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

model portfolio

Last updated Mar 2, 2024

Asset Allocation


DBMF 20%COM 10%NTSX 66%TAIL 4%AlternativesAlternativesCommodityCommodityMulti-AssetMulti-Asset
PositionCategory/SectorWeight
DBMF
iM DBi Managed Futures Strategy ETF
Hedge Fund, Actively Managed

20%

COM
Direxion Auspice Broad Commodity Strategy ETF
Commodities

10%

NTSX
WisdomTree U.S. Efficient Core Fund
Diversified Portfolio, Actively Managed

66%

TAIL
Cambria Tail Risk ETF
Diversified Portfolio, Actively Managed

4%

S&P 500

Performance

The chart shows the growth of an initial investment of $10,000 in model portfolio, 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


40.00%50.00%60.00%70.00%80.00%OctoberNovemberDecember2024FebruaryMarch
62.30%
78.41%
model portfolio
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is May 8, 2019, corresponding to the inception date of DBMF

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%
model portfolio5.63%2.42%8.93%15.78%N/AN/A
NTSX
WisdomTree U.S. Efficient Core Fund
6.59%2.77%13.32%25.23%12.00%N/A
TAIL
Cambria Tail Risk ETF
-4.29%-2.00%-4.96%-11.58%-8.04%N/A
DBMF
iM DBi Managed Futures Strategy ETF
7.03%2.87%2.35%-0.63%N/AN/A
COM
Direxion Auspice Broad Commodity Strategy ETF
0.63%0.87%-4.78%-3.01%7.87%N/A

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
20241.62%3.10%
2023-1.37%-2.88%-2.44%5.66%3.09%

Sharpe Ratio

The current model portfolio Sharpe ratio is 1.99. A Sharpe ratio greater than 1.0 is considered acceptable.

0.002.004.001.99

The Sharpe ratio of model portfolio 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 Ratio0.000.501.001.502.002.50OctoberNovemberDecember2024FebruaryMarch
1.99
2.44
model portfolio
Benchmark (^GSPC)
Portfolio components

Dividend yield

model portfolio granted a 1.83% dividend yield in the last twelve months.


TTM2023202220212020201920182017
model portfolio1.83%1.91%3.36%3.67%0.80%3.05%0.70%0.05%
NTSX
WisdomTree U.S. Efficient Core Fund
1.13%1.21%1.36%0.82%0.92%1.53%0.62%0.00%
TAIL
Cambria Tail Risk ETF
3.90%3.74%1.50%0.49%0.36%1.58%1.52%0.91%
DBMF
iM DBi Managed Futures Strategy ETF
2.72%2.91%7.72%10.38%0.86%9.35%0.00%0.00%
COM
Direxion Auspice Broad Commodity Strategy ETF
3.78%3.80%8.59%10.30%0.13%1.09%2.36%0.09%

Expense Ratio

The model portfolio has a high expense ratio of 0.40%, 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%0.85%
0.50%1.00%1.50%2.00%0.59%
0.50%1.00%1.50%2.00%0.20%

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
model portfolio
1.99
NTSX
WisdomTree U.S. Efficient Core Fund
2.15
TAIL
Cambria Tail Risk ETF
-1.00
DBMF
iM DBi Managed Futures Strategy ETF
-0.07
COM
Direxion Auspice Broad Commodity Strategy ETF
-0.36

Asset Correlations Table

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

COMDBMFNTSXTAIL
COM1.000.200.15-0.08
DBMF0.201.000.05-0.20
NTSX0.150.051.00-0.53
TAIL-0.08-0.20-0.531.00

Drawdowns Chart

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


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

Worst Drawdowns

The table below displays the maximum drawdowns of the model portfolio. 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 model portfolio was 19.85%, occurring on Mar 23, 2020. Recovery took 79 trading sessions.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-19.85%Feb 20, 202023Mar 23, 202079Jul 15, 2020102
-15.62%Dec 28, 2021202Oct 14, 2022325Feb 1, 2024527
-6.99%Sep 3, 202014Sep 23, 202044Nov 24, 202058
-4.01%Nov 10, 202115Dec 1, 202117Dec 27, 202132
-3.74%Sep 3, 202119Sep 30, 202115Oct 21, 202134

Volatility Chart

The current model portfolio volatility is 2.95%, 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
2.95%
3.47%
model portfolio
Benchmark (^GSPC)
Portfolio components
0 comments