PortfoliosLab logo
Tools
Performance Analysis
Risk Analysis
Optimization
Factor Model
See All Tools
Portfolio Analysis
Portfolios
Lazy PortfoliosUser Portfolios
Discussions

EM

Last updated Mar 2, 2024

Asset Allocation


NTES 30%TSM 8%FLIN 8%EZA 8%FLBR 8%VNM 8%FLMX 8%IDX 8%EPHE 7%PDD 7%EquityEquity
PositionCategory/SectorWeight
NTES
NetEase, Inc.
Communication Services

30%

TSM
Taiwan Semiconductor Manufacturing Company Limited
Technology

8%

FLIN
Franklin FTSE India ETF
Asia Pacific Equities

8%

EZA
iShares MSCI South Africa ETF
Emerging Markets Equities

8%

FLBR
Franklin FTSE Brazil ETF
Latin America Equities

8%

VNM
VanEck Vectors Vietnam ETF
Asia Pacific Equities

8%

FLMX
Franklin FTSE Mexico ETF
Latin America Equities

8%

IDX
VanEck Vectors Indonesia Index ETF
Asia Pacific Equities

8%

EPHE
iShares MSCI Philippines ETF
Asia Pacific Equities

7%

PDD
Pinduoduo Inc.
Consumer Cyclical

7%

S&P 500

Performance

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


50.00%60.00%70.00%80.00%90.00%100.00%110.00%OctoberNovemberDecember2024FebruaryMarch
106.44%
81.05%
EM
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jul 26, 2018, corresponding to the inception date of PDD

Returns


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
7.70%6.01%13.76%29.03%12.89%10.63%
EM6.81%6.91%11.13%26.32%16.59%N/A
NTES
NetEase, Inc.
18.60%13.16%6.81%31.43%23.02%25.22%
TSM
Taiwan Semiconductor Manufacturing Company Limited
28.75%18.54%44.81%52.69%30.37%25.04%
FLIN
Franklin FTSE India ETF
6.16%3.78%17.90%34.48%12.57%N/A
EZA
iShares MSCI South Africa ETF
-8.95%-2.98%-2.23%-6.27%-1.27%-0.97%
FLBR
Franklin FTSE Brazil ETF
-4.77%0.83%9.51%31.57%1.50%N/A
EPHE
iShares MSCI Philippines ETF
6.39%4.42%13.78%5.64%-2.23%-1.15%
VNM
VanEck Vectors Vietnam ETF
5.26%7.09%-5.26%23.89%-2.55%-2.68%
FLMX
Franklin FTSE Mexico ETF
-3.05%-1.43%7.86%14.29%11.27%N/A
IDX
VanEck Vectors Indonesia Index ETF
-4.75%1.06%-7.29%-4.54%-4.08%-1.47%
PDD
Pinduoduo Inc.
-13.30%-0.02%22.81%32.47%33.46%N/A

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
2024-0.10%5.17%
2023-3.98%-3.14%-1.08%11.95%-2.07%

Sharpe Ratio

The current EM Sharpe ratio is 1.50. A Sharpe ratio greater than 1.0 is considered acceptable.

0.002.004.001.50

The Sharpe ratio of EM is in the bottom 25%, suggesting that this portfolio isn't performing as well in terms of risk-adjusted returns compared to many others. This could be due to lower returns, higher volatility, or both. It might be an indication that the portfolio needs fine-tuning.


Rolling 12-month Sharpe Ratio0.501.001.502.002.50OctoberNovemberDecember2024FebruaryMarch
1.50
2.44
EM
Benchmark (^GSPC)
Portfolio components

