DM
Asset Allocation
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in DM , 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 | 13.20% | -1.28% | 10.32% | 18.23% | 12.31% | 10.58% |
| DM | 8.34% | 0.76% | 8.08% | 12.14% | N/A | N/A |
| Portfolio components: | ||||||
SCHD Schwab US Dividend Equity ETF | 8.60% | 4.84% | 7.35% | 12.13% | 11.96% | 11.22% |
VWRL.L Vanguard FTSE All-World UCITS ETF Distributing | 11.15% | 0.03% | 10.00% | 16.18% | 10.07% | 12.07% |
DEM.L WisdomTree Emerging Markets Equity Income UCITS ETF | 4.38% | -3.24% | 6.49% | 9.65% | 5.23% | N/A |
KMLM KFA Mount Lucas Index Strategy ETF | 2.32% | 1.79% | 3.55% | -3.41% | N/A | N/A |
Monthly Returns
The table below presents the monthly returns of DM , 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 | -0.01% | 2.84% | 3.42% | -1.71% | 1.51% | 2.05% | 8.34% | ||||||
| 2023 | 4.62% | -2.92% | 1.52% | 1.19% | -1.37% | 4.55% | 4.13% | -2.28% | -2.54% | -3.14% | 6.18% | 4.85% | 15.07% |
| 2022 | -2.02% | -1.46% | 2.50% | -4.10% | 0.27% | -7.18% | 3.74% | -1.16% | -6.78% | 4.09% | 6.91% | -2.59% | -8.49% |
| 2021 | -0.26% | 4.00% | 4.26% | 3.08% | 2.15% | -0.11% | 0.22% | 2.18% | -2.22% | 3.36% | -2.28% | 4.43% | 20.12% |
| 2020 | 2.80% | 2.80% |
Expense Ratio
DM features an expense ratio of 0.30%, 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 DM is 47, suggesting that the investment has average results relative to other portfolios in terms of risk-adjusted performance. This ranking is determined by the cumulative 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 | |
|---|---|---|---|---|---|
SCHD Schwab US Dividend Equity ETF | 1.18 | 1.76 | 1.21 | 0.99 | 4.14 |
VWRL.L Vanguard FTSE All-World UCITS ETF Distributing | 1.61 | 2.45 | 1.29 | 1.35 | 6.88 |
DEM.L WisdomTree Emerging Markets Equity Income UCITS ETF | 0.87 | 1.37 | 1.16 | 1.14 | 4.79 |
KMLM KFA Mount Lucas Index Strategy ETF | -0.36 | -0.40 | 0.95 | -0.17 | -0.46 |
Dividends
Dividend yield
DM granted a 1.79% dividend yield in the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| DM | 1.79% | 1.86% | 2.80% | 2.30% | 1.70% | 1.88% | 2.09% | 1.77% | 1.85% | 2.12% | 2.24% | 1.99% |
| Portfolio components: | ||||||||||||
SCHD Schwab US Dividend Equity ETF | 3.49% | 3.49% | 3.39% | 2.78% | 3.16% | 2.98% | 3.06% | 2.63% | 2.89% | 2.97% | 2.63% | 2.47% |
VWRL.L Vanguard FTSE All-World UCITS ETF Distributing | 2.01% | 2.16% | 2.49% | 1.99% | 1.99% | 2.49% | 2.95% | 2.47% | 2.51% | 3.06% | 3.52% | 3.06% |
DEM.L WisdomTree Emerging Markets Equity Income UCITS ETF | 0.04% | 0.08% | 0.09% | 0.06% | 0.06% | 0.05% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
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% |
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way.
Worst Drawdowns
The table below displays the maximum drawdowns of the DM . 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 DM was 16.82%, occurring on Oct 11, 2022. Recovery took 197 trading sessions.
The current DM drawdown is 2.38%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -16.82% | Jan 13, 2022 | 193 | Oct 11, 2022 | 197 | Jul 19, 2023 | 390 |
| -8.47% | Aug 1, 2023 | 64 | Oct 27, 2023 | 34 | Dec 14, 2023 | 98 |
| -4.21% | Mar 22, 2024 | 18 | Apr 17, 2024 | 19 | May 14, 2024 | 37 |
| -4.06% | Nov 17, 2021 | 10 | Nov 30, 2021 | 21 | Dec 29, 2021 | 31 |
| -3.97% | Jan 15, 2021 | 11 | Jan 29, 2021 | 6 | Feb 8, 2021 | 17 |
Volatility
Volatility Chart
The current DM volatility is 2.16%, 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
| KMLM | SCHD | DEM.L | VWRL.L | |
|---|---|---|---|---|
| KMLM | 1.00 | -0.12 | -0.10 | -0.15 |
| SCHD | -0.12 | 1.00 | 0.39 | 0.54 |
| DEM.L | -0.10 | 0.39 | 1.00 | 0.69 |
| VWRL.L | -0.15 | 0.54 | 0.69 | 1.00 |