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JB
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Risk-Adjusted Performance
Drawdowns
Volatility
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JB

Last updated Oct 17, 2024

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Asset Allocation

UMG.AS 31.23%2039.HK 24.1%RPRX 23.61%NESN.SW 21.06%EquityEquity
PositionCategory/SectorWeight
2039.HK
China International Marine Containers Group Co Ltd		Industrials
24.10%
NESN.SW
Nestlé S.A.		Consumer Defensive
21.06%
RPRX
Royalty Pharma plc		Healthcare
23.61%
UMG.AS
Universal Music Group N.V.		Communication Services
31.23%

Transactions

DateTypeSymbolQuantityPrice
Jan 8, 2021BuyUniversal Music Group N.V.140€20.46
Jan 8, 2021BuyRoyalty Pharma plc90$30.75
Jan 8, 2021BuyChina International Marine Containers Group Co Ltd300HK$0.66
Jan 8, 2021BuyNestlé S.A.27CHF 107.12

1–4 of 4

Performance

Performance Chart

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

-20.00%-10.00%0.00%10.00%20.00%MayJuneJulyAugustSeptemberOctober
-9.93%
16.59%
JB
Benchmark (^GSPC)
Portfolio components

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		22.49%3.72%16.33%33.60%14.41%11.99%
JB-2.44%3.97%-9.92%1.55%N/AN/A
Portfolio components:
UMG.AS
Universal Music Group N.V.		-6.70%2.32%-6.97%2.34%N/AN/A
RPRX
Royalty Pharma plc		2.73%-0.07%2.73%5.87%N/AN/A
2039.HK
China International Marine Containers Group Co Ltd		16.21%16.73%-16.85%37.47%10.08%-0.04%
NESN.SW
Nestlé S.A.		-13.62%-5.04%-2.09%-12.02%-1.49%5.31%

Monthly Returns

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

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20244.28%2.61%3.66%-3.10%2.50%-1.95%-9.66%1.69%-0.46%-2.44%
20232.14%-6.61%2.10%-5.35%-6.55%0.03%4.73%-3.12%0.15%-5.46%4.66%3.73%-10.12%
2022-4.26%-4.13%3.63%-2.58%-0.12%-2.36%2.10%-7.36%-8.79%2.78%9.14%-4.62%-16.58%
2021-5.06%3.36%-2.43%0.79%-3.49%

Expense Ratio

Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.

The portfolio doesn't hold funds that charge fees

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of JB is 2, indicating that it is in the bottom 2% 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 JB is 22
Combined Rank
The Sharpe Ratio Rank of JB is 22Sharpe Ratio Rank
The Sortino Ratio Rank of JB is 22Sortino Ratio Rank
The Omega Ratio Rank of JB is 22Omega Ratio Rank
The Calmar Ratio Rank of JB is 22Calmar Ratio Rank
The Martin Ratio Rank of JB is 22Martin 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.

JB
Sharpe ratio
The chart of Sharpe ratio for JB, currently valued at 0.13, compared to the broader market0.002.004.000.13
Sortino ratio
The chart of Sortino ratio for JB, currently valued at 0.28, compared to the broader market-2.000.002.004.006.000.28
Omega ratio
The chart of Omega ratio for JB, currently valued at 1.04, compared to the broader market0.801.001.201.401.601.801.05
Calmar ratio
The chart of Calmar ratio for JB, currently valued at 0.07, compared to the broader market0.002.004.006.008.0010.0012.000.07
Martin ratio
The chart of Martin ratio for JB, currently valued at 0.27, compared to the broader market0.0010.0020.0030.0040.0050.000.27
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.69, compared to the broader market0.002.004.002.69
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.58, compared to the broader market-2.000.002.004.006.003.59
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.49, compared to the broader market0.801.001.201.401.601.801.49
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 2.37, compared to the broader market0.002.004.006.008.0010.0012.002.37
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 16.43, compared to the broader market0.0010.0020.0030.0040.0050.0016.43
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
UMG.AS
Universal Music Group N.V.		-0.040.171.03-0.05-0.12
RPRX
Royalty Pharma plc		0.290.601.070.160.74
2039.HK
China International Marine Containers Group Co Ltd		0.911.531.190.762.53
NESN.SW
Nestlé S.A.		-0.51-0.600.92-0.34-1.13

Sharpe Ratio

The current JB Sharpe ratio is 0.13. 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 2.18 to 2.98, 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 JB 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 Ratio-0.500.000.501.001.502.002.503.00MayJuneJulyAugustSeptemberOctober
0.13
2.69
JB
Benchmark (^GSPC)
Portfolio components

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.

-35.00%-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%0.00%MayJuneJulyAugustSeptemberOctober
-29.40%
-0.30%
JB
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the JB. 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 JB was 33.45%, occurring on Sep 20, 2024. The portfolio has not yet recovered.

The current JB drawdown is 29.40%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-33.45%Sep 22, 2021777Sep 20, 2024———

Volatility

Volatility Chart

The current JB volatility is 6.49%, 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%MayJuneJulyAugustSeptemberOctober
6.49%
3.03%
JB
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.
2039.HKRPRXUMG.ASNESN.SW
2039.HK1.00-0.010.100.05
RPRX-0.011.000.130.19
UMG.AS0.100.131.000.29
NESN.SW0.050.190.291.00
The correlation results are calculated based on daily price changes starting from Sep 22, 2021