Dividend yield

EM granted a 2.71% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
EM2.71%2.78%2.98%1.86%1.90%3.08%1.64%0.93%1.28%1.30%1.51%1.35%
NTES
NetEase, Inc.
1.59%1.88%2.10%0.81%2.52%3.19%0.70%1.04%1.35%0.97%2.47%1.26%
TSM
Taiwan Semiconductor Manufacturing Company Limited
1.38%1.78%2.48%1.56%1.58%3.49%3.55%2.32%2.61%2.54%1.79%2.30%
FLIN
Franklin FTSE India ETF
0.69%0.73%0.73%2.27%0.68%0.90%0.92%0.00%0.00%0.00%0.00%0.00%
EZA
iShares MSCI South Africa ETF
3.12%2.84%3.90%2.05%5.51%12.27%3.81%1.55%4.10%3.03%2.20%2.44%
FLBR
Franklin FTSE Brazil ETF
9.29%8.84%11.99%8.71%2.32%3.42%3.73%0.42%0.00%0.00%0.00%0.00%
EPHE
iShares MSCI Philippines ETF
1.89%2.01%1.73%1.05%0.72%0.78%0.45%0.36%0.71%1.03%0.97%1.05%
VNM
VanEck Vectors Vietnam ETF
4.95%5.21%0.96%0.49%0.40%0.76%0.83%0.99%2.43%3.68%2.65%3.18%
FLMX
Franklin FTSE Mexico ETF
2.99%2.90%4.22%3.15%1.48%2.95%2.51%0.31%0.00%0.00%0.00%0.00%
IDX
VanEck Vectors Indonesia Index ETF
3.80%3.62%3.64%1.08%1.66%2.09%2.19%1.85%1.16%2.43%2.07%3.38%
PDD
Pinduoduo Inc.
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 EM has a high expense ratio of 0.23%, indicating higher-than-average management fees. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


0.68%
0.00%2.15%
0.59%
0.00%2.15%
0.59%
0.00%2.15%
0.57%
0.00%2.15%
0.19%
0.00%2.15%
0.19%
0.00%2.15%
0.19%
0.00%2.15%

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
^GSPC
S&P 500
2.44
EM
1.50
NTES
NetEase, Inc.
0.99
TSM
Taiwan Semiconductor Manufacturing Company Limited
1.73
FLIN
Franklin FTSE India ETF
2.97
EZA
iShares MSCI South Africa ETF
-0.27
FLBR
Franklin FTSE Brazil ETF
1.23
EPHE
iShares MSCI Philippines ETF
0.39
VNM
VanEck Vectors Vietnam ETF
1.01
FLMX
Franklin FTSE Mexico ETF
0.66
IDX
VanEck Vectors Indonesia Index ETF
-0.28
PDD
Pinduoduo Inc.
0.73

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

PDDVNMNTESEPHEFLBRTSMFLINFLMXIDXEZA
PDD1.000.290.520.230.260.370.250.250.290.36
VNM0.291.000.320.300.310.380.340.320.370.38
NTES0.520.321.000.250.290.390.310.290.320.41
EPHE0.230.300.251.000.390.370.400.440.480.48
FLBR0.260.310.290.391.000.360.410.530.420.53
TSM0.370.380.390.370.361.000.430.390.440.49
FLIN0.250.340.310.400.410.431.000.470.530.51
FLMX0.250.320.290.440.530.390.471.000.490.60
IDX0.290.370.320.480.420.440.530.491.000.58
EZA0.360.380.410.480.530.490.510.600.581.00

Drawdowns Chart

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


-15.00%-10.00%-5.00%0.00%OctoberNovemberDecember2024FebruaryMarch
-0.35%
0
EM
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the EM. 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 EM was 34.32%, occurring on Oct 24, 2022. Recovery took 270 trading sessions.

The current EM drawdown is 0.35%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-34.32%Feb 12, 2021428Oct 24, 2022270Nov 20, 2023698
-33.16%Jan 21, 202041Mar 18, 202058Jun 10, 202099
-16.96%Jul 27, 201866Oct 29, 201863Jan 31, 2019129
-13.08%May 6, 201964Aug 5, 201923Sep 6, 201987
-7.3%Aug 31, 202021Sep 29, 202026Nov 4, 202047

Volatility Chart

The current EM volatility is 5.92%, 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%7.00%OctoberNovemberDecember2024FebruaryMarch
5.92%
3.47%
EM
Benchmark (^GSPC)
Portfolio components
0 comments