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Carbon Credits
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


KRBN 50%GRN 50%CommodityCommodity
PositionCategory/SectorWeight
GRN
iPath Series B Carbon ETN
Commodities
50%
KRBN
KraneShares Global Carbon ETF
Commodities
50%

Performance

Performance Chart

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


30.00%40.00%50.00%60.00%70.00%80.00%90.00%JulyAugustSeptemberOctoberNovemberDecember
29.93%
82.70%
Carbon Credits
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jul 30, 2020, corresponding to the inception date of KRBN

Returns By Period


YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500
24.34%0.23%8.53%24.95%13.01%11.06%
Carbon Credits-19.14%-8.01%-7.68%-17.69%N/AN/A
KRBN
KraneShares Global Carbon ETF
-24.01%-11.29%-13.48%-22.46%N/AN/A
GRN
iPath Series B Carbon ETN
-14.50%-4.95%-1.89%-13.19%-13.20%N/A
*Annualized

Monthly Returns

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


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-16.24%-9.08%6.99%9.11%6.95%-7.73%1.06%2.40%-5.51%-1.05%3.11%-19.14%
202311.03%4.89%-4.84%-3.44%-6.84%10.36%-0.14%-1.12%-5.22%-0.97%-7.13%8.27%2.52%
20226.76%-7.18%-5.80%5.35%2.01%3.35%-11.17%0.96%-16.51%19.18%6.19%-4.80%-6.47%
20211.72%10.87%9.65%14.59%5.63%-35.27%-5.33%12.88%2.28%-2.69%22.94%6.56%35.02%
20202.05%8.41%-5.61%-9.61%19.40%10.14%24.12%

Expense Ratio

Carbon Credits features an expense ratio of 0.77%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


Expense ratio chart for KRBN: current value at 0.79% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.79%
Expense ratio chart for GRN: current value at 0.75% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.75%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Carbon Credits 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 Carbon Credits is 11
Overall Rank
The Sharpe Ratio Rank of Carbon Credits is 11
Sharpe Ratio Rank
The Sortino Ratio Rank of Carbon Credits is 11
Sortino Ratio Rank
The Omega Ratio Rank of Carbon Credits is 11
Omega Ratio Rank
The Calmar Ratio Rank of Carbon Credits is 11
Calmar Ratio Rank
The Martin Ratio Rank of Carbon Credits 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.


Sharpe ratio
The chart of Sharpe ratio for Carbon Credits, currently valued at -0.47, compared to the broader market-6.00-4.00-2.000.002.004.00-0.472.10
The chart of Sortino ratio for Carbon Credits, currently valued at -0.53, compared to the broader market-6.00-4.00-2.000.002.004.006.00-0.532.80
The chart of Omega ratio for Carbon Credits, currently valued at 0.94, compared to the broader market0.400.600.801.001.201.401.601.800.941.39
The chart of Calmar ratio for Carbon Credits, currently valued at -0.33, compared to the broader market0.002.004.006.008.0010.0012.00-0.333.09
The chart of Martin ratio for Carbon Credits, currently valued at -0.96, compared to the broader market0.0010.0020.0030.0040.0050.00-0.9613.49
Carbon Credits
^GSPC

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
KRBN
KraneShares Global Carbon ETF
-0.79-1.050.88-0.53-1.46
GRN
iPath Series B Carbon ETN
-0.24-0.100.99-0.11-0.54

The current Carbon Credits Sharpe ratio is -0.47. 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 1.28 to 2.10, 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 Carbon Credits 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 Ratio-1.000.001.002.003.00JulyAugustSeptemberOctoberNovemberDecember
-0.47
2.10
Carbon Credits
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Carbon Credits provided a 0.00% dividend yield over the last twelve months.


TTM202320222021
Portfolio0.00%3.80%11.45%0.24%
KRBN
KraneShares Global Carbon ETF
0.00%7.60%22.91%0.49%
GRN
iPath Series B Carbon ETN
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.


-40.00%-30.00%-20.00%-10.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-35.50%
-2.62%
Carbon Credits
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Carbon Credits. 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 Carbon Credits was 46.53%, occurring on Jul 22, 2021. The portfolio has not yet recovered.

The current Carbon Credits drawdown is 35.50%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-46.53%May 17, 202147Jul 22, 2021
-20.75%Sep 15, 202032Oct 28, 202026Dec 4, 202058
-8.69%Jan 8, 20216Jan 15, 202112Feb 3, 202118
-7.77%Aug 31, 20206Sep 8, 20204Sep 14, 202010
-6.7%Feb 16, 202110Mar 1, 20216Mar 9, 202116

Volatility

Volatility Chart

The current Carbon Credits volatility is 8.85%, 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%JulyAugustSeptemberOctoberNovemberDecember
8.85%
3.79%
Carbon Credits
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.

GRNKRBN
GRN1.000.90
KRBN0.901.00
The correlation results are calculated based on daily price changes starting from Jul 31, 2020
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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