PortfoliosLab logo
Tools
Performance Analysis
Risk Analysis
Optimization
Factor Model
See All Tools
Portfolio Analysis
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
SABIC-401K-Core
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


SPY 50%ACWX 50%EquityEquity
PositionCategory/SectorWeight
ACWX
iShares MSCI ACWI ex U.S. ETF
Foreign Large Cap Equities

50%

SPY
SPDR S&P 500 ETF
Large Cap Growth Equities

50%

S&P 500

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in SABIC-401K-Core, 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%250.00%300.00%FebruaryMarchAprilMayJuneJuly
206.74%
310.31%
SABIC-401K-Core
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Mar 31, 2008, corresponding to the inception date of ACWX

Returns By Period

As of Jul 25, 2024, the SABIC-401K-Core returned 10.21% Year-To-Date and 8.17% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
13.78%-0.38%11.47%18.82%12.44%10.64%
SABIC-401K-Core10.21%-0.10%10.09%14.24%9.86%8.17%
SPY
SPDR S&P 500 ETF
14.59%-0.28%12.21%20.50%14.21%12.61%
ACWX
iShares MSCI ACWI ex U.S. ETF
5.90%0.06%7.93%8.19%5.45%3.70%

Monthly Returns

The table below presents the monthly returns of SABIC-401K-Core, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-0.07%4.14%3.29%-3.23%4.50%1.54%10.21%
20237.60%-3.53%3.39%1.73%-1.63%5.57%3.60%-3.19%-4.13%-2.65%8.71%4.77%20.86%
2022-3.91%-3.15%1.76%-7.74%1.02%-8.02%6.29%-4.45%-9.41%5.81%9.41%-3.98%-16.97%
2021-0.37%2.38%3.14%3.93%1.86%0.93%0.40%2.23%-4.05%4.99%-2.47%4.01%17.89%
2020-1.73%-7.30%-13.70%9.51%4.68%3.08%4.96%5.59%-2.82%-2.27%11.74%4.64%14.34%
20197.77%2.41%1.39%3.45%-6.00%6.45%-0.11%-2.03%2.30%2.65%2.30%3.52%26.07%
20185.55%-4.34%-1.71%0.54%0.29%-0.76%3.28%0.45%0.51%-7.44%1.65%-6.87%-9.27%
20172.81%2.52%1.63%1.57%2.25%0.68%2.78%0.36%2.02%2.14%1.74%1.61%24.45%
2016-5.27%-1.27%7.45%1.46%0.23%-0.22%3.90%0.42%0.75%-1.75%0.83%1.95%8.27%
2015-1.65%5.59%-1.39%2.88%0.06%-2.60%1.02%-6.76%-3.40%7.53%-0.46%-2.25%-2.26%
2014-4.79%5.11%0.67%1.18%2.00%1.84%-1.44%2.50%-3.07%1.07%1.35%-2.10%3.98%
20133.97%0.06%2.31%2.71%-0.38%-2.49%4.86%-2.30%5.11%4.07%1.59%2.14%23.49%

Expense Ratio

SABIC-401K-Core has an expense ratio of 0.20%, which is considered low compared to other funds. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


Expense ratio chart for ACWX: current value at 0.32% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.32%
Expense ratio chart for SPY: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of SABIC-401K-Core is 33, suggesting that the investment has average results relative to other portfolios in terms of risk-adjusted performance. This ranking is determined by the cumulative values of the indicators listed below.


The Risk-Adjusted Performance Rank of SABIC-401K-Core is 3333
SABIC-401K-Core
The Sharpe Ratio Rank of SABIC-401K-Core is 3333Sharpe Ratio Rank
The Sortino Ratio Rank of SABIC-401K-Core is 3434Sortino Ratio Rank
The Omega Ratio Rank of SABIC-401K-Core is 3333Omega Ratio Rank
The Calmar Ratio Rank of SABIC-401K-Core is 3737Calmar Ratio Rank
The Martin Ratio Rank of SABIC-401K-Core is 3030Martin 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.


SABIC-401K-Core
Sharpe ratio
The chart of Sharpe ratio for SABIC-401K-Core, currently valued at 1.31, compared to the broader market-1.000.001.002.003.004.001.31
Sortino ratio
The chart of Sortino ratio for SABIC-401K-Core, currently valued at 1.91, compared to the broader market-2.000.002.004.006.001.91
Omega ratio
The chart of Omega ratio for SABIC-401K-Core, currently valued at 1.23, compared to the broader market0.801.001.201.401.601.23
Calmar ratio
The chart of Calmar ratio for SABIC-401K-Core, currently valued at 1.06, compared to the broader market0.002.004.006.008.001.06
Martin ratio
The chart of Martin ratio for SABIC-401K-Core, currently valued at 4.14, compared to the broader market0.0010.0020.0030.0040.004.14
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.66, compared to the broader market-1.000.001.002.003.004.001.66
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.33, compared to the broader market-2.000.002.004.006.002.33
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.29, compared to the broader market0.801.001.201.401.601.29
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.35, compared to the broader market0.002.004.006.008.001.35
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 6.32, compared to the broader market0.0010.0020.0030.0040.006.32

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
SPY
SPDR S&P 500 ETF
1.812.531.321.797.16
ACWX
iShares MSCI ACWI ex U.S. ETF
0.711.071.130.461.98

Sharpe Ratio

The current SABIC-401K-Core Sharpe ratio is 1.31. 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 1.23 to 1.94, this portfolio's current Sharpe ratio lies between the 25th and 75th percentiles. This indicates that the its risk-adjusted performance is in line with the majority of portfolios. This suggests a balanced approach to risk and return, which might be suitable for a broad range of investors.

Use the chart below to compare the Sharpe ratio of SABIC-401K-Core 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 Ratio1.001.502.002.503.00FebruaryMarchAprilMayJuneJuly
1.31
1.66
SABIC-401K-Core
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

SABIC-401K-Core granted a 2.04% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
SABIC-401K-Core2.04%2.18%2.17%1.97%1.70%2.48%2.34%2.10%2.40%2.28%2.52%2.25%
SPY
SPDR S&P 500 ETF
1.26%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%
ACWX
iShares MSCI ACWI ex U.S. ETF
2.81%2.96%2.68%2.73%1.88%3.21%2.64%2.39%2.77%2.51%3.17%2.68%

Drawdowns

Drawdowns Chart

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


-5.00%-4.00%-3.00%-2.00%-1.00%0.00%FebruaryMarchAprilMayJuneJuly
-3.83%
-4.24%
SABIC-401K-Core
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the SABIC-401K-Core. 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 SABIC-401K-Core was 56.03%, occurring on Mar 9, 2009. Recovery took 978 trading sessions.

The current SABIC-401K-Core drawdown is 3.83%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-56.03%May 20, 2008203Mar 9, 2009978Jan 25, 20131181
-33.54%Feb 13, 202027Mar 23, 2020109Aug 26, 2020136
-26.15%Jan 5, 2022194Oct 12, 2022322Jan 25, 2024516
-19.51%Jan 29, 2018229Dec 24, 2018211Oct 25, 2019440
-19.18%May 22, 2015183Feb 11, 2016227Jan 5, 2017410

Volatility

Volatility Chart

The current SABIC-401K-Core volatility is 3.31%, 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.


1.50%2.00%2.50%3.00%3.50%4.00%FebruaryMarchAprilMayJuneJuly
3.31%
3.80%
SABIC-401K-Core
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.

ACWXSPY
ACWX1.000.83
SPY0.831.00
The correlation results are calculated based on daily price changes starting from Apr 1, 2008