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70/30

Last updated Dec 7, 2023

Asset Allocation


SBGB 30%SBMX 70%BondBondEquityEquity
PositionCategory/SectorWeight
SBGB
Sberbank MOEX Russian Government Bond ETF
Government Bonds30%
SBMX
Sberbank MOEX Russia Total Return ETF
Emerging Markets Equities70%

Performance

The chart shows the growth of an initial investment of $10,000 in 70/30, 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


-10.00%-5.00%0.00%5.00%JulyAugustSeptemberOctoberNovemberDecember
-3.64%
5.62%
70/30
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jan 25, 2019, corresponding to the inception date of SBGB

Returns


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
N/AN/AN/AN/AN/AN/A
70/305.38%-3.29%-3.64%-8.88%N/AN/A
SBMX
Sberbank MOEX Russia Total Return ETF
49.29%-4.61%15.43%49.84%10.77%N/A
SBGB
Sberbank MOEX Russian Government Bond ETF
-1.35%-0.11%-3.66%-0.67%N/AN/A

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
20232.81%-4.21%2.34%-1.74%-4.51%6.37%4.45%

Sharpe Ratio

The current 70/30 Sharpe ratio is -0.38. 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.

-1.000.001.002.003.00-0.38

The Sharpe ratio of 70/30 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-0.500.000.501.00JulyAugustSeptemberOctoberNovemberDecember
-0.38
1.06
70/30
Benchmark (^GSPC)
Portfolio components

Dividend yield


70/30 doesn't pay dividends

Expense Ratio

The 70/30 has a high expense ratio of 0.93%, indicating higher-than-average management fees. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


0.99%
0.00%2.15%
0.80%
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
SBMX
Sberbank MOEX Russia Total Return ETF
3.71
SBGB
Sberbank MOEX Russian Government Bond ETF
-0.21

Asset Correlations Table

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

SBGBSBMX
SBGB1.000.73
SBMX0.731.00

Drawdowns Chart

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


-100.00%-80.00%-60.00%-40.00%-20.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-99.22%
-0.99%
70/30
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the 70/30. 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 70/30 was 99.59%, occurring on Mar 9, 2022. The portfolio has not yet recovered.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-99.59%Jun 7, 2021194Mar 9, 2022
-43.98%Jan 21, 202040Mar 18, 2020306Jun 4, 2021346
-8.59%Jul 5, 201931Aug 16, 201921Sep 16, 201952
-4.02%Sep 17, 201916Oct 8, 20198Oct 18, 201924
-4.01%Feb 6, 20197Feb 14, 201922Mar 19, 201929

Volatility Chart

The current 70/30 volatility is 6.41%, 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
6.41%
2.93%
70/30
Benchmark (^GSPC)
Portfolio components
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