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abb
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Risk-Adjusted Performance
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abb

Last updated Oct 30, 2024

Abb

Asset Allocation

PHGP.L 8%ETHE.SW 8%MEUD.L 32%EIMI.L 28%XDWE.L 24%CommodityCommodityCryptocurrencyCryptocurrencyEquityEquity
PositionCategory/SectorWeight
EIMI.L
iShares Core MSCI EM IMI UCITS ETF		Emerging Markets Equities
28%
ETHE.SW
CoinShares Physical Ethereum (ETH)		Blockchain
8%
MEUD.L
Lyxor Core STOXX Europe 600 (DR) - UCITS ETF Acc		Europe Equities
32%
PHGP.L
WisdomTree Physical Gold		Precious Metals
8%
XDWE.L
Xtrackers S&P 500 Equal Weight UCITS ETF 1C		Large Cap Blend Equities
24%

Performance

Performance Chart

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

0.00%5.00%10.00%15.00%MayJuneJulyAugustSeptemberOctober
8.04%
15.82%
abb
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jan 19, 2022, corresponding to the inception date of ETHE.SW

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		22.29%1.65%15.83%39.98%13.99%11.23%
abb14.41%-2.33%8.04%32.33%N/AN/A
Portfolio components:
XDWE.L
Xtrackers S&P 500 Equal Weight UCITS ETF 1C		14.34%-0.21%11.50%35.29%11.94%12.45%
EIMI.L
iShares Core MSCI EM IMI UCITS ETF		12.92%-3.73%9.72%26.27%5.11%3.82%
MEUD.L
Lyxor Core STOXX Europe 600 (DR) - UCITS ETF Acc		8.03%-4.90%5.51%25.84%7.44%8.00%
PHGP.L
WisdomTree Physical Gold		33.78%4.60%20.71%37.78%12.30%10.87%
ETHE.SW
CoinShares Physical Ethereum (ETH)		12.92%-0.45%-12.85%46.76%N/AN/A

Monthly Returns

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

JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-1.54%6.01%4.19%-2.63%4.21%-0.30%2.18%-0.08%3.11%14.41%
20239.12%-3.05%3.19%1.60%-3.46%4.35%3.65%-4.24%-3.77%-2.41%8.83%6.42%20.63%
2022-4.11%-1.25%2.38%-6.70%-2.60%-9.99%8.33%-3.59%-9.07%3.94%8.35%-1.19%-16.20%

Expense Ratio

abb has an expense ratio of 0.18%, 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.

PHGP.L
WisdomTree Physical Gold
Expense ratio chart for PHGP.L: current value at 0.39% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.39%
XDWE.L
Xtrackers S&P 500 Equal Weight UCITS ETF 1C
Expense ratio chart for XDWE.L: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%
EIMI.L
iShares Core MSCI EM IMI UCITS ETF
Expense ratio chart for EIMI.L: current value at 0.18% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.18%
MEUD.L
Lyxor Core STOXX Europe 600 (DR) - UCITS ETF Acc
Expense ratio chart for MEUD.L: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%
ETHE.SW
CoinShares Physical Ethereum (ETH)
Expense ratio chart for ETHE.SW: current value at 0.00% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.00%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of abb is 27, 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 abb is 2727
Combined Rank
The Sharpe Ratio Rank of abb is 2121Sharpe Ratio Rank
The Sortino Ratio Rank of abb is 2121Sortino Ratio Rank
The Omega Ratio Rank of abb is 2121Omega Ratio Rank
The Calmar Ratio Rank of abb is 4343Calmar Ratio Rank
The Martin Ratio Rank of abb is 2929Martin 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.

abb
Sharpe ratio
The chart of Sharpe ratio for abb, currently valued at 2.31, compared to the broader market0.002.004.006.002.31
Sortino ratio
The chart of Sortino ratio for abb, currently valued at 3.12, compared to the broader market-2.000.002.004.006.003.12
Omega ratio
The chart of Omega ratio for abb, currently valued at 1.40, compared to the broader market0.801.001.201.401.601.802.001.40
Calmar ratio
The chart of Calmar ratio for abb, currently valued at 2.69, compared to the broader market0.005.0010.002.69
Martin ratio
The chart of Martin ratio for abb, currently valued at 13.69, compared to the broader market0.0010.0020.0030.0040.0050.0060.0013.69
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 3.43, compared to the broader market0.002.004.006.003.43
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 4.52, compared to the broader market-2.000.002.004.006.004.52
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.64, compared to the broader market0.801.001.201.401.601.802.001.64
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 3.17, compared to the broader market0.005.0010.003.17
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 22.22, compared to the broader market0.0010.0020.0030.0040.0050.0060.0022.22
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
XDWE.L
Xtrackers S&P 500 Equal Weight UCITS ETF 1C		2.563.661.482.6514.35
EIMI.L
iShares Core MSCI EM IMI UCITS ETF		1.432.141.261.087.99
MEUD.L
Lyxor Core STOXX Europe 600 (DR) - UCITS ETF Acc		1.662.431.292.419.16
PHGP.L
WisdomTree Physical Gold		2.813.671.485.6117.49
ETHE.SW
CoinShares Physical Ethereum (ETH)		0.761.361.190.942.13

Sharpe Ratio

The current abb Sharpe ratio is 2.31. 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 2.49 to 3.44, 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 abb 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 Ratio1.001.502.002.503.003.50MayJuneJulyAugustSeptemberOctober
2.31
3.43
abb
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

abb doesn't pay dividends

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.

-8.00%-6.00%-4.00%-2.00%0.00%MayJuneJulyAugustSeptemberOctober
-2.33%
-0.54%
abb
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the abb. 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 abb was 26.88%, occurring on Oct 11, 2022. Recovery took 309 trading sessions.

The current abb drawdown is 2.33%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-26.88%Jan 21, 2022186Oct 11, 2022309Dec 28, 2023495
-7.49%Jul 17, 202414Aug 5, 202415Aug 26, 202429
-4.85%Mar 13, 202424Apr 17, 202418May 13, 202442
-4.08%Aug 27, 20249Sep 6, 20249Sep 19, 202418
-3.39%Jan 2, 202416Jan 23, 202414Feb 12, 202430

Volatility

Volatility Chart

The current abb volatility is 2.40%, 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%3.00%4.00%5.00%6.00%MayJuneJulyAugustSeptemberOctober
2.40%
2.71%
abb
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.
PHGP.LETHE.SWEIMI.LXDWE.LMEUD.L
PHGP.L1.000.060.240.190.27
ETHE.SW0.061.000.360.320.32
EIMI.L0.240.361.000.620.70
XDWE.L0.190.320.621.000.81
MEUD.L0.270.320.700.811.00
The correlation results are calculated based on daily price changes starting from Jan 20, 2022