PortfoliosLab logo
Tools
Performance Analysis
Risk Analysis
Optimization
Factor Model
See All Tools
Portfolio Analysis
Portfolios
Lazy PortfoliosUser Portfolios
Discussions

DM

Last updated Mar 2, 2024

Asset Allocation


KMLM 10%VWRL.L 45%SCHD 25%DEM.L 20%AlternativesAlternativesEquityEquity
PositionCategory/SectorWeight
KMLM
KFA Mount Lucas Index Strategy ETF
Long-Short, Actively Managed

10%

VWRL.L
Vanguard FTSE All-World UCITS ETF Distributing
Global Equities

45%

SCHD
Schwab US Dividend Equity ETF
Large Cap Growth Equities, Dividend

25%

DEM.L
WisdomTree Emerging Markets Equity Income UCITS ETF
Emerging Markets Equities

20%

S&P 500

Performance

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


15.00%20.00%25.00%30.00%35.00%40.00%OctoberNovemberDecember2024FebruaryMarch
34.51%
40.01%
DM
Benchmark (^GSPC)
Portfolio components

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

Returns


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
7.70%6.01%13.76%29.03%12.89%10.63%
DM 3.64%3.09%8.33%14.68%N/AN/A
SCHD
Schwab US Dividend Equity ETF
2.65%1.49%6.69%7.27%12.26%11.35%
VWRL.L
Vanguard FTSE All-World UCITS ETF Distributing
5.15%3.65%11.43%21.27%11.93%12.14%
DEM.L
WisdomTree Emerging Markets Equity Income UCITS ETF
2.22%4.12%10.01%17.07%7.45%N/A
KMLM
KFA Mount Lucas Index Strategy ETF
2.12%2.51%-6.33%-2.19%N/AN/A

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
2024-0.02%2.96%
2023-2.28%-2.53%-3.14%6.18%4.65%

Sharpe Ratio

The current DM Sharpe ratio is 1.97. A Sharpe ratio greater than 1.0 is considered acceptable.

0.002.004.001.97

The Sharpe ratio of DM lies between the 25th and 75th percentiles. It indicates that the portfolio's risk-adjusted performance is in line with the majority of portfolios. This suggests a balanced approach to risk and return, which might be suitable for a broad range of investors.


Rolling 12-month Sharpe Ratio0.501.001.502.002.50OctoberNovemberDecember2024FebruaryMarch
1.97
2.44
DM
Benchmark (^GSPC)
Portfolio components

Dividend yield

DM granted a 1.78% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
DM 1.78%1.86%2.79%2.30%1.70%1.87%2.10%1.77%1.86%2.14%2.24%1.99%
SCHD
Schwab US Dividend Equity ETF
3.40%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
2.03%2.16%2.47%2.00%2.00%2.48%2.94%2.46%2.51%3.06%3.52%3.06%
DEM.L
WisdomTree Emerging Markets Equity Income UCITS ETF
0.07%0.08%0.09%0.06%0.06%0.05%0.06%0.04%0.02%0.07%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%

Expense Ratio

The DM has a high expense ratio of 0.30%, 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.


0.50%1.00%1.50%2.00%0.90%
0.50%1.00%1.50%2.00%0.22%
0.50%1.00%1.50%2.00%0.06%

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
^GSPC
S&P 500
2.44
DM
1.97
SCHD
Schwab US Dividend Equity ETF
1.07
VWRL.L
Vanguard FTSE All-World UCITS ETF Distributing
2.22
DEM.L
WisdomTree Emerging Markets Equity Income UCITS ETF
1.52
KMLM
KFA Mount Lucas Index Strategy ETF
-0.19

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

KMLMSCHDDEM.LVWRL.L
KMLM1.00-0.11-0.10-0.15
SCHD-0.111.000.420.57
DEM.L-0.100.421.000.69
VWRL.L-0.150.570.691.00

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.


-15.00%-10.00%-5.00%0.00%OctoberNovemberDecember2024FebruaryMarch00
DM
Benchmark (^GSPC)
Portfolio components

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 199 trading sessions.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-16.82%Jan 13, 2022193Oct 11, 2022199Jul 19, 2023392
-8.46%Aug 1, 202364Oct 27, 202334Dec 14, 202398
-4.06%Nov 17, 202110Nov 30, 202121Dec 29, 202131
-3.97%Jan 15, 202111Jan 29, 20216Feb 8, 202117
-3.82%Sep 7, 202110Sep 20, 202121Oct 19, 202131

Volatility Chart

The current DM volatility is 2.46%, 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.


1.50%2.00%2.50%3.00%3.50%4.00%4.50%5.00%OctoberNovemberDecember2024FebruaryMarch
2.46%
3.47%
DM
Benchmark (^GSPC)
Portfolio components
0 comments