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Diversification

Last updated Mar 2, 2024

Asset Allocation


DTLA.L 20%SGLN.L 35%HEAE.L 25%SPXP.L 20%BondBondCommodityCommodityEquityEquity
PositionCategory/SectorWeight
DTLA.L
iShares USD Treasury Bond 20+yr UCITS ETF USD (Acc)
Government Bonds

20%

SGLN.L
iShares Physical Gold ETC
Precious Metals, Commodities

35%

HEAE.L
SPDR MSCI Europe Health Care UCITS ETF
Health & Biotech Equities

25%

SPXP.L
Invesco S&P 500 UCITS ETF
Large Cap Blend Equities

20%

S&P 500

Performance

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


-10.00%-5.00%0.00%5.00%10.00%OctoberNovemberDecember2024FebruaryMarch
1.59%
12.10%
Diversification
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Apr 4, 2022, corresponding to the inception date of HEAE.L

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%
Diversification1.46%1.93%6.48%12.86%N/AN/A
SPXP.L
Invesco S&P 500 UCITS ETF
7.14%3.66%14.13%28.54%15.74%N/A
SGLN.L
iShares Physical Gold ETC
0.34%1.92%6.77%11.62%10.54%7.18%
HEAE.L
SPDR MSCI Europe Health Care UCITS ETF
2.94%2.94%3.40%15.15%N/AN/A
DTLA.L
iShares USD Treasury Bond 20+yr UCITS ETF USD (Acc)
-4.29%-1.36%1.47%-3.28%-2.36%N/A

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
2024-0.03%0.74%
2023-1.28%-4.94%-0.29%5.40%4.52%

Sharpe Ratio

The current Diversification Sharpe ratio is 1.28. A Sharpe ratio greater than 1.0 is considered acceptable.

0.002.004.001.28

The Sharpe ratio of Diversification 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
1.28
2.44
Diversification
Benchmark (^GSPC)
Portfolio components

Dividend yield


Diversification doesn't pay dividends

Expense Ratio

The Diversification has an expense ratio of 0.07% which is considered to be low. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


0.50%1.00%1.50%2.00%0.05%
0.50%1.00%1.50%2.00%0.18%

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
Diversification
1.28
SPXP.L
Invesco S&P 500 UCITS ETF
2.51
SGLN.L
iShares Physical Gold ETC
0.91
HEAE.L
SPDR MSCI Europe Health Care UCITS ETF
0.65
DTLA.L
iShares USD Treasury Bond 20+yr UCITS ETF USD (Acc)
-0.21

Asset Correlations Table

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

DTLA.LSPXP.LSGLN.LHEAE.L
DTLA.L1.000.060.320.13
SPXP.L0.061.000.200.52
SGLN.L0.320.201.000.32
HEAE.L0.130.520.321.00

Drawdowns Chart

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


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%OctoberNovemberDecember2024FebruaryMarch00
Diversification
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Diversification. 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 Diversification was 19.98%, occurring on Sep 27, 2022. Recovery took 316 trading sessions.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-19.98%Apr 11, 2022115Sep 27, 2022316Dec 27, 2023431
-2.18%Feb 2, 20248Feb 13, 20248Feb 23, 202416
-2.08%Dec 28, 202314Jan 17, 202411Feb 1, 202425
-0.85%Apr 5, 20222Apr 6, 20222Apr 8, 20224
-0.24%Feb 26, 20242Feb 27, 20243Mar 1, 20245

Volatility Chart

The current Diversification volatility is 2.42%, 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%3.00%4.00%5.00%6.00%OctoberNovemberDecember2024FebruaryMarch
2.42%
3.47%
Diversification
Benchmark (^GSPC)
Portfolio components
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