Asset Allocation
| Position | Category/Sector | Target Weight |
|---|---|---|
DBMF iM DBi Managed Futures Strategy ETF | Hedge Fund, Actively Managed | 18% |
GLDM SPDR Gold MiniShares Trust | Precious Metals, Gold | 19% |
TAIL Cambria Tail Risk ETF | Volatility Hedged Equity | 21% |
VGLT Vanguard Long-Term Treasury ETF | Government Bonds, Long-Term Bond | 18% |
VT Vanguard Total World Stock ETF | Global Equities | 24% |
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in dragon, 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 Every 3 months.
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The earliest data available for this chart is May 8, 2019, corresponding to the inception date of DBMF
Returns By Period
| 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | 2.91% | -5.09% | -4.63% | -2.39% | 16.33% | 16.69% | 10.18% | 12.16% |
Portfolio dragon | 0.83% | -5.05% | 3.16% | 7.12% | 19.25% | 10.78% | 5.82% | — |
| Portfolio components: | ||||||||
VT Vanguard Total World Stock ETF | 3.08% | -6.22% | -1.71% | 1.42% | 21.53% | 16.86% | 9.22% | 11.53% |
VGLT Vanguard Long-Term Treasury ETF | -0.03% | -3.99% | -0.09% | -0.50% | 0.42% | -1.57% | -4.88% | -0.86% |
GLDM SPDR Gold MiniShares Trust | 3.77% | -10.99% | 8.57% | 21.24% | 49.77% | 33.33% | 21.91% | — |
DBMF iM DBi Managed Futures Strategy ETF | -0.20% | -3.82% | 7.87% | 15.44% | 26.29% | 9.90% | 8.63% | — |
TAIL Cambria Tail Risk ETF | -2.50% | 0.62% | 2.59% | 0.83% | 2.58% | -4.32% | -6.79% | — |
Monthly Returns
Based on dividend-adjusted daily data since May 9, 2019, dragon's average daily return is +0.03%, while the average monthly return is +0.61%. At this rate, your investment would double in approximately 9.5 years.
Historically, 60% of months were positive and 40% were negative. The best month was Aug 2019 with a return of +5.3%, while the worst month was Mar 2026 at -5.1%. The longest winning streak lasted 8 consecutive months, and the longest losing streak was 4 months.
On a daily basis, dragon closed higher 54% of trading days. The best single day was Mar 20, 2020 with a return of +1.9%, while the worst single day was Jan 30, 2026 at -3.1%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 3.70% | 4.77% | -5.05% | 3.16% | |||||||||
| 2025 | 2.03% | 1.44% | 1.34% | 2.74% | -0.14% | 1.94% | -0.37% | 2.00% | 4.73% | 2.13% | 1.52% | 0.14% | 21.24% |
| 2024 | -0.34% | 0.73% | 3.55% | -1.12% | 1.55% | 1.18% | 1.89% | 0.94% | 2.40% | -2.01% | 0.31% | -2.26% | 6.86% |
| 2023 | 3.09% | -3.02% | 2.07% | 0.70% | -1.41% | 0.75% | 0.60% | -1.66% | -2.65% | -0.39% | 2.94% | 2.99% | 3.81% |
| 2022 | -2.17% | 1.04% | -0.22% | -1.69% | -1.26% | -0.57% | 0.04% | -2.32% | -2.73% | -1.31% | 2.90% | -0.71% | -8.77% |
| 2021 | -1.35% | -1.57% | -0.74% | 2.50% | 2.27% | -0.60% | 1.75% | -0.27% | -2.10% | 1.81% | -0.35% | 0.68% | 1.90% |
Benchmark Metrics
dragon has an annualized alpha of 6.27%, beta of 0.09, and R² of 0.07 versus S&P 500 Index. Calculated based on daily prices since May 09, 2019.
- This portfolio participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (25.87%) than losses (13.53%) — typical of diversified or defensive assets.
- Beta of 0.09 may look defensive, but with R² of 0.07 this portfolio is largely uncorrelated with S&P 500 Index — low beta reflects independence, not downside protection. See the Volatility section for a true picture of this portfolio's risk.
- R² of 0.07 means this portfolio moves largely independently of S&P 500 Index — capture ratios reflect limited market correlation rather than active downside protection. Consider using a more representative benchmark.
- Alpha
- 6.27%
- Beta
- 0.09
- R²
- 0.07
- Upside Capture
- 25.87%
- Downside Capture
- 13.53%
Expense Ratio
dragon has an expense ratio of 0.32%, 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.
