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Climate

Last updated Dec 6, 2023

Pure play climate impact portfolio

Asset Allocation


NEE 20%GE 20%ENPH 20%TAN 20%FTEK 20%EquityEquity
PositionCategory/SectorWeight
NEE
NextEra Energy, Inc.
Utilities20%
GE
General Electric Company
Industrials20%
ENPH
Enphase Energy, Inc.
Technology20%
TAN
Invesco Solar ETF
Alternative Energy Equities20%
FTEK
Fuel Tech, Inc.
Industrials20%

Performance

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


200.00%300.00%400.00%500.00%600.00%700.00%JulyAugustSeptemberOctoberNovemberDecember
515.06%
224.27%
Climate
Benchmark (^GSPC)
Portfolio components

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

Returns

As of Dec 6, 2023, the Climate returned -18.40% Year-To-Date and 15.20% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
N/AN/AN/AN/AN/AN/A
Climate-18.40%10.09%-21.41%-24.92%36.48%15.20%
NEE
NextEra Energy, Inc.
-28.38%-1.14%-19.45%-29.69%7.40%13.56%
GE
General Electric Company
84.32%10.38%14.17%82.60%22.77%-1.08%
ENPH
Enphase Energy, Inc.
-58.48%36.12%-39.76%-67.24%79.95%33.84%
TAN
Invesco Solar ETF
-35.25%5.66%-33.70%-42.33%18.11%4.07%
FTEK
Fuel Tech, Inc.
-17.65%3.96%-23.36%-35.58%-3.59%-18.88%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
20232.08%1.37%-2.98%-10.56%-5.16%-13.28%9.52%

Sharpe Ratio

The current Climate Sharpe ratio is -1.03. A negative Sharpe ratio means that the risk-free rate is higher than the portfolio's return. This value does not convey any meaningful information.

-1.000.001.002.003.00-1.03

The Sharpe ratio of Climate 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 Ratio-1.00-0.500.000.501.00JulyAugustSeptemberOctoberNovemberDecember
-1.03
0.88
Climate
Benchmark (^GSPC)
Portfolio components

Dividend yield

Climate granted a 0.69% dividend yield in the last twelve months.


TTM20222021202020192018201720162015201420132012
Climate0.69%0.48%0.40%0.45%0.54%1.63%1.82%2.18%1.50%1.63%1.44%3.23%
NEE
NextEra Energy, Inc.
3.21%2.03%1.65%1.81%2.06%2.55%2.52%2.91%2.96%2.73%3.08%3.47%
GE
General Electric Company
0.25%0.38%0.34%0.37%0.36%4.89%4.81%2.94%2.95%3.52%2.82%3.60%
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
0.00%0.00%0.00%0.09%0.29%0.69%1.77%5.04%1.60%1.88%1.28%9.10%
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%

Expense Ratio

The Climate features an expense ratio of 0.14%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


0.69%
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
NEE
NextEra Energy, Inc.
-1.08
GE
General Electric Company
3.10
ENPH
Enphase Energy, Inc.
-1.14
TAN
Invesco Solar ETF
-1.29
FTEK
Fuel Tech, Inc.
-0.50

Asset Correlations Table

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

FTEKNEEGEENPHTAN
FTEK1.000.030.150.140.23
NEE0.031.000.170.150.23
GE0.150.171.000.210.32
ENPH0.140.150.211.000.59
TAN0.230.230.320.591.00

Drawdowns Chart

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


-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-39.63%
-4.78%
Climate
Benchmark (^GSPC)
Portfolio components

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.


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 Chart

The current Climate volatility is 7.33%, 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%4.00%6.00%8.00%10.00%12.00%JulyAugustSeptemberOctoberNovemberDecember
7.33%
2.85%
Climate
Benchmark (^GSPC)
Portfolio components
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