Managed Futures
Asset Allocation
| Position | Category/Sector | 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
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
The earliest data available for this chart is Dec 2, 2020, corresponding to the inception date of KMLM
Returns By Period
| Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 17.95% | 3.05% | 10.78% | 26.90% | 14.03% | 10.90% |
| Managed Futures | 10.19% | 0.93% | 5.80% | 10.67% | N/A | N/A |
| Portfolio components: | ||||||
KMLM KFA Mount Lucas Index Strategy ETF | 1.87% | -1.21% | 0.20% | -6.50% | N/A | N/A |
DBMF iM DBi Managed Futures Strategy ETF | 9.79% | -4.26% | 3.60% | 4.88% | 6.37% | N/A |
SPY SPDR S&P 500 ETF | 18.90% | 3.14% | 11.48% | 28.61% | 15.79% | 12.86% |
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 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | 0.29% | 3.81% | 2.81% | 0.07% | -0.14% | 1.07% | 1.57% | 10.19% | |||||
| 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 features an expense ratio of 0.50%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of Managed Futures is 22, indicating that it is in the bottom 22% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.
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 | -0.58 | -0.70 | 0.91 | -0.27 | -0.69 |
DBMF iM DBi Managed Futures Strategy ETF | 0.40 | 0.61 | 1.08 | 0.26 | 0.98 |
SPY SPDR S&P 500 ETF | 2.38 | 3.23 | 1.43 | 2.52 | 11.19 |
Dividends
Dividend yield
Managed Futures granted a 0.61% dividend yield in the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Managed Futures | 0.61% | 0.70% | 4.89% | 4.07% | 0.76% | 0.87% | 1.02% | 0.90% | 1.02% | 1.03% | 0.93% | 0.91% |
| 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% |
DBMF iM DBi Managed Futures Strategy ETF | 4.16% | 2.91% | 7.72% | 10.38% | 0.86% | 9.35% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
SPY SPDR S&P 500 ETF | 1.22% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% | 1.87% | 1.81% |
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.
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 9.97%, occurring on Mar 13, 2023. Recovery took 82 trading sessions.
The current Managed Futures drawdown is 1.34%.
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 |
| -6.04% | Jul 17, 2024 | 16 | Aug 7, 2024 | — | — | — |
| -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 |
Volatility
Volatility Chart
The current Managed Futures volatility is 3.71%, 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.
Diversification
Asset Correlations Table
| SPY | DBMF | KMLM | |
|---|---|---|---|
| SPY | 1.00 | 0.07 | -0.15 |
| DBMF | 0.07 | 1.00 | 0.50 |
| KMLM | -0.15 | 0.50 | 1.00 |