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Managed Futures

Last updated Sep 23, 2023

Asset Allocation


KMLM 50%SPY 50%AlternativesAlternativesEquityEquity
PositionCategory/SectorWeight
KMLM
KFA Mount Lucas Index Strategy ETF
Long-Short, Actively Managed50%
SPY
SPDR S&P 500 ETF
Large Cap Growth Equities50%

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


0.00%5.00%10.00%15.00%AprilMayJuneJulyAugustSeptember
9.73%
8.61%
Managed Futures
Benchmark (^GSPC)
Portfolio components

Returns


1 month6 monthsYear-To-Date1 year5 years (annualized)10 years (annualized)
Benchmark-2.61%8.79%12.52%14.96%6.01%N/A
Managed Futures0.93%10.25%9.90%5.01%12.41%N/A
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

Asset Correlations Table

The table below shows the correlation coefficients between the assets in the portfolio.

SPYDBMFKMLM
SPY1.000.04-0.16
DBMF0.041.000.53
KMLM-0.160.531.00

Sharpe Ratio

The current Managed Futures Sharpe ratio is 0.55. A Sharpe ratio between 0 and 1.0 is considered sub-optimal.

-1.000.001.002.003.004.000.55

The Sharpe ratio of Managed Futures is in the bottom 25%, suggesting that this portfolio isn't performing as well in terms of risk-adjusted returns compared to many others. This could be due to lower returns, higher volatility, or both. It might be an indication that the portfolio needs fine-tuning.


Rolling 12-month Sharpe Ratio-0.500.000.501.00AprilMayJuneJulyAugustSeptember
0.55
0.81
Managed Futures
Benchmark (^GSPC)
Portfolio components

Dividend yield

Managed Futures granted a 4.60% dividend yield in the last twelve months.


TTM20222021202020192018201720162015201420132012
Managed Futures4.60%4.90%4.36%0.79%0.93%1.10%0.99%1.14%1.18%1.09%1.08%1.33%
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.


0.90%
0.00%2.15%
0.85%
0.00%2.15%
0.09%
0.00%2.15%

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 ratioSortino ratioOmega ratioCalmar ratioUlcer 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.


-15.00%-10.00%-5.00%0.00%AprilMayJuneJulyAugustSeptember
-1.96%
-9.93%
Managed Futures
Benchmark (^GSPC)
Portfolio components

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, 2022141Mar 13, 202382Jul 11, 2023223
-7.97%Jun 8, 202219Jul 6, 202231Aug 18, 202250
-5.52%Nov 26, 20214Dec 1, 202162Mar 2, 202266
-5.5%Apr 19, 202223May 19, 202211Jun 6, 202234
-3.53%Jul 6, 202110Jul 19, 20215Jul 26, 202115

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.


1.00%2.00%3.00%4.00%5.00%AprilMayJuneJulyAugustSeptember
2.27%
3.41%
Managed Futures
Benchmark (^GSPC)
Portfolio components