11.99%	8.71%	2.32%	3.42%	3.73%	0.42%	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	5.36%	5.21%	2.94%	2.53%	1.33%	1.51%	1.78%	1.99%	1.26%	1.15%	1.66%	1.32%
FLJP Franklin FTSE Japan ETF	4.27%	4.56%	3.00%	1.92%	2.40%	1.51%	2.26%	1.50%	0.10%	0.00%	0.00%	0.00%
VOO Vanguard S&P 500 ETF	1.29%	1.24%	1.46%	1.69%	1.25%	1.54%	1.88%	2.06%	1.78%	2.02%	2.10%	1.85%
QQQ Invesco QQQ	0.58%	0.56%	0.62%	0.80%	0.43%	0.55%	0.74%	0.91%	0.84%	1.06%	0.99%	1.41%

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 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.

Depth	Start	To Bottom	Bottom	To Recover	End	Total
-12.34%	Apr 19, 2022	63	Jul 14, 2022	85	Nov 10, 2022	148
-10%	Jul 17, 2024	188	Apr 8, 2025	24	May 13, 2025	212
-7.26%	Nov 16, 2021	11	Nov 30, 2021	79	Mar 21, 2022	90
-5.14%	Sep 12, 2023	34	Oct 27, 2023	22	Nov 28, 2023	56
-4.67%	Jan 21, 2021	7	Jan 29, 2021	7	Feb 9, 2021	14

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 12 assets, with an effective number of assets of 7.78, reflecting the diversification based on asset allocation. This number of effective assets indicates a moderate level of diversification, where some assets may have a more significant influence on overall performance.

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

	^GSPC	KMLM	GLDM	TUR	FRCH.L	FLBR	EIDO	FLIN	ISF.L	FLMX	QQQ	FLJP	VOO	Portfolio
^GSPC	1.00	-0.12	0.12	0.25	0.30	0.38	0.42	0.52	0.45	0.50	0.93	0.65	1.00	0.67
KMLM	-0.12	1.00	-0.09	-0.03	-0.10	-0.03	-0.03	-0.08	-0.07	-0.12	-0.14	-0.13	-0.12	0.07
GLDM	0.12	-0.09	1.00	0.12	0.18	0.24	0.24	0.21	0.28	0.25	0.10	0.26	0.12	0.41
TUR	0.25	-0.03	0.12	1.00	0.16	0.21	0.23	0.26	0.25	0.23	0.23	0.25	0.25	0.62
FRCH.L	0.30	-0.10	0.18	0.16	1.00	0.32	0.28	0.27	0.47	0.37	0.30	0.34	0.29	0.41
FLBR	0.38	-0.03	0.24	0.21	0.32	1.00	0.33	0.36	0.41	0.51	0.30	0.39	0.38	0.54
EIDO	0.42	-0.03	0.24	0.23	0.28	0.33	1.00	0.42	0.38	0.41	0.38	0.41	0.41	0.52
FLIN	0.52	-0.08	0.21	0.26	0.27	0.36	0.42	1.00	0.43	0.41	0.48	0.51	0.52	0.65
ISF.L	0.45	-0.07	0.28	0.25	0.47	0.41	0.38	0.43	1.00	0.50	0.35	0.51	0.45	0.60
FLMX	0.50	-0.12	0.25	0.23	0.37	0.51	0.41	0.41	0.50	1.00	0.43	0.46	0.50	0.69
QQQ	0.93	-0.14	0.10	0.23	0.30	0.30	0.38	0.48	0.35	0.43	1.00	0.59	0.93	0.60
FLJP	0.65	-0.13	0.26	0.25	0.34	0.39	0.41	0.51	0.51	0.46	0.59	1.00	0.65	0.61
VOO	1.00	-0.12	0.12	0.25	0.29	0.38	0.41	0.52	0.45	0.50	0.93	0.65	1.00	0.67
Portfolio	0.67	0.07	0.41	0.62	0.41	0.54	0.52	0.65	0.60	0.69	0.60	0.61	0.67	1.00

The correlation results are calculated based on daily price changes starting from Dec 3, 2020

Performance Analysis

Risk Analysis

Optimization

Factor Model

feb23

Asset Allocation

Performance

Performance Chart

Returns By Period

Monthly Returns

Expense Ratio

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

Risk-Adjusted Performance Indicators

Dividends

Dividend yield

Drawdowns

Drawdowns Chart

Worst Drawdowns

Volatility

Volatility Chart

Diversification

Diversification Metrics

Number of Effective Assets

Asset Correlations Table

Performance Analysis

Risk Analysis

Optimization

Factor Model

Portfolios

Screeners

Community