PortfoliosLab logo
PortfoliosLab logo
​
Tools
Performance Analysis
Portfolio Analysis
Risk Analysis
Optimization
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Screeners
Discussions
My Investment
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

My Investment

Last updated Nov 13, 2024

Asset Allocation

VAGS.L 8%PPFB.DE 10%PGR 15%VUAG.L 13%AZN.L 12%SMH 12%MA 10%SXLU.L 10%PMLP.L 10%BondBondCommodityCommodityEquityEquity
PositionCategory/SectorWeight
AZN.L
AstraZeneca plc		Healthcare
12%
MA
Mastercard Inc		Financial Services
10%
PGR
The Progressive Corporation		Financial Services
15%
PMLP.L
HANetf Alerian Midstream Energy Dividend UCITS ETF		Energy Equities
10%
PPFB.DE
iShares Physical Gold ETC		Precious Metals
10%
SMH
VanEck Vectors Semiconductor ETF		Technology Equities
12%
SXLU.L
SPDR S&P US Utilities Select Sector UCITS ETF		Utilities Equities
10%
VAGS.L
Vanguard Global Aggregate Bond UCITS ETF GBP Hedged Accumulating		Global Bonds
8%
VUAG.L
Vanguard S&P 500 UCITS ETF (USD) Accumulating		Large Cap Blend Equities
13%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in My Investment, 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%JuneJulyAugustSeptemberOctoberNovember
10.32%
12.73%
My Investment
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jul 16, 2021, corresponding to the inception date of PPFB.DE

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		25.45%2.91%14.05%35.64%14.13%11.39%
My Investment29.78%-1.24%10.32%36.06%N/AN/A
Portfolio components:
PGR
The Progressive Corporation		65.75%4.15%25.48%65.49%32.25%28.80%
MA
Mastercard Inc		24.79%4.44%15.86%33.84%14.29%21.00%
AZN.L
AstraZeneca plc		-3.56%-18.30%-17.02%2.22%9.04%11.52%
VUAG.L
Vanguard S&P 500 UCITS ETF (USD) Accumulating		26.42%2.39%13.58%34.28%15.86%N/A
PPFB.DE
iShares Physical Gold ETC		26.30%-1.57%9.22%32.13%N/AN/A
VAGS.L
Vanguard Global Aggregate Bond UCITS ETF GBP Hedged Accumulating		2.16%-2.83%3.53%8.80%-0.75%N/A
SXLU.L
SPDR S&P US Utilities Select Sector UCITS ETF		26.31%-1.76%9.89%30.78%7.40%N/A
SMH
VanEck Vectors Semiconductor ETF		44.03%-3.61%7.68%57.29%33.67%28.85%
PMLP.L
HANetf Alerian Midstream Energy Dividend UCITS ETF		37.36%5.21%20.58%40.25%N/AN/A

Monthly Returns

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

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20243.19%3.55%5.66%0.09%3.71%1.26%2.32%5.68%0.82%-1.24%29.78%
20234.62%-1.14%3.92%0.91%-0.80%3.18%1.41%-0.49%-2.69%0.27%6.67%3.00%20.09%
2022-0.17%-0.02%4.70%-4.64%2.07%-7.02%5.80%-2.82%-8.72%5.68%8.23%-2.12%-0.62%
20211.04%0.12%-2.52%3.52%-1.66%5.54%5.95%

Expense Ratio

My Investment has an expense ratio of 0.13%, 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.

PMLP.L
HANetf Alerian Midstream Energy Dividend UCITS ETF
Expense ratio chart for PMLP.L: current value at 0.40% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.40%
SMH
VanEck Vectors Semiconductor ETF
Expense ratio chart for SMH: current value at 0.35% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.35%
SXLU.L
SPDR S&P US Utilities Select Sector UCITS ETF
Expense ratio chart for SXLU.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%
PPFB.DE
iShares Physical Gold ETC
Expense ratio chart for PPFB.DE: current value at 0.12% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.12%
VAGS.L
Vanguard Global Aggregate Bond UCITS ETF GBP Hedged Accumulating
Expense ratio chart for VAGS.L: current value at 0.10% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.10%
VUAG.L
Vanguard S&P 500 UCITS ETF (USD) Accumulating
Expense ratio chart for VUAG.L: current value at 0.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.07%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current risk-adjusted rank of My Investment is 97, placing it in the top 3% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.

The Risk-Adjusted Performance Rank of My Investment is 9797
Combined Rank
The Sharpe Ratio Rank of My Investment is 9696Sharpe Ratio Rank
The Sortino Ratio Rank of My Investment is 9797Sortino Ratio Rank
The Omega Ratio Rank of My Investment is 9797Omega Ratio Rank
The Calmar Ratio Rank of My Investment is 9797Calmar Ratio Rank
The Martin Ratio Rank of My Investment is 9797Martin 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.