Return for Risk
Risk / Return Rank
dragon ranks 89 for risk / return — in the top 89% of portfolios on our site. This means strong returns relative to risk — exactly what professional investors look for. Well-suited for investors who want to maximize return per unit of risk.
Return / Risk — by metrics
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 2.24 | 0.90 | +1.34 |
Sortino ratioReturn per unit of downside risk | 2.94 | 1.39 | +1.55 |
Omega ratioGain probability vs. loss probability | 1.43 | 1.21 | +0.22 |
Calmar ratioReturn relative to maximum drawdown | 2.84 | 1.40 | +1.44 |
Martin ratioReturn relative to average drawdown | 12.22 | 6.61 | +5.61 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
How much return does each position deliver for the risk it carries? Higher values mean better reward for the risk taken.
| Risk / Return Rank | Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|---|
VT Vanguard Total World Stock ETF | 77 | 1.25 | 1.84 | 1.27 | 1.83 | 8.51 |
VGLT Vanguard Long-Term Treasury ETF | 14 | 0.04 | 0.12 | 1.02 | 0.14 | 0.31 |
GLDM SPDR Gold MiniShares Trust | 88 | 1.82 | 2.25 | 1.33 | 2.71 | 10.04 |
DBMF iM DBi Managed Futures Strategy ETF | 95 | 2.19 | 2.98 | 1.46 | 4.25 | 18.51 |
TAIL Cambria Tail Risk ETF | 16 | 0.15 | 0.38 | 1.06 | 0.16 | 0.19 |
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Dividends
Dividend yield
dragon provided a 2.87% dividend yield over the last twelve months.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.87% | 2.91% | 3.01% | 2.41% | 2.74% | 2.74% | 1.01% | 3.01% | 1.42% | 1.16% | 1.06% | 1.17% |
| Portfolio components: | ||||||||||||
VT Vanguard Total World Stock ETF | 1.82% | 1.82% | 1.95% | 2.08% | 2.20% | 1.82% | 1.66% | 2.32% | 2.53% | 2.11% | 2.39% | 2.45% |
VGLT Vanguard Long-Term Treasury ETF | 4.49% | 4.44% | 4.33% | 3.33% | 2.84% | 1.82% | 2.15% | 2.46% | 2.71% | 2.55% | 2.69% | 3.21% |
GLDM SPDR Gold MiniShares Trust | 0.00% | 0.00% | 0.00% | 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 | 5.30% | 5.91% | 5.75% | 2.91% | 7.72% | 10.38% | 0.86% | 9.35% | 0.00% | 0.00% | 0.00% | 0.00% |
TAIL Cambria Tail Risk ETF | 3.20% | 2.88% | 3.48% | 3.74% | 1.50% | 0.49% | 0.36% | 1.58% | 1.52% | 0.91% | 0.00% | 0.00% |
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 dragon. 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 dragon was 12.45%, occurring on Oct 3, 2023. Recovery took 189 trading sessions.
The current dragon drawdown is 5.05%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -12.45% | Nov 10, 2021 | 476 | Oct 3, 2023 | 189 | Jul 5, 2024 | 665 |
| -8% | Mar 9, 2020 | 8 | Mar 18, 2020 | 20 | Apr 16, 2020 | 28 |
| -6.94% | Mar 2, 2026 | 19 | Mar 26, 2026 | — | — | — |
| -5.02% | Aug 7, 2020 | 60 | Oct 30, 2020 | 44 | Jan 5, 2021 | 104 |
| -5% | Jan 6, 2021 | 42 | Mar 8, 2021 | 55 | May 25, 2021 | 97 |
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 5 assets, with an effective number of assets of 4.94, 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
| Benchmark | DBMF | GLDM | VGLT | VT | TAIL | Portfolio | |
|---|---|---|---|---|---|---|---|
| Benchmark | 1.00 | 0.18 | 0.08 | -0.06 | 0.96 | -0.68 | 0.30 |
| DBMF | 0.18 | 1.00 | 0.15 | -0.20 | 0.20 | -0.23 | 0.30 |
| GLDM | 0.08 | 0.15 | 1.00 | 0.27 | 0.15 | 0.15 | 0.75 |
| VGLT | -0.06 | -0.20 | 0.27 | 1.00 | -0.05 | 0.53 | 0.59 |
| VT | 0.96 | 0.20 | 0.15 | -0.05 | 1.00 | -0.65 | 0.37 |
| TAIL | -0.68 | -0.23 | 0.15 | 0.53 | -0.65 | 1.00 | 0.21 |
| Portfolio | 0.30 | 0.30 | 0.75 | 0.59 | 0.37 | 0.21 | 1.00 |