Managed Futures
Asset Allocation
| Position | Category/Sector | Weight |
|---|---|---|
KMLM KFA Mount Lucas Index Strategy ETF | Long-Short, Actively Managed | 50% |
SPY SPDR S&P 500 ETF | Large Cap Growth Equities | 50% |
Performance
The chart shows the growth of an initial investment of $10,000 in Managed Futures, 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
Returns
| 1 month | 6 months | Year-To-Date | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
| Benchmark | -2.61% | 8.79% | 12.52% | 14.96% | 6.01% | N/A |
| Managed Futures | 0.93% | 10.25% | 9.90% | 5.01% | 12.41% | N/A |
| Portfolio components: | ||||||
KMLM KFA Mount Lucas Index Strategy ETF | 4.33% | 10.70% | 5.70% | -7.23% | 15.09% | N/A |
DBMF iM DBi Managed Futures Strategy ETF | 2.72% | 10.39% | -2.54% | -11.90% | 10.20% | N/A |
SPY SPDR S&P 500 ETF | -2.50% | 9.55% | 13.80% | 16.83% | 7.59% | N/A |
| Returns over 1 year are annualized | ||||||
Asset Correlations Table
| SPY | DBMF | KMLM | |
|---|---|---|---|
| SPY | 1.00 | 0.04 | -0.16 |
| DBMF | 0.04 | 1.00 | 0.53 |
| KMLM | -0.16 | 0.53 | 1.00 |
Dividend yield
Managed Futures granted a 4.60% dividend yield in the last twelve months.
| TTM | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Managed Futures | 4.60% | 4.90% | 4.36% | 0.79% | 0.93% | 1.10% | 0.99% | 1.14% | 1.18% | 1.09% | 1.08% | 1.33% |
| Portfolio components: | ||||||||||||
KMLM KFA Mount Lucas Index Strategy ETF | 7.68% | 8.12% | 7.48% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
DBMF iM DBi Managed Futures Strategy ETF | 7.92% | 7.72% | 10.79% | 0.99% | 10.82% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
SPY SPDR S&P 500 ETF | 1.51% | 1.67% | 1.24% | 1.58% | 1.85% | 2.21% | 1.98% | 2.28% | 2.37% | 2.18% | 2.17% | 2.65% |
Expense Ratio
The Managed Futures has a high expense ratio of 0.50%, 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
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 | Ulcer Index | |
|---|---|---|---|---|---|
KMLM KFA Mount Lucas Index Strategy ETF | -0.41 | ||||
DBMF iM DBi Managed Futures Strategy ETF | -0.91 | ||||
SPY SPDR S&P 500 ETF | 0.91 |
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way.
Worst Drawdowns
The table below shows the maximum drawdowns of the Managed Futures. A maximum drawdown is an indicator of risk. It shows a reduction in portfolio value from its maximum due to a series of losing trades.
The maximum drawdown since January 2010 for the Managed Futures is 9.97%, recorded on Mar 13, 2023. It took 82 trading sessions for the portfolio to recover.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -9.97% | Aug 19, 2022 | 141 | Mar 13, 2023 | 82 | Jul 11, 2023 | 223 |
| -7.97% | Jun 8, 2022 | 19 | Jul 6, 2022 | 31 | Aug 18, 2022 | 50 |
| -5.52% | Nov 26, 2021 | 4 | Dec 1, 2021 | 62 | Mar 2, 2022 | 66 |
| -5.5% | Apr 19, 2022 | 23 | May 19, 2022 | 11 | Jun 6, 2022 | 34 |
| -3.53% | Jul 6, 2021 | 10 | Jul 19, 2021 | 5 | Jul 26, 2021 | 15 |
Volatility Chart
The current Managed Futures volatility is 2.27%, 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.