Correlation 2 2.94
Asset Allocation
Performance
Performance Chart
Loading data...
The earliest data available for this chart is Jan 19, 2015, corresponding to the inception date of IEFM.L
Returns By Period
As of May 16, 2025, the Correlation 2 2.94 returned 7.28% Year-To-Date and 8.92% of annualized return in the last 10 years.
YTD | 1M | 6M | 1Y | 5Y* | 10Y* | |
---|---|---|---|---|---|---|
^GSPC S&P 500 | 0.60% | 9.64% | -0.54% | 11.47% | 15.67% | 10.79% |
Correlation 2 2.94 | 7.28% | 6.13% | 5.07% | 10.63% | 13.86% | 8.92% |
Portfolio components: | ||||||
MVUS.L iShares Edge S&P 500 Minimum Volatility UCITS ETF | 2.79% | 3.73% | 0.11% | 9.94% | 12.61% | 10.02% |
IEFM.L iShares Edge MSCI Europe Momentum Factor UCITS ETF | 23.09% | 8.50% | 21.51% | 20.53% | 14.80% | 8.37% |
PSRW.L Invesco FTSE RAFI All World 3000 UCITS ETF | 8.39% | 7.05% | 5.75% | 9.28% | 16.22% | 7.43% |
IWFQ.L iShares MSCI World Quality Factor UCITS | 2.25% | 7.08% | 0.20% | 7.16% | 14.24% | 9.70% |
DEM WisdomTree Emerging Markets Equity Income Fund | 9.89% | 8.36% | 9.48% | 5.25% | 11.66% | 4.46% |
Monthly Returns
The table below presents the monthly returns of Correlation 2 2.94, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.
Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2025 | 3.88% | 0.35% | -1.18% | 0.33% | 3.80% | 7.28% | |||||||
2024 | 1.61% | 3.28% | 3.67% | -2.71% | 3.85% | 1.89% | 1.39% | 2.34% | 1.56% | -1.50% | 2.72% | -3.78% | 14.89% |
2023 | 4.09% | -2.95% | 2.38% | 3.08% | -3.05% | 5.11% | 2.56% | -2.15% | -3.53% | -2.50% | 7.99% | 4.44% | 15.66% |
2022 | -5.15% | -1.85% | 3.47% | -5.65% | -1.08% | -7.17% | 4.18% | -2.91% | -7.25% | 5.13% | 7.03% | -1.71% | -13.39% |
2021 | -1.06% | 1.57% | 4.81% | 4.12% | 1.90% | 0.37% | 1.94% | 1.98% | -3.96% | 4.40% | -1.14% | 4.78% | 21.12% |
2020 | -1.15% | -8.63% | -11.61% | 8.44% | 3.88% | 2.11% | 3.87% | 5.17% | -2.08% | -3.04% | 9.97% | 4.19% | 9.13% |
2019 | 7.14% | 3.28% | 1.69% | 2.87% | -4.11% | 5.75% | 0.58% | -1.94% | 2.38% | 1.83% | 2.44% | 3.92% | 28.50% |
2018 | 4.14% | -3.40% | -1.87% | 1.12% | -0.03% | -0.57% | 3.15% | 0.78% | 0.92% | -6.50% | 0.04% | -6.44% | -8.89% |
2017 | 1.11% | 2.92% | 1.50% | 0.83% | 1.77% | 0.39% | 2.43% | 0.32% | 1.43% | 2.23% | 2.29% | 1.97% | 20.93% |
2016 | -3.99% | 1.73% | 6.26% | 0.63% | -0.38% | 1.93% | 3.59% | -0.48% | 0.39% | -1.59% | 0.35% | 2.33% | 10.88% |
2015 | -0.23% | 4.09% | -1.39% | 2.63% | -0.17% | -2.48% | 2.00% | -5.58% | -3.47% | 7.10% | -1.03% | -1.27% | -0.44% |
Expense Ratio
Correlation 2 2.94 has an expense ratio of 0.30%, placing it in the medium range. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of Correlation 2 2.94 is 52, indicating average performance compared to other portfolios on our website. Here’s a breakdown of how it compares using common performance measures.
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.
Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
---|---|---|---|---|---|
MVUS.L iShares Edge S&P 500 Minimum Volatility UCITS ETF | 0.72 | 1.01 | 1.15 | 0.78 | 3.36 |
IEFM.L iShares Edge MSCI Europe Momentum Factor UCITS ETF | 1.06 | 1.56 | 1.21 | 1.42 | 5.18 |
PSRW.L Invesco FTSE RAFI All World 3000 UCITS ETF | 0.60 | 0.94 | 1.14 | 0.76 | 3.54 |
IWFQ.L iShares MSCI World Quality Factor UCITS | 0.46 | 0.74 | 1.10 | 0.43 | 1.81 |
DEM WisdomTree Emerging Markets Equity Income Fund | 0.31 | 0.52 | 1.07 | 0.30 | 0.77 |
Loading data...
Dividends