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N1
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Risk-Adjusted Performance
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Volatility
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N1

Last updated Nov 14, 2024

Asset Allocation

ESGU.DE 40.88%EEUD.L 34.87%EDG2.L 15.62%WELE.DE 4.6%PAJS.L 2.1%CSY8.DE 1.93%EquityEquity
PositionCategory/SectorWeight
CSY8.DE
CSIF (IE) MSCI USA Small Cap ESG Leaders Blue UCITS ETF B USD		Small Cap Blend Equities
1.93%
EDG2.L
iShares MSCI EM ESG Enhanced UCITS ETF USD (Acc)		Emerging Markets Equities
15.62%
EEUD.L
iShares MSCI Europe ESG Enhanced UCITS ETF EUR (Dist)		Europe Equities
34.87%
ESGU.DE
Invesco MSCI USA ESG Universal Screened UCITS ETF Acc		Large Cap Blend Equities
40.88%
PAJS.L
Invesco MSCI Japan ESG Climate Paris Aligned UCITS ETF Acc		Japan Equities
2.10%
WELE.DE
Amundi S&P 500 Equal Weight ESG Leaders UCITS ETF - USD Acc		Large Cap Blend Equities
4.60%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in N1, 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%JuneJulyAugustSeptemberOctoberNovember
3.50%
12.76%
N1
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jun 21, 2022, corresponding to the inception date of WELE.DE

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		25.48%2.14%12.76%33.14%13.96%11.39%
N113.04%-2.75%3.50%21.16%N/AN/A
Portfolio components:
WELE.DE
Amundi S&P 500 Equal Weight ESG Leaders UCITS ETF - USD Acc		15.44%0.44%9.38%27.16%N/AN/A
CSY8.DE
CSIF (IE) MSCI USA Small Cap ESG Leaders Blue UCITS ETF B USD		15.09%5.23%10.28%29.73%N/AN/A
PAJS.L
Invesco MSCI Japan ESG Climate Paris Aligned UCITS ETF Acc		0.12%-5.99%0.39%8.57%N/AN/A
ESGU.DE
Invesco MSCI USA ESG Universal Screened UCITS ETF Acc		26.95%2.69%14.25%35.66%16.82%N/A
EDG2.L
iShares MSCI EM ESG Enhanced UCITS ETF USD (Acc)		7.86%-7.05%0.89%12.05%N/AN/A
EEUD.L
iShares MSCI Europe ESG Enhanced UCITS ETF EUR (Dist)		0.03%-8.15%-8.36%8.35%5.62%N/A

Monthly Returns

The table below presents the monthly returns of N1, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-0.23%3.09%3.44%-2.76%3.33%1.43%2.04%2.07%2.35%-2.81%13.04%
20236.83%-2.86%2.68%1.79%-1.57%5.25%3.55%-2.81%-4.44%-3.52%9.05%5.89%20.41%
2022-0.05%5.87%-4.17%-8.83%4.49%9.00%-2.17%2.99%

Expense Ratio

N1 has an expense ratio of 0.12%, which is considered low compared to other funds. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.

CSY8.DE
CSIF (IE) MSCI USA Small Cap ESG Leaders Blue UCITS ETF B USD
Expense ratio chart for CSY8.DE: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%
PAJS.L
Invesco MSCI Japan ESG Climate Paris Aligned UCITS ETF Acc
Expense ratio chart for PAJS.L: current value at 0.19% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.19%
WELE.DE
Amundi S&P 500 Equal Weight ESG Leaders UCITS ETF - USD Acc
Expense ratio chart for WELE.DE: current value at 0.18% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.18%
EDG2.L
iShares MSCI EM ESG Enhanced UCITS ETF USD (Acc)
Expense ratio chart for EDG2.L: current value at 0.18% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.18%
EEUD.L
iShares MSCI Europe ESG Enhanced UCITS ETF EUR (Dist)
Expense ratio chart for EEUD.L: current value at 0.12% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.12%
ESGU.DE
Invesco MSCI USA ESG Universal Screened UCITS ETF Acc
Expense ratio chart for ESGU.DE: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of N1 is 25, 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.

The Risk-Adjusted Performance Rank of N1 is 2525
Combined Rank
The Sharpe Ratio Rank of N1 is 1818Sharpe Ratio Rank
The Sortino Ratio Rank of N1 is 2020Sortino Ratio Rank
The Omega Ratio Rank of N1 is 1919Omega Ratio Rank
The Calmar Ratio Rank of N1 is 4242Calmar Ratio Rank
The Martin Ratio Rank of N1 is 2727Martin 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.

