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

PENSION 1

Last updated Nov 25, 2023

IEP

Asset Allocation


IEP 100%EquityEquity
PositionCategory/SectorWeight
IEP
Icahn Enterprises L.P.
Industrials100%

Performance

The chart shows the growth of an initial investment of $10,000 in PENSION 1, 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


-20.00%0.00%20.00%40.00%60.00%JuneJulyAugustSeptemberOctoberNovember
-7.94%
8.41%
PENSION 1
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jul 23, 1987, corresponding to the inception date of IEP

Returns

As of Nov 25, 2023, the PENSION 1 returned -58.61% Year-To-Date and -6.75% 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
PENSION 1-58.61%5.88%-7.94%-58.75%-11.38%-6.93%
IEP
Icahn Enterprises L.P.
-58.61%4.84%-7.94%-59.24%-10.98%-6.75%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
2023-1.78%-52.84%28.62%19.43%-39.44%-1.54%-16.58%

Sharpe Ratio

The current PENSION 1 Sharpe ratio is -0.86. 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.

-1.000.001.002.003.00-0.86

The Sharpe ratio of PENSION 1 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-1.00-0.500.000.501.00JuneJulyAugustSeptemberOctoberNovember
-0.86
0.98
PENSION 1
Benchmark (^GSPC)
Portfolio components

Dividend yield

PENSION 1 granted a 34.76% dividend yield in the last twelve months.


TTM20222021202020192018201720162015201420132012
PENSION 134.76%15.79%16.13%15.79%13.01%12.26%11.32%10.01%9.79%6.52%4.11%0.89%
IEP
Icahn Enterprises L.P.
34.76%15.79%16.13%15.79%13.01%12.26%11.32%10.01%9.79%6.52%4.11%0.89%

Expense Ratio

The PENSION 1 has an expense ratio of 0.00%, indicating no management fees are charged. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


The portfolio doesn't hold funds that charge fees

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
IEP
Icahn Enterprises L.P.
-0.86

Drawdowns Chart

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


-70.00%-60.00%-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-61.78%
-4.95%
PENSION 1
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the PENSION 1. 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 PENSION 1 was 84.21%, occurring on Nov 20, 2008. Recovery took 1247 trading sessions.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-84.21%Dec 20, 2007233Nov 20, 20081247Nov 5, 20131480
-66%Dec 10, 2013547Feb 11, 20161756Feb 2, 20232303
-65.62%Apr 18, 2023138Nov 1, 2023
-48.21%Jun 4, 1997367Nov 13, 19981226Nov 25, 20031593
-35.81%Mar 20, 1992153Oct 26, 1992240Oct 7, 1993393

Volatility Chart

The current PENSION 1 volatility is 18.15%, 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.


0.00%10.00%20.00%30.00%40.00%50.00%JuneJulyAugustSeptemberOctoberNovember
18.15%
3.39%
PENSION 1
Benchmark (^GSPC)
Portfolio components

Recent discussions