CMDY Summary
| Fund Family | NA |
| Category | NA |
| Structure | NA |
| Inception Date | NA |
| Expense Ratio | NA |
| Yield | NA |
| Net Assets | NA |
| Avg. Volume | NA |
Report Card
D
Protect
CMDY provides poor risk protection. It generates 3.7% returns above inflation with 10.2% downside volatility and 12.1% Ulcer Index. These downside risk measures rank in the bottom 40% of all funds that generate real returns.
B+
Perform
CMDY provides good risk-adjusted returns. It has generated 7.7% annual returns over the last three years which ranks better than 80% of all funds. It has a 0.5 Sortino ratio and 0.4 UPI, ranking in the top 40% of all competing funds for risk-adjusted returns.
A-
Participate
CMDY provides superior diversification of the S&P 500. Optimal diversification reduces downside risk by 23.5% while only reducing annual returns by 1.7% compared to SPY alone. Overall CMDY diversification improves the risk-adjusted performance of the S&P 500 by 27.8% with a 1.0 UPI, ranking in the top 20% of all competing diversifiers.
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Key Performance Metrics
Protect
We measure a funds ability to protect on against stock market declines by comparing various downside specific risk measures. Max drawdown is the largest decline for the security while the Ulcer Index quantifies both the depth and breath of all drawdowns. We also look at downside volatility and beta, both of which are measured relative to the S&P 500.
| Statistic | 1 Year | 3 Years | 5 Years |
|---|
| Max Drawdown | -14.67% | -26.08% | -26.08% |
| Recovery Time | Ongoing | Ongoing | Ongoing |
| Ulcer Index | 8.31% | 13.00% | 12.54% |
| Downside Volatility | 8.66% | 9.67% | 10.16% |
| Downside Beta | 0.24 | 0.34 | 0.45 |
Perform
We measure a securities ability to Perform by comparing net annual returns relative to our benchmarks. To measure absolute performance, we use the well-known Sharpe and Sortino ratios but prefer a risk-adjusted ratio such as Jenson's Alpha. Ultimately, performance is the most critical variable in fund selection so we take a much deeper dive into this measure.
| Statistic | 1 Year | 3 Years | 5 Years |
|---|
| Annual Returns | -4.43% | 14.19% | 5.76% |
| UPI | -1.05 | 1.09 | 0.27 |
| Sortino Ratio | -1.01 | 1.46 | 0.34 |
| Sharpe Ratio | -0.73 | 0.93 | 0.23 |
| Jensen's Alpha | -11.32% | 10.74% | -0.12% |
Participate
Participate measures the ability of a security to improve the effecient frontier of a stock portfolio. If the letter grade for this fund is an F, the fund does not provide any diversification or participation benefit. The Statistics presented are calculated using an either an optimal mix of CMDY or, if no participation benefit exists, a 60% S&P 500 and 40% CMDY.
| Statistic | 1 Year | 3 Years | 5 Years |
|---|
| Ulcer Index | 3.26% | 7.17% | 7.47% |
| Downside Volatility | 7.52% | 8.96% | 10.96% |
| Annual Returns | 4.22% | 12.29% | 10.31% |
| UPI | -0.02 | 1.70 | 1.07 |
| Sortino Ratio | -0.01 | 1.36 | 0.73 |
Comparison
Returns
Ulcer impact
| Statistic | CMDY | VBINX | AOM | MAPSA |
|---|
| Value Per 10K | $14,891 | $10,885 | $10,003 | $11,938 |
| Total Returns | 48.91% | 8.85% | 0.03% | 19.38% |
| Annual Returns | 14.19% | 2.87% | 0.01% | 6.08% |
| Standard Deviation | 15.13% | 12.64% | 9.89% | 10.91% |
| Downside Deviation | 9.67% | 8.73% | 7.05% | 6.08% |
| Max Drawdown | -26.08% | -21.61% | -19.96% | -17.66% |
| Recovery Time | Ongoing | Ongoing | Ongoing | Ongoing |
| Ulcer Index | 13.00% | 10.18% | 9.17% | 9.82% |
| Sharpe Ratio | 0.93 | 0.22 | -0.01 | 0.55 |
| Sortino Ratio | 1.46 | 0.32 | -0.01 | 0.99 |
| Ulcer Perf. Index | 1.09 | 0.27 | -0.01 | 0.61 |
| Beta | 0.33 | 0.70 | 0.52 | 0.31 |
| Downside Beta | 0.34 | 0.74 | 0.54 | 0.27 |
| Treynor Ratio | 0.43 | 0.04 | 0.00 | 0.20 |
| Jensen's Alpha | 10.74% | -4.30% | -5.33% | 2.91% |
| Mac's Alpha | 10.70% | -4.71% | -5.54% | 3.26% |
Bottom Line
CMDY is a commodities/real asset fund that invests in commodity futures contracts. The primary purpose of the fund is to hedge inflation risk including the debasement of the USD. A secondary goal is to diversify a traditional investment strategy and hedge higher interest rates. However, due to various regulations and because of the inherent nature of commodity futures, the great majority of real asset funds have failed to track the price movements of the underlying commodities. An investor must do their due diligence on the fund and make sure it provides returns that are commensurate with its benchmark index.
The following is a partial list of why commodity funds such as CMDY have failed in tracking their benchmark:
- High expense load: This fund carries a significant management fee and may incur significant expenses in continuously trading futures contracts.
- Free-riding: There is no conclusive means of ensuring the fund manager is not free-riding the fund for his or her own benefit.
- Front-running: Commodity funds must roll contracts on a continuous basis and given the predictability of when the contracts expire, it is relatively easy for bad actors to front-run the fund.
- Style drift: There is no guarantee the fund manager will not shift styles or benchmarks to obfuscate performance measures if the fund fails to deliver on its investment objective.
- There are various regulatory limitations on '40 Act Funds investing in commodity futures. These limitations have historically placed an undue burden on "trend following" strategies and commodity index funds.
Free Risk Profile Assessment
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- Does my portfolio match my level of risk aversion?
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- What is my interest rate risk exposure?
- What is my downside risk if the S&P 500 falls 50%?
- Is my portfolio adequately hedged for inflation?
- What is the upside expectation for my portfolio when the S&P 500 appreciates?
- How will my portfolio react in various economic climates?
- Are there more effective ways to hedge risk than my current approach?
