DM
Asset Allocation
| Position | Category/Sector | Target Weight |
|---|---|---|
DEM.L WisdomTree Emerging Markets Equity Income UCITS ETF | Emerging Markets Equities | 20% |
KMLM KFA Mount Lucas Index Strategy ETF | Long-Short, Actively Managed | 10% |
SCHD Schwab US Dividend Equity ETF | Large Cap Growth Equities, Dividend | 25% |
VWRL.L Vanguard FTSE All-World UCITS ETF Distributing | Global Equities | 45% |
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 every 3 months.
The earliest data available for this chart is Dec 2, 2020, corresponding to the inception date of KMLM
Returns By Period
| YTD | 1M | 6M | 1Y | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | -10.18% | -6.92% | -9.92% | 5.42% | 12.98% | 9.70% |
| DM | -4.29% | -6.25% | -7.25% | 3.82% | N/A | N/A |
| Portfolio components: | ||||||
SCHD Schwab US Dividend Equity ETF | -6.12% | -8.49% | -10.14% | 4.46% | 12.75% | 10.27% |
VWRL.L Vanguard FTSE All-World UCITS ETF Distributing | -5.50% | -6.23% | -7.08% | 6.63% | 11.51% | 9.82% |
DEM.L WisdomTree Emerging Markets Equity Income UCITS ETF | 2.09% | -4.31% | -3.69% | 7.21% | 10.39% | 7.45% |
KMLM KFA Mount Lucas Index Strategy ETF | -6.65% | -4.17% | -7.53% | -15.24% | 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 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | 2.19% | -0.34% | -1.54% | -4.56% | -4.29% | ||||||||
| 2024 | 0.67% | 2.82% | 3.45% | -2.11% | 1.93% | 1.95% | 2.24% | 1.38% | 1.72% | -1.62% | 2.47% | -3.03% | 12.26% |
| 2023 | 4.01% | -2.78% | 1.23% | 1.20% | -1.38% | 4.38% | 4.49% | -2.18% | -2.41% | -3.08% | 5.78% | 4.59% | 14.06% |
| 2022 | -2.37% | -1.51% | 2.52% | -3.90% | 0.41% | -7.18% | 3.31% | -0.78% | -6.27% | 4.06% | 5.79% | -2.67% | -9.11% |
| 2021 | -0.47% | 3.99% | 4.22% | 3.05% | 2.17% | -0.14% | 0.10% | 2.17% | -2.27% | 3.39% | -2.27% | 4.46% | 19.65% |
| 2020 | 2.80% | 2.80% |
Expense Ratio
DM has an expense ratio of 0.30%, 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.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of DM is 28, indicating average performance compared to other portfolios on our website. Here’s a breakdown of how it compares using common performance measures.
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 | 0.13 | 0.29 | 1.04 | 0.13 | 0.51 |
VWRL.L Vanguard FTSE All-World UCITS ETF Distributing | 0.40 | 0.63 | 1.09 | 0.37 | 1.75 |
DEM.L WisdomTree Emerging Markets Equity Income UCITS ETF | 0.41 | 0.68 | 1.09 | 0.48 | 1.25 |
KMLM KFA Mount Lucas Index Strategy ETF | -1.36 | -1.82 | 0.79 | -0.51 | -1.64 |
Dividends
Dividend yield
DM provided a 2.64% dividend yield over the last twelve months.
| TTM | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.64% | 3.73% | 3.55% | 3.99% | 2.87% | 3.33% | 2.84% | 2.61% | 2.15% | 1.85% | 2.54% | 1.62% |
| Portfolio components: | ||||||||||||
SCHD Schwab US Dividend Equity ETF | 4.09% | 3.64% | 3.49% | 3.39% | 2.78% | 3.16% | 2.98% | 3.06% | 2.63% | 2.89% | 2.97% | 2.63% |
VWRL.L Vanguard FTSE All-World UCITS ETF Distributing | 0.63% | 0.83% | 1.73% | 2.04% | 1.45% | 1.58% | 1.95% | 2.23% | 1.90% | 1.85% | 1.98% | 2.14% |
DEM.L WisdomTree Emerging Markets Equity Income UCITS ETF | 6.23% | 11.82% | 9.48% | 7.05% | 4.14% | 9.14% | 6.10% | 4.19% | 3.16% | 1.48% | 4.55% | 0.00% |
KMLM KFA Mount Lucas Index Strategy ETF | 0.88% | 0.82% | 0.00% | 8.12% | 6.94% | 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. Drawdowns are calculated considering price movements and all distributions paid, if any.
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 15.93%, occurring on Oct 11, 2022. Recovery took 201 trading sessions.
The current DM drawdown is 7.71%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -15.93% | Jan 13, 2022 | 193 | Oct 11, 2022 | 201 | Jul 25, 2023 | 394 |
| -12.36% | Feb 21, 2025 | 32 | Apr 7, 2025 | — | — | — |
| -8.19% | Aug 1, 2023 | 64 | Oct 27, 2023 | 34 | Dec 14, 2023 | 98 |
| -6.39% | Jul 17, 2024 | 14 | Aug 5, 2024 | 12 | Aug 21, 2024 | 26 |
| -4.42% | Dec 10, 2024 | 22 | Jan 10, 2025 | 26 | Feb 17, 2025 | 48 |
Volatility
Volatility Chart
The current DM volatility is 7.21%, 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 | -0.10 | -0.10 | -0.14 |
| SCHD | -0.10 | 1.00 | 0.38 | 0.52 |
| DEM.L | -0.10 | 0.38 | 1.00 | 0.71 |
| VWRL.L | -0.14 | 0.52 | 0.71 | 1.00 |