PortfolioMetrics

KMLM vs. SVXY - ETF Comparison

KMLM - KFA Mount Lucas Managed Futures Index Strategy ETF

The KFA Mount Lucas Managed Futures Index Strategy ETF is an alternative investment fund that employs a global macro strategy, focusing on managed futures. The fund's equal weighting scheme aims to provide diversified exposure to various markets, with a focus on absolute returns.

SVXY - ProShares Short VIX Short-Term Futures ETF

The ProShares Short VIX Short-Term Futures ETF is an alternative investment fund that offers inverse exposure to the S&P 500 VIX Short-Term Futures Index, allowing investors to potentially benefit from decreasing volatility in the equity markets. The fund's strategy is designed to provide a daily inverse return of the VIX futures index, making it a sophisticated tool for investors seeking to manage risk or express a market view. However, due to its complex nature and potential for significant volatility, this fund is generally suitable for experienced investors with a deep understanding of the VIX and futures-based strategies.

KMLMSVXY
Fund NameKFA Mount Lucas Managed Futures Index Strategy ETFProShares Short VIX Short-Term Futures ETF
Fund ProviderCICCProshare Advisors LLC
IndexActive (No Index)S&P 500 VIX Short-Term Futures Index (-100%)
Asset ClassAlternativesAlternatives
ListingUS-listedUS-listed
Expense Ratio0.90%0.95%
Inception Date2020-12-022011-10-03
Number Of Holdings71
CurrencyUSDUSD
RegionGlobalUnited States
LeveragedNon-leveragedLeveraged
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Key Metrics

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Performance Metrics

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Risk Metrics

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Detailed Returns

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Benchmark Comparison

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Key Metrics

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Performance Metrics

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Risk Metrics

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Detailed Returns

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Benchmark Comparison

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Performance Analysis

The performance analysis examines historical data to assess the returns of the investment strategy, including key metrics such as Cumulative returns, End of Year (EoY) returns, and risk-adjusted returns like the Sharpe ratio or the Sortino ratio.

Cumulative Returns

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End of Year Returns Table

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End of Year Returns

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Risk Analysis

The risk analysis refers to an assessment of potential negative events that could lead to a loss of capital. Conducting a risk analysis can help in deciding whether an investment should be made. This is done using risk metrics such as drawdowns, volatility and beta which reflect stakeholders' confidence in the consistency of an investment strategy.

Drawdowns

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Drawdowns Table

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Monte Carlo Simulation

The Monte Carlo simulation is a statistical method used to forecast portfolio returns by generating a wide range of potential outcomes through random sampling from historical asset price data. It helps investors assess the potential risk and return of a portfolio under various market conditions. The simulation takes into account the initial investment and optionally simulates cash flow scenarios like fixed contributions, fixed withdrawals, or percentage withdrawals.

IMPORTANT: The forecast generated through Monte Carlo simulations is purely hypothetical and does not guarantee future returns. Investment decisions should be made with consideration of various factors, and past performance is not indicative of future results.

Monte Carlo Metrics

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Simulated Portfolio Prices

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