My Investment
Sharpe ratio
The chart of Sharpe ratio for My Investment, currently valued at 4.19, compared to the broader market0.002.004.006.004.19
Sortino ratio
The chart of Sortino ratio for My Investment, currently valued at 6.02, compared to the broader market-2.000.002.004.006.006.02
Omega ratio
The chart of Omega ratio for My Investment, currently valued at 1.82, compared to the broader market0.801.001.201.401.601.802.001.82
Calmar ratio
The chart of Calmar ratio for My Investment, currently valued at 8.72, compared to the broader market0.005.0010.0015.008.72
Martin ratio
The chart of Martin ratio for My Investment, currently valued at 36.09, compared to the broader market0.0010.0020.0030.0040.0050.0060.0036.09
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.90, compared to the broader market0.002.004.006.002.90
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.87, compared to the broader market-2.000.002.004.006.003.87
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.54, compared to the broader market0.801.001.201.401.601.802.001.54
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 4.19, compared to the broader market0.005.0010.0015.004.19
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 18.72, compared to the broader market0.0010.0020.0030.0040.0050.0060.0018.72
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
PGR
The Progressive Corporation		3.134.151.578.9023.42
MA
Mastercard Inc		1.942.591.362.556.25
AZN.L
AstraZeneca plc		0.080.261.040.070.26
VUAG.L
Vanguard S&P 500 UCITS ETF (USD) Accumulating		3.004.141.581.7818.61
PPFB.DE
iShares Physical Gold ETC		2.132.791.374.6913.20
VAGS.L
Vanguard Global Aggregate Bond UCITS ETF GBP Hedged Accumulating		0.891.321.170.353.06
SXLU.L
SPDR S&P US Utilities Select Sector UCITS ETF		2.162.921.371.489.17
SMH
VanEck Vectors Semiconductor ETF		1.642.151.292.256.18
PMLP.L
HANetf Alerian Midstream Energy Dividend UCITS ETF		2.954.061.535.9622.59

Sharpe Ratio

The current My Investment Sharpe ratio is 4.19. 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 2.07 to 2.97, this portfolio's current Sharpe ratio is in the top 25%, it signifies superior risk-adjusted performance. This means that for the level of risk undertaken, the portfolio is generating impressive returns compared to most others.

Use the chart below to compare the Sharpe ratio of My Investment 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 Ratio1.002.003.004.005.00JuneJulyAugustSeptemberOctoberNovember
4.19
2.90
My Investment
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

My Investment provided a 0.83% dividend yield over the last twelve months.

TTM20232022202120202019201820172016201520142013
Portfolio0.83%1.08%1.24%2.04%1.38%1.69%1.20%1.10%1.18%1.38%1.61%1.16%
Portfolio components:
PGR
The Progressive Corporation		0.44%0.25%0.31%6.23%2.68%3.89%1.86%1.21%2.50%2.16%5.53%1.05%
MA
Mastercard Inc		0.50%0.53%0.56%0.49%0.45%0.44%0.53%0.58%0.74%0.66%0.51%0.25%
AZN.L
AstraZeneca plc		2.34%2.21%1.98%2.33%2.95%2.87%3.44%4.28%4.50%3.95%3.73%5.03%
VUAG.L
Vanguard S&P 500 UCITS ETF (USD) Accumulating		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
PPFB.DE
iShares Physical Gold ETC		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
VAGS.L
Vanguard Global Aggregate Bond UCITS ETF GBP Hedged Accumulating		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SXLU.L
SPDR S&P US Utilities Select Sector UCITS ETF		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SMH
VanEck Vectors Semiconductor ETF		0.41%0.60%2.37%1.02%1.38%6.00%3.75%2.85%1.61%4.28%2.31%3.11%
PMLP.L
HANetf Alerian Midstream Energy Dividend UCITS ETF		3.84%6.48%6.12%6.57%4.17%0.00%0.00%0.00%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.

-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.42%
-0.29%
My Investment
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the My Investment. 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 My Investment was 17.02%, occurring on Oct 14, 2022. Recovery took 84 trading sessions.

The current My Investment drawdown is 1.42%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-17.02%Mar 31, 2022141Oct 14, 202284Feb 13, 2023225
-5.26%Aug 1, 202346Oct 3, 202310Oct 17, 202356
-4.64%Jan 18, 202240Mar 14, 20228Mar 24, 202248
-4.47%Oct 18, 20238Oct 27, 202311Nov 13, 202319
-4.29%Nov 9, 202119Dec 3, 202114Dec 23, 202133

Volatility

Volatility Chart

The current My Investment volatility is 2.31%, 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.

1.00%2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
2.31%
3.86%
My Investment
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.
PGRPPFB.DEAZN.LSXLU.LSMHPMLP.LMAVAGS.LVUAG.L
PGR1.00-0.030.060.170.120.110.290.020.09
PPFB.DE-0.031.000.160.170.090.200.050.460.12
AZN.L0.060.161.000.220.110.220.190.320.31
SXLU.L0.170.170.221.000.010.350.160.270.36
SMH0.120.090.110.011.000.210.480.300.55
PMLP.L0.110.200.220.350.211.000.280.230.50
MA0.290.050.190.160.480.281.000.210.48
VAGS.L0.020.460.320.270.300.230.211.000.38
VUAG.L0.090.120.310.360.550.500.480.381.00
The correlation results are calculated based on daily price changes starting from Jul 19, 2021