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Climate
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


NEE 20%GE 20%ENPH 20%TAN 20%FTEK 20%EquityEquity

Performance

Performance Chart


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The earliest data available for this chart is Mar 30, 2012, corresponding to the inception date of ENPH

Returns By Period

As of May 11, 2025, the Climate returned -2.60% Year-To-Date and 14.49% of annualized return in the last 10 years.


YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500
-0.64%8.97%-2.62%11.90%15.76%10.69%
Climate-2.70%7.58%-5.39%-16.55%18.05%14.25%
NEE
NextEra Energy, Inc.
-1.99%5.90%-6.82%-2.89%6.47%13.48%
GE
General Electric Company
31.52%20.52%19.05%34.91%50.91%6.85%
ENPH
Enphase Energy, Inc.
-30.20%-7.61%-24.69%-55.75%-3.58%16.41%
TAN
Invesco Solar ETF
-0.27%19.16%-8.15%-21.08%1.34%-2.81%
FTEK
Fuel Tech, Inc.
-8.86%-0.84%-4.30%-24.65%0.58%-9.85%
*Annualized

Monthly Returns

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


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20251.70%-1.98%0.79%-9.71%7.26%-2.70%
2024-7.82%7.56%8.37%0.58%8.95%-11.62%6.20%1.90%3.03%-10.14%-1.71%-6.64%-4.33%
20236.13%-5.48%4.78%-5.75%2.08%1.37%-2.98%-10.56%-5.16%-13.28%9.57%10.27%-11.61%
2022-13.87%6.48%8.96%-16.11%7.53%-2.75%19.41%1.43%-10.77%6.38%9.61%-6.38%3.41%
20218.21%-7.15%-3.24%-9.86%-1.51%9.46%-3.15%-0.22%-7.16%21.69%-4.88%-11.40%-13.07%
20206.63%10.99%-29.53%14.44%20.48%3.14%12.73%11.77%5.72%6.79%104.46%5.04%262.36%
201924.03%9.76%4.00%14.91%-1.67%9.31%7.23%-3.01%-4.48%0.07%3.92%5.49%90.62%
2018-2.61%4.76%12.78%0.48%5.68%1.37%-4.40%-0.58%-1.60%-6.46%3.03%-6.27%4.63%
201712.47%5.83%-10.57%-5.02%-4.97%1.37%4.94%0.60%15.34%-2.03%18.75%-2.26%34.87%
2016-10.55%-4.27%5.48%1.61%-6.58%-0.16%-0.58%-3.91%-8.14%-5.51%-1.60%-1.09%-30.92%
2015-6.61%6.67%0.72%-1.54%-8.03%-7.71%-8.66%-7.11%-5.23%7.06%-10.24%13.28%-26.59%
20143.86%5.92%-5.60%5.01%-0.19%3.11%-2.85%11.13%-0.81%-0.53%-4.82%2.59%16.75%

Expense Ratio

Climate has an expense ratio of 0.14%, 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.


Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Climate is 1, meaning it’s performing worse than 99% of other portfolios on our website when it comes to balancing risk and reward. Below is a breakdown of how it compares using common performance measures.


The Risk-Adjusted Performance Rank of Climate is 11
Overall Rank
The Sharpe Ratio Rank of Climate is 00
Sharpe Ratio Rank
The Sortino Ratio Rank of Climate is 00
Sortino Ratio Rank
The Omega Ratio Rank of Climate is 11
Omega Ratio Rank
The Calmar Ratio Rank of Climate is 11
Calmar Ratio Rank
The Martin Ratio Rank of Climate is 11
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
NEE
NextEra Energy, Inc.
-0.100.111.01-0.07-0.13
GE
General Electric Company
1.031.331.191.434.42
ENPH
Enphase Energy, Inc.
-0.86-1.300.85-0.66-1.40
TAN
Invesco Solar ETF
-0.54-0.600.93-0.28-0.85
FTEK
Fuel Tech, Inc.
-0.68-1.040.88-0.29-1.20

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.

Climate Sharpe ratios as of May 11, 2025 (values are recalculated daily):

  • 1-Year: -0.66
  • 5-Year: 0.43
  • 10-Year: 0.38
  • All Time: 0.43

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 0.41 to 0.94, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests weaker risk-adjusted returns than most portfolios, possibly due to lower returns, higher volatility, or both. It may be worth reviewing the allocation. You can use the Portfolio Optimization tool to explore options for improving the Sharpe ratio.

The chart below shows the rolling Sharpe ratio of Climate compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time. For deeper analysis or to customize the calculation, use the Sharpe ratio tool.


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Dividends

Dividend yield

Climate provided a 0.82% dividend yield over the last twelve months.


TTM20242023202220212020201920182017201620152014
Portfolio0.82%0.81%0.68%0.48%0.40%0.45%0.54%1.63%1.82%2.18%1.50%1.62%
NEE
NextEra Energy, Inc.
3.03%2.87%3.08%2.03%1.65%1.81%2.06%2.55%2.52%2.91%2.96%2.73%
GE
General Electric Company
0.55%0.67%0.25%0.38%0.34%0.37%0.36%4.88%4.81%2.94%2.95%3.52%
ENPH
Enphase Energy, 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%
TAN
Invesco Solar ETF
0.50%0.50%0.09%0.00%0.00%0.09%0.30%0.70%1.77%5.04%1.60%1.88%
FTEK
Fuel Tech, 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%

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.


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Worst Drawdowns

The table below displays the maximum drawdowns of the Climate. 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 Climate was 57.67%, occurring on May 17, 2017. Recovery took 474 trading sessions.

The current Climate drawdown is 39.07%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-57.67%Sep 18, 2014671May 17, 2017474Apr 5, 20191145
-48.2%Feb 21, 202019Mar 18, 202084Jul 17, 2020103
-47%Jan 26, 2021695Oct 27, 2023
-33.66%Apr 3, 2012157Nov 15, 2012109Apr 25, 2013266
-22.99%Nov 25, 20204Dec 1, 202025Jan 7, 202129

Volatility

Volatility Chart

The chart below shows the rolling one-month volatility.


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Diversification

Diversification Metrics


Number of Effective Assets

The portfolio contains 5 assets, with an effective number of assets of 5.00, reflecting the diversification based on asset allocation. This number of effective assets indicates a moderate level of diversification, where some assets may have a more significant influence on overall performance.

Asset Correlations Table

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

^GSPCFTEKNEEGEENPHTANPortfolio
^GSPC1.000.180.370.550.380.550.55
FTEK0.181.000.040.150.140.210.53
NEE0.370.041.000.160.160.240.32
GE0.550.150.161.000.210.310.45
ENPH0.380.140.160.211.000.620.78
TAN0.550.210.240.310.621.000.74
Portfolio0.550.530.320.450.780.741.00
The correlation results are calculated based on daily price changes starting from Apr 2, 2012