model portfolio
Asset Allocation
Performance
Performance Chart
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
The earliest data available for this chart is May 8, 2019, corresponding to the inception date of DBMF
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% |
| model portfolio | 10.76% | -1.28% | 8.83% | 13.57% | 10.09% | N/A |
| Portfolio components: | ||||||
NTSX WisdomTree U.S. Efficient Core Fund | 11.53% | -1.07% | 9.47% | 17.37% | 10.72% | N/A |
TAIL Cambria Tail Risk ETF | -5.25% | 2.11% | -2.98% | -7.53% | -8.35% | N/A |
DBMF iM DBi Managed Futures Strategy ETF | 14.36% | -2.93% | 10.96% | 10.44% | 8.62% | N/A |
COM Direxion Auspice Broad Commodity Strategy ETF | 4.93% | -0.73% | 4.85% | -0.81% | 9.29% | N/A |
Monthly Returns
The table below presents the monthly returns of model portfolio, 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 | 1.62% | 3.10% | 2.69% | -1.94% | 3.09% | 3.05% | 10.76% | ||||||
| 2023 | 4.16% | -2.78% | 2.52% | 1.27% | -0.29% | 3.48% | 1.67% | -1.37% | -2.88% | -2.44% | 5.66% | 3.09% | 12.29% |
| 2022 | -3.72% | -0.93% | 2.63% | -4.33% | -0.56% | -4.21% | 5.09% | -3.19% | -6.49% | 4.25% | 2.39% | -3.92% | -12.95% |
| 2021 | -0.75% | 1.99% | 2.25% | 4.40% | 1.15% | 2.05% | 2.51% | 1.29% | -3.32% | 5.10% | -1.07% | 2.32% | 19.11% |
| 2020 | 1.23% | -4.71% | -5.20% | 7.99% | 2.80% | 0.54% | 5.11% | 4.29% | -2.73% | -2.11% | 7.10% | 3.56% | 18.18% |
| 2019 | -1.47% | 4.73% | 1.20% | 2.07% | 0.17% | 0.93% | 2.02% | 1.56% | 11.66% |
Expense Ratio
model portfolio features an expense ratio of 0.40%, 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 model portfolio is 56, 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 | |
|---|---|---|---|---|---|
NTSX WisdomTree U.S. Efficient Core Fund | 1.30 | 1.88 | 1.23 | 0.69 | 4.36 |
TAIL Cambria Tail Risk ETF | -0.86 | -1.17 | 0.87 | -0.16 | -1.13 |
DBMF iM DBi Managed Futures Strategy ETF | 0.98 | 1.41 | 1.17 | 0.59 | 2.64 |
COM Direxion Auspice Broad Commodity Strategy ETF | -0.17 | -0.18 | 0.98 | -0.10 | -0.31 |
Dividends
Dividend yield
model portfolio granted a 2.12% dividend yield in the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|
| model portfolio | 2.12% | 1.91% | 3.36% | 3.67% | 0.80% | 3.05% | 0.70% | 0.05% |
| Portfolio components: | ||||||||
NTSX WisdomTree U.S. Efficient Core Fund | 1.14% | 1.21% | 1.36% | 0.82% | 0.92% | 1.53% | 0.62% | 0.00% |
TAIL Cambria Tail Risk ETF | 4.40% | 3.74% | 1.50% | 0.49% | 0.36% | 1.58% | 1.52% | 0.91% |
DBMF iM DBi Managed Futures Strategy ETF | 4.00% | 2.91% | 7.72% | 10.38% | 0.86% | 9.35% | 0.00% | 0.00% |
COM Direxion Auspice Broad Commodity Strategy ETF | 3.91% | 3.80% | 8.59% | 10.32% | 0.13% | 1.09% | 2.36% | 0.09% |
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 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.
The current model portfolio drawdown is 3.41%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -19.85% | Feb 20, 2020 | 23 | Mar 23, 2020 | 79 | Jul 15, 2020 | 102 |
| -15.62% | Dec 28, 2021 | 202 | Oct 14, 2022 | 325 | Feb 1, 2024 | 527 |
| -6.99% | Sep 3, 2020 | 14 | Sep 23, 2020 | 44 | Nov 24, 2020 | 58 |
| -4.06% | Jul 17, 2024 | 7 | Jul 25, 2024 | — | — | — |
| -4.01% | Nov 10, 2021 | 15 | Dec 1, 2021 | 17 | Dec 27, 2021 | 32 |
Volatility
Volatility Chart
The current model portfolio volatility is 3.03%, 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
| COM | DBMF | NTSX | TAIL | |
|---|---|---|---|---|
| COM | 1.00 | 0.23 | 0.15 | -0.08 |
| DBMF | 0.23 | 1.00 | 0.05 | -0.22 |
| NTSX | 0.15 | 0.05 | 1.00 | -0.51 |
| TAIL | -0.08 | -0.22 | -0.51 | 1.00 |