Managed Futures
Asset Allocation
| Position | Category/Sector | Target Weight |
|---|---|---|
DBMF iM DBi Managed Futures Strategy ETF | Hedge Fund, Actively Managed | 0% |
KMLM KFA Mount Lucas Index Strategy ETF | Long-Short, Actively Managed | 50% |
SPY SPDR S&P 500 ETF | Large Cap Growth Equities | 50% |
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 | -3.77% | 7.44% | -5.60% | 8.37% | 14.12% | 10.46% |
| Managed Futures | -4.85% | 3.32% | -5.24% | -0.89% | N/A | N/A |
| Portfolio components: | ||||||
KMLM KFA Mount Lucas Index Strategy ETF | -6.37% | -0.83% | -5.45% | -10.86% | N/A | N/A |
DBMF iM DBi Managed Futures Strategy ETF | -2.57% | 1.40% | -3.35% | -9.51% | 5.28% | N/A |
SPY SPDR S&P 500 ETF | -3.42% | 7.58% | -5.06% | 9.73% | 15.77% | 12.35% |
Monthly Returns
The table below presents the monthly returns of Managed Futures, 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 | 0.25% | -1.29% | -2.56% | -2.18% | 0.88% | -4.85% | |||||||
| 2024 | 0.29% | 3.81% | 2.81% | 0.07% | -0.14% | 1.07% | 1.57% | 0.14% | 1.24% | -2.26% | 1.90% | 0.14% | 11.02% |
| 2023 | 1.70% | -0.48% | 0.70% | 3.05% | 0.95% | 1.93% | 1.99% | -0.11% | -0.07% | -1.42% | 1.56% | -0.01% | 10.13% |
| 2022 | -0.13% | 0.67% | 6.64% | 0.51% | 1.15% | -4.26% | 3.45% | 1.84% | -2.73% | 3.33% | -1.94% | -4.64% | 3.32% |
| 2021 | -0.22% | 4.30% | 1.24% | 5.68% | 0.33% | -0.19% | 1.02% | 1.33% | -1.20% | 5.40% | -3.07% | 2.07% | 17.60% |
| 2020 | 3.89% | 3.89% |
Expense Ratio
Managed Futures has an expense ratio of 0.50%, 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.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of Managed Futures is 5, meaning it’s performing worse than 95% 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.
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.
| Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|
KMLM KFA Mount Lucas Index Strategy ETF | -1.03 | -1.29 | 0.85 | -0.35 | -1.50 |
DBMF iM DBi Managed Futures Strategy ETF | -0.96 | -1.10 | 0.86 | -0.53 | -0.91 |
SPY SPDR S&P 500 ETF | 0.50 | 0.88 | 1.13 | 0.56 | 2.17 |
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Dividends
Dividend yield
Managed Futures provided a 1.07% dividend yield over the last twelve months.
| TTM | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 1.07% | 1.01% | 0.70% | 4.89% | 4.07% | 0.76% | 0.87% | 1.02% | 0.90% | 1.02% | 1.03% | 0.93% |
| Portfolio components: | ||||||||||||
KMLM KFA Mount Lucas Index Strategy ETF | 0.87% | 0.82% | 0.00% | 8.12% | 6.94% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
DBMF iM DBi Managed Futures Strategy ETF | 6.03% | 5.75% | 2.91% | 7.72% | 10.38% | 0.86% | 9.35% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
SPY SPDR S&P 500 ETF | 1.27% | 1.21% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% | 1.87% |
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 Managed Futures. 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 Futures was 11.68%, occurring on Apr 8, 2025. The portfolio has not yet recovered.
The current Managed Futures drawdown is 6.60%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -11.68% | Dec 27, 2024 | 69 | Apr 8, 2025 | — | — | — |
| -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 |
| -6.04% | Jul 17, 2024 | 16 | Aug 7, 2024 | 27 | Sep 16, 2024 | 43 |
| -5.52% | Nov 26, 2021 | 4 | Dec 1, 2021 | 62 | Mar 2, 2022 | 66 |
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 3 assets, with an effective number of assets of 2.00, reflecting the diversification based on asset allocation. This number of effective assets suggests a highly concentrated portfolio, where a few assets dominate the allocation, potentially increasing the portfolio's risk due to lack of diversification.
Asset Correlations Table
| ^GSPC | DBMF | KMLM | SPY | Portfolio | |
|---|---|---|---|---|---|
| ^GSPC | 1.00 | 0.11 | -0.12 | 1.00 | 0.67 |
| DBMF | 0.11 | 1.00 | 0.47 | 0.11 | 0.42 |
| KMLM | -0.12 | 0.47 | 1.00 | -0.12 | 0.58 |
| SPY | 1.00 | 0.11 | -0.12 | 1.00 | 0.67 |
| Portfolio | 0.67 | 0.42 | 0.58 | 0.67 | 1.00 |