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portfolio

Last updated Sep 21, 2023

Asset Allocation


CRI.PA 30%IPH.PA 26%ENGI.PA 17%STLAP.PA 15%ORA.PA 12%EquityEquity
PositionCategory/SectorWeight
CRI.PA
Chargeurs S.A.
Consumer Cyclical30%
IPH.PA
Innate Pharma
Healthcare26%
ENGI.PA
ENGIE SA
Utilities17%
STLAP.PA
Stellantis NV
Consumer Cyclical15%
ORA.PA
Orange S.A.
Communication Services12%

Performance

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


-5.00%0.00%5.00%10.00%15.00%AprilMayJuneJulyAugustSeptember
-6.17%
10.79%
portfolio
Benchmark (^GSPC)
Portfolio components

Returns


1 month6 monthsYear-To-Date1 year5 years (annualized)10 years (annualized)
Benchmark0.33%11.42%14.59%16.08%13.35%N/A
portfolio-4.79%-9.48%-4.25%19.39%0.34%N/A
ORA.PA
Orange S.A.
8.52%6.12%25.27%33.91%-0.03%N/A
STLAP.PA
Stellantis NV
9.47%23.51%52.49%65.27%15.85%N/A
ENGI.PA
ENGIE SA
1.45%18.13%24.12%41.06%8.24%N/A
CRI.PA
Chargeurs S.A.
-23.63%-45.04%-39.56%-24.30%-9.53%N/A
IPH.PA
Innate Pharma
-2.08%-6.04%-20.23%16.06%-19.38%N/A

Asset Correlations Table

The table below shows the correlation coefficients between the assets in the portfolio.

IPH.PAORA.PACRI.PAENGI.PASTLAP.PA
IPH.PA1.000.230.320.330.33
ORA.PA0.231.000.210.450.33
CRI.PA0.320.211.000.320.47
ENGI.PA0.330.450.321.000.45
STLAP.PA0.330.330.470.451.00

Sharpe Ratio

The current portfolio Sharpe ratio is 1.26. A Sharpe ratio greater than 1.0 is considered acceptable.

-1.000.001.002.003.004.001.26

The Sharpe ratio of portfolio is in the top 25%, it signifies superior risk-adjusted performance. This means that for the level of risk undertaken, the portfolio is generating impressive returns compared to most others.


Rolling 12-month Sharpe Ratio-0.500.000.501.00AprilMayJuneJulyAugustSeptember
1.26
1.20
portfolio
Benchmark (^GSPC)
Portfolio components

Dividend yield

portfolio granted a 5.37% dividend yield in the last twelve months.


TTM20222021202020192018201720162015201420132012
portfolio5.37%5.58%4.32%1.85%2.56%3.48%3.01%3.96%3.23%2.62%3.71%6.66%
ORA.PA
Orange S.A.
6.22%7.83%9.43%7.42%6.80%6.62%6.30%6.10%5.93%7.89%9.37%29.62%
STLAP.PA
Stellantis NV
7.20%8.56%2.96%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
ENGI.PA
ENGIE SA
9.23%6.98%4.82%0.00%3.25%7.29%7.94%11.74%9.40%9.81%15.24%18.26%
CRI.PA
Chargeurs S.A.
6.57%7.23%6.42%3.19%3.96%4.81%3.03%4.10%3.06%0.00%0.00%0.00%
IPH.PA
Innate Pharma
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Expense Ratio

The portfolio has an expense ratio of 0.00%, indicating no management fees are charged. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


The portfolio doesn't hold funds that charge fees

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
ORA.PA
Orange S.A.
1.77
STLAP.PA
Stellantis NV
2.25
ENGI.PA
ENGIE SA
2.00
CRI.PA
Chargeurs S.A.
-0.73
IPH.PA
Innate Pharma
0.34

Drawdowns Chart

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


-40.00%-30.00%-20.00%-10.00%0.00%AprilMayJuneJulyAugustSeptember
-37.84%
-8.26%
portfolio
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below shows the maximum drawdowns of the portfolio. A maximum drawdown is an indicator of risk. It shows a reduction in portfolio value from its maximum due to a series of losing trades.

The maximum drawdown since January 2010 for the portfolio is 53.13%, recorded on Oct 12, 2022. The portfolio has not recovered from it yet.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-53.13%Sep 20, 2021276Oct 12, 2022
-46.52%Feb 26, 2019271Mar 18, 2020214Jan 19, 2021485
-13.82%Apr 19, 202167Jul 20, 202132Sep 2, 202199
-6.88%Jan 21, 20213Jan 25, 202110Feb 8, 202113
-5.34%Mar 3, 20214Mar 8, 202118Apr 1, 202122

Volatility Chart

The current portfolio volatility is 6.42%, 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.


2.00%4.00%6.00%8.00%10.00%AprilMayJuneJulyAugustSeptember
6.42%
3.27%
portfolio
Benchmark (^GSPC)
Portfolio components