PortfoliosLab logo
PortfoliosLab logo
Tools
Portfolios
Screeners
Discussions
Nicole_1
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Nicole_1

Currency in EUR · Last updated May 29, 2025

Asset Allocation

XEON.DE 20%4GLD.DE 10%IQSA.DE 30%GERD.DE 20%LYPG.DE 20%BondBondCommodityCommodityEquityEquity
PositionCategory/SectorTarget Weight
4GLD.DE
Xetra-Gold ETF		Gold, Precious Metals
10%
GERD.DE
L&G Gerd Kommer Multifactor Equity UCITS ETF USD Acc		Global Equities
20%
IQSA.DE
Invesco Quantitative Strategies ESG Global Equity Multi-Factor UCITS ETF Acc		Global Equities
30%
LYPG.DE
Amundi MSCI World Information Technology UCITS ETF EUR Acc		Technology Equities
20%
XEON.DE
Xtrackers II EUR Overnight Rate Swap UCITS ETF 1C		Bank Loan
20%

S&P 500

Performance

Performance Chart

Loading data...

The earliest data available for this chart is Jun 21, 2023, corresponding to the inception date of GERD.DE

Returns By Period

YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500		0.12%6.51%-1.84%10.98%14.10%10.82%
Nicole_1-0.62%6.26%-0.48%10.10%N/AN/A
Portfolio components:
4GLD.DE
Xetra-Gold ETF		16.49%-0.06%16.91%34.63%13.37%10.42%
XEON.DE
Xtrackers II EUR Overnight Rate Swap UCITS ETF 1C		1.02%0.16%1.32%3.15%1.44%0.47%
GERD.DE
L&G Gerd Kommer Multifactor Equity UCITS ETF USD Acc		-0.37%6.72%-1.98%8.04%N/AN/A
IQSA.DE
Invesco Quantitative Strategies ESG Global Equity Multi-Factor UCITS ETF Acc		-1.99%9.00%-3.96%8.70%16.25%N/A
LYPG.DE
Amundi MSCI World Information Technology UCITS ETF EUR Acc		-9.11%13.52%-4.98%6.93%19.24%18.33%
*Annualized

Monthly Returns

The table below presents the monthly returns of Nicole_1, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20253.17%-1.82%-5.07%-2.20%5.67%-0.62%
20243.61%3.38%3.86%-1.45%1.43%4.56%-0.38%-0.21%1.70%1.54%5.69%-0.81%25.14%
20231.39%1.81%-0.54%-1.34%-1.57%4.70%3.36%7.89%
Go deeper with the Portfolio Analysis tool — backtest performance, assess risk, compare to benchmarks, and more

Expense Ratio

Nicole_1 has an expense ratio of 0.27%, which is considered low. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.

GERD.DE
L&G Gerd Kommer Multifactor Equity UCITS ETF USD Acc
IQSA.DE
Invesco Quantitative Strategies ESG Global Equity Multi-Factor UCITS ETF Acc
LYPG.DE
Amundi MSCI World Information Technology UCITS ETF EUR Acc
XEON.DE
Xtrackers II EUR Overnight Rate Swap UCITS ETF 1C
4GLD.DE
Xetra-Gold ETF

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Nicole_1 is 38, indicating average performance compared to other portfolios on our website. Here’s a breakdown of how it compares using common performance measures.

The Risk-Adjusted Performance Rank of Nicole_1 is 3838
Overall Rank
The Sharpe Ratio Rank of Nicole_1 is 4949
Sharpe Ratio Rank
The Sortino Ratio Rank of Nicole_1 is 3838
Sortino Ratio Rank
The Omega Ratio Rank of Nicole_1 is 4343
Omega Ratio Rank
The Calmar Ratio Rank of Nicole_1 is 3434
Calmar Ratio Rank
The Martin Ratio Rank of Nicole_1 is 2929
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

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.

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
4GLD.DE
Xetra-Gold ETF		2.152.891.386.3016.90
XEON.DE
Xtrackers II EUR Overnight Rate Swap UCITS ETF 1C		12.3326.257.8737.23410.71
GERD.DE
L&G Gerd Kommer Multifactor Equity UCITS ETF USD Acc		0.490.791.110.451.71
IQSA.DE
Invesco Quantitative Strategies ESG Global Equity Multi-Factor UCITS ETF Acc		0.470.741.110.411.44
LYPG.DE
Amundi MSCI World Information Technology UCITS ETF EUR Acc		0.250.511.070.230.65

The Sharpe ratio helps investors understand how much return they're getting for the level of risk taken. A higher Sharpe ratio indicates better risk-adjusted performance, meaning more reward for each unit of risk.

Nicole_1 Sharpe ratios as of May 29, 2025 (values are recalculated daily):

  • 1-Year: 0.74
  • All Time: 1.45

These values reflect how efficiently the investment has delivered returns relative to its volatility over different time periods. All figures are annualized and based on daily total returns (including price changes and dividends).

Compared to the broad market, where average Sharpe ratios range from 0.52 to 1.05, this portfolio's current Sharpe ratio falls between the 25th and 75th percentiles. This indicates that its risk-adjusted performance is in line with the majority of portfolios, suggesting a balanced approach to risk and return—likely suitable for a wide range of investors.

The chart below shows the rolling Sharpe ratio of Nicole_1 compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time.

Loading data...

Go to the full Sharpe Ratio tool to analyze any stock or portfolio. Customize time frames, set your own risk-free rate, and more

Dividends

Dividend yield

Nicole_1 doesn't pay dividends

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.

Loading data...

Worst Drawdowns

The table below displays the maximum drawdowns of the Nicole_1. 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 Nicole_1 was 15.97%, occurring on Apr 9, 2025. The portfolio has not yet recovered.

The current Nicole_1 drawdown is 5.00%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-15.97%Feb 20, 202535Apr 9, 2025———
-7.9%Jul 17, 202414Aug 5, 202442Oct 2, 202456
-4.21%Sep 6, 202338Oct 27, 202312Nov 14, 202350
-3.97%Jul 28, 202316Aug 18, 202312Sep 5, 202328
-3.11%Apr 15, 20246Apr 22, 202416May 15, 202422
Go to the full Drawdowns tool for more analysis options, including inflation-adjusted drawdowns, and more

Volatility

Volatility Chart

The chart below shows the rolling one-month volatility.

Loading data...

Diversification

Diversification Metrics

Number of Effective Assets

The portfolio contains 5 assets, with an effective number of assets of 4.55, reflecting the diversification based on asset allocation. This number of effective assets suggests a highly concentrated portfolio, where a few assets dominate the allocation, potentially increasing the portfolio's risk due to lack of diversification.

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.
^GSPCXEON.DE4GLD.DELYPG.DEGERD.DEIQSA.DEPortfolio
^GSPC1.000.030.040.560.490.530.57
XEON.DE0.031.000.09-0.01-0.06-0.07-0.03
4GLD.DE0.040.091.000.010.150.090.22
LYPG.DE0.56-0.010.011.000.660.770.88
GERD.DE0.49-0.060.150.661.000.830.87
IQSA.DE0.53-0.070.090.770.831.000.93
Portfolio0.57-0.030.220.880.870.931.00
The correlation results are calculated based on daily price changes starting from Jun 22, 2023
Go to the full Correlations tool for more customization options