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Managed Futures

Last updated Oct 30, 2024

Asset Allocation

KMLM 50%SPY 50%AlternativesAlternativesEquityEquity
PositionCategory/SectorWeight
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

0.00%5.00%10.00%15.00%MayJuneJulyAugustSeptemberOctober
2.92%
15.83%
Managed Futures
Benchmark (^GSPC)
Portfolio components

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

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		22.29%1.65%15.83%39.98%13.99%11.23%
Managed Futures10.24%-1.09%2.92%12.34%N/AN/A
Portfolio components:
KMLM
KFA Mount Lucas Index Strategy ETF		-1.98%-3.98%-9.28%-12.59%N/AN/A
DBMF
iM DBi Managed Futures Strategy ETF		8.78%-2.77%-6.89%0.76%6.64%N/A
SPY
SPDR S&P 500 ETF		23.55%1.80%16.63%41.88%15.74%13.19%

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.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20240.29%3.81%2.81%0.07%-0.14%1.07%1.57%0.14%1.24%10.24%
20231.70%-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%
20203.89%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.

KMLM
KFA Mount Lucas Index Strategy ETF
Expense ratio chart for KMLM: current value at 0.90% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.90%
DBMF
iM DBi Managed Futures Strategy ETF
Expense ratio chart for DBMF: current value at 0.85% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.85%
SPY
SPDR S&P 500 ETF
Expense ratio chart for SPY: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Managed Futures is 14, indicating that it is in the bottom 14% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.

The Risk-Adjusted Performance Rank of Managed Futures is 1414
Combined Rank
The Sharpe Ratio Rank of Managed Futures is 99Sharpe Ratio Rank
The Sortino Ratio Rank of Managed Futures is 1010Sortino Ratio Rank
The Omega Ratio Rank of Managed Futures is 99Omega Ratio Rank
The Calmar Ratio Rank of Managed Futures is 3030Calmar Ratio Rank
The Martin Ratio Rank of Managed Futures is 1313Martin 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.

Managed Futures
Sharpe ratio
The chart of Sharpe ratio for Managed Futures, currently valued at 1.59, compared to the broader market0.002.004.006.001.59
Sortino ratio
The chart of Sortino ratio for Managed Futures, currently valued at 2.28, compared to the broader market-2.000.002.004.006.002.28
Omega ratio
The chart of Omega ratio for Managed Futures, currently valued at 1.28, compared to the broader market0.801.001.201.401.601.802.001.28
Calmar ratio
The chart of Calmar ratio for Managed Futures, currently valued at 2.13, compared to the broader market0.005.0010.002.13
Martin ratio
The chart of Martin ratio for Managed Futures, currently valued at 8.52, compared to the broader market0.0010.0020.0030.0040.0050.0060.008.52
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 3.43, compared to the broader market0.002.004.006.003.43
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 4.52, compared to the broader market-2.000.002.004.006.004.52
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.64, compared to the broader market0.801.001.201.401.601.802.001.64
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 3.17, compared to the broader market0.005.0010.003.17
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 22.22, compared to the broader market0.0010.0020.0030.0040.0050.0060.0022.22
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
KMLM
KFA Mount Lucas Index Strategy ETF		-1.13-1.470.83-0.51-1.39
DBMF
iM DBi Managed Futures Strategy ETF		0.040.131.020.030.08
SPY
SPDR S&P 500 ETF		3.624.771.684.1123.79

Sharpe Ratio

The current Managed Futures Sharpe ratio is 1.59. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Compared to the broad market, where average Sharpe ratios range from 2.49 to 3.44, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests that it may not be performing as well in terms of risk-adjusted returns compared to many other portfolios. The lower performance could be due to either lower returns, higher volatility, or a combination of both. This might indicate that the portfolio requires some fine-tuning. You can use the Portfolio Optimization tool to find an allocation that maximizes the Sharpe ratio.

Use the chart below to compare the Sharpe ratio of Managed Futures with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.

Rolling 12-month Sharpe Ratio1.001.502.002.503.003.50MayJuneJulyAugustSeptemberOctober
1.59
3.43
Managed Futures
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Managed Futures provided a 0.60% dividend yield over the last twelve months.

TTM20232022202120202019201820172016201520142013
Managed Futures0.60%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		5.15%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		1.20%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.

-8.00%-6.00%-4.00%-2.00%0.00%MayJuneJulyAugustSeptemberOctober
-1.32%
-0.54%
Managed Futures
Benchmark (^GSPC)
Portfolio components

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 1.32%.

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
-6.04%Jul 17, 202416Aug 7, 202427Sep 16, 202443
-5.52%Nov 26, 20214Dec 1, 202162Mar 2, 202266
-5.5%Apr 19, 202223May 19, 202211Jun 6, 202234

Volatility

Volatility Chart

The current Managed Futures volatility is 2.78%, 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%6.00%MayJuneJulyAugustSeptemberOctober
2.78%
2.71%
Managed Futures
Benchmark (^GSPC)
Portfolio components

Diversification

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.
SPYDBMFKMLM
SPY1.000.09-0.14
DBMF0.091.000.49
KMLM-0.140.491.00
The correlation results are calculated based on daily price changes starting from Dec 3, 2020