N1
Sharpe ratio
The chart of Sharpe ratio for N1, currently valued at 1.83, compared to the broader market0.002.004.006.001.83
Sortino ratio
The chart of Sortino ratio for N1, currently valued at 2.59, compared to the broader market-2.000.002.004.006.002.59
Omega ratio
The chart of Omega ratio for N1, currently valued at 1.33, compared to the broader market0.801.001.201.401.601.802.001.33
Calmar ratio
The chart of Calmar ratio for N1, currently valued at 2.80, compared to the broader market0.005.0010.0015.002.80
Martin ratio
The chart of Martin ratio for N1, currently valued at 10.91, compared to the broader market0.0010.0020.0030.0040.0050.0060.0010.91
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.91, compared to the broader market0.002.004.006.002.91
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.88, compared to the broader market-2.000.002.004.006.003.88
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.55, compared to the broader market0.801.001.201.401.601.802.001.55
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 4.20, compared to the broader market0.005.0010.0015.004.20
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 18.80, compared to the broader market0.0010.0020.0030.0040.0050.0060.0018.80
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
WELE.DE
Amundi S&P 500 Equal Weight ESG Leaders UCITS ETF - USD Acc		2.393.371.434.4213.50
CSY8.DE
CSIF (IE) MSCI USA Small Cap ESG Leaders Blue UCITS ETF B USD		1.592.341.292.908.34
PAJS.L
Invesco MSCI Japan ESG Climate Paris Aligned UCITS ETF Acc		0.180.561.120.240.34
ESGU.DE
Invesco MSCI USA ESG Universal Screened UCITS ETF Acc		2.984.101.574.2917.89
EDG2.L
iShares MSCI EM ESG Enhanced UCITS ETF USD (Acc)		0.701.101.131.083.52
EEUD.L
iShares MSCI Europe ESG Enhanced UCITS ETF EUR (Dist)		0.520.791.100.652.09

Sharpe Ratio

The current N1 Sharpe ratio is 1.83. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Compared to the broad market, where average Sharpe ratios range from 2.06 to 2.97, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests that it may not be performing as well in terms of risk-adjusted returns compared to many other portfolios. The lower performance could be due to either lower returns, higher volatility, or a combination of both. This might indicate that the portfolio requires some fine-tuning. You can use the Portfolio Optimization tool to find an allocation that maximizes the Sharpe ratio.

Use the chart below to compare the Sharpe ratio of N1 with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.

Rolling 12-month Sharpe Ratio1.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
1.83
2.91
N1
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

N1 provided a 1.02% dividend yield over the last twelve months.

TTM20232022202120202019
Portfolio1.02%0.96%1.02%0.80%0.67%0.95%
Portfolio components:
WELE.DE
Amundi S&P 500 Equal Weight ESG Leaders UCITS ETF - USD Acc		0.00%0.00%0.00%0.00%0.00%0.00%
CSY8.DE
CSIF (IE) MSCI USA Small Cap ESG Leaders Blue UCITS ETF B USD		0.00%0.00%0.00%0.00%0.00%0.00%
PAJS.L
Invesco MSCI Japan ESG Climate Paris Aligned UCITS ETF Acc		0.00%0.00%0.00%0.00%0.00%0.00%
ESGU.DE
Invesco MSCI USA ESG Universal Screened UCITS ETF Acc		0.00%0.00%0.00%0.00%0.00%0.00%
EDG2.L
iShares MSCI EM ESG Enhanced UCITS ETF USD (Acc)		0.00%0.00%0.00%0.00%0.00%0.00%
EEUD.L
iShares MSCI Europe ESG Enhanced UCITS ETF EUR (Dist)		2.93%2.76%2.92%2.30%1.92%2.72%

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.

-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-3.09%
-0.27%
N1
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the N1. 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 N1 was 17.38%, occurring on Oct 11, 2022. Recovery took 73 trading sessions.

The current N1 drawdown is 3.09%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-17.38%Aug 17, 202240Oct 11, 202273Jan 23, 2023113
-11.33%Jul 31, 202365Oct 27, 202333Dec 13, 202398
-8.55%Feb 3, 202329Mar 15, 202345May 22, 202374
-7.17%Jul 15, 202416Aug 5, 202412Aug 21, 202428
-5.28%Jun 28, 202213Jul 14, 20225Jul 21, 202218

Volatility

Volatility Chart

The current N1 volatility is 3.08%, 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%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
3.08%
3.75%
N1
Benchmark (^GSPC)
Portfolio components

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.
PAJS.LEDG2.LCSY8.DEEEUD.LESGU.DEWELE.DE
PAJS.L1.000.610.490.650.570.54
EDG2.L0.611.000.520.690.580.54
CSY8.DE0.490.521.000.670.770.87
EEUD.L0.650.690.671.000.720.74
ESGU.DE0.570.580.770.721.000.89
WELE.DE0.540.540.870.740.891.00
The correlation results are calculated based on daily price changes starting from Jun 22, 2022