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Diversification-2

Last updated Mar 2, 2024

Asset Allocation


SGLN.L 40%SPXP.L 30%HEAE.L 30%CommodityCommodityEquityEquity
PositionCategory/SectorWeight
SGLN.L
iShares Physical Gold ETC
Precious Metals, Commodities

40%

SPXP.L
Invesco S&P 500 UCITS ETF
Large Cap Blend Equities

30%

HEAE.L
SPDR MSCI Europe Health Care UCITS ETF
Health & Biotech Equities

30%

S&P 500

Performance

The chart shows the growth of an initial investment of $10,000 in Diversification-2, 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%10.00%OctoberNovemberDecember2024FebruaryMarch
9.15%
12.10%
Diversification-2
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Apr 4, 2022, corresponding to the inception date of HEAE.L

Returns


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
7.70%6.01%13.76%29.03%12.89%10.63%
Diversification-23.18%2.48%8.17%19.56%N/AN/A
SPXP.L
Invesco S&P 500 UCITS ETF
7.14%5.06%14.22%31.71%15.74%N/A
SGLN.L
iShares Physical Gold ETC
0.34%1.27%7.05%12.75%10.54%7.18%
HEAE.L
SPDR MSCI Europe Health Care UCITS ETF
2.94%1.38%3.51%16.48%N/AN/A

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
20240.69%1.62%
2023-0.89%-4.29%0.49%4.79%3.69%

Sharpe Ratio

The current Diversification-2 Sharpe ratio is 1.74. A Sharpe ratio greater than 1.0 is considered acceptable.

0.002.004.001.74

The Sharpe ratio of Diversification-2 lies between the 25th and 75th percentiles. It indicates that the portfolio's 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.


Rolling 12-month Sharpe Ratio0.501.001.502.002.50OctoberNovemberDecember2024FebruaryMarch
1.74
2.44
Diversification-2
Benchmark (^GSPC)
Portfolio components

Dividend yield


Diversification-2 doesn't pay dividends

Expense Ratio

The Diversification-2 has an expense ratio of 0.07% which is considered to be low. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


0.05%
0.00%2.15%
0.18%
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
^GSPC
S&P 500
2.44
Diversification-2
1.74
SPXP.L
Invesco S&P 500 UCITS ETF
2.51
SGLN.L
iShares Physical Gold ETC
0.91
HEAE.L
SPDR MSCI Europe Health Care UCITS ETF
0.65

Asset Correlations Table

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

SGLN.LSPXP.LHEAE.L
SGLN.L1.000.200.32
SPXP.L0.201.000.52
HEAE.L0.320.521.00

Drawdowns Chart

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


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%OctoberNovemberDecember2024FebruaryMarch00
Diversification-2
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Diversification-2. 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 Diversification-2 was 20.75%, occurring on Sep 26, 2022. Recovery took 204 trading sessions.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-20.75%Apr 11, 2022114Sep 26, 2022204Jul 18, 2023318
-7.4%Jul 20, 202353Oct 3, 202332Nov 16, 202385
-3.28%Nov 17, 20232Nov 20, 202321Dec 19, 202323
-1.62%Jan 15, 20243Jan 17, 20249Jan 30, 202412
-1.4%Feb 8, 20244Feb 13, 20244Feb 19, 20248

Volatility Chart

The current Diversification-2 volatility is 2.37%, 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%OctoberNovemberDecember2024FebruaryMarch
2.37%
3.47%
Diversification-2
Benchmark (^GSPC)
Portfolio components
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