Asset Allocation
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Performance Chart
The chart shows the growth of an initial investment of $10,000 in HL US ISLAMIC OPTIMISED INDEX, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends.
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Returns By Period
| Position | 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | 0.30% | 0.09% | 8.18% | 8.17% | 23.42% | 19.88% | 11.91% | 13.45% |
Portfolio HL US ISLAMIC OPTIMISED INDEX | — | — | — | — | — | — | — | — |
| Portfolio components: | ||||||||
Monthly Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | 0.34% | 3.99% | 2.03% | -1.02% | 1.49% | 3.59% | 10.79% | ||||||
| 2023 | 3.15% | 0.94% | 5.34% | -0.50% | 2.16% | 4.65% | 2.06% | 0.23% | -1.69% | -1.34% | 8.85% | 2.90% | 29.66% |
| 2022 | -4.57% | -1.97% | 3.23% | 0.00% | 2.35% | -1.87% | 6.84% | -0.63% | -1.08% | 0.25% | 5.77% | -4.36% | 3.29% |
| 2021 | 0.17% | 3.61% | 1.00% | 2.24% | 1.93% | 1.72% | 2.43% | 1.97% | -0.84% | 5.53% | -0.63% | 2.86% | 24.16% |
Benchmark Metrics
HL US ISLAMIC OPTIMISED INDEX has an annualized alpha of 7.49%, beta of 0.49, and R2 of 0.48 versus S&P 500 Index. Calculated based on daily prices since January 02, 2008.
- This portfolio participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (71.68%) than losses (53.79%) - typical of diversified or defensive assets.
- Beta of 0.49 may look defensive, but with R2 of 0.48 this portfolio is largely uncorrelated with S&P 500 Index - low beta reflects independence, not downside protection. See the Volatility section for a true picture of this portfolio's risk.
- R2 of 0.48 means the benchmark explains less than half of this portfolio's behavior - treat beta with caution or consider switching to a more representative benchmark.
- Alpha
- 7.49%
- Beta
- 0.49
- R²
- 0.48
- Upside Capture
- 71.68%
- Downside Capture
- 53.79%
Return for Risk
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Dividends
Dividend yield
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.
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Worst Drawdowns
The table below displays the maximum drawdowns of the HL US ISLAMIC OPTIMISED INDEX. 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 HL US ISLAMIC OPTIMISED INDEX was 28.16%, occurring on Mar 30, 2009. Recovery took 255 trading sessions.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
Financial crisis2007–2009 | -28.16%Mar 2009 | 10mo 14d | 1y 6d | 1y 10moMay 2008 - Apr 2010 |
2016 correction2016 | -19.49%Feb 2016 | 1y 2mo | 1y 19d | 2y 3moNov 2014 - Mar 2017 |
COVID crash2020 | -15.12%Mar 2020 | 1mo 18d | 1mo 9d | 2mo 27dJan 2020 - Apr 2020 |
2010 correction2010 | -11.23%Jun 2010 | 1mo 19d | 4mo 6d | 5mo 25dApr 2010 - Oct 2010 |
Financial crisis2007–2009 | -10.93%Jan 2008 | 20d | 3mo 24d | 4mo 14dJan 2008 - May 2008 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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Diversification
Diversification Metrics
Number of Effective Assets
The portfolio contains 0 assets, with an effective number of assets of 0.00, reflecting the diversification based on asset allocation. null
Diversification Ratio
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Not enough data to calculate this metric.
HL US ISLAMIC OPTIMISED INDEX correlation to the S&P 500 Index
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.76 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.66 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.73 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.76 |
Correlation (All Time) Calculated using the full available price history since Jan 2, 2008 | 0.78 |
Find what HL US ISLAMIC OPTIMISED INDEX is missing
See which holdings overlap, where HL US ISLAMIC OPTIMISED INDEX is concentrated, and which low-correlation assets could fill the gaps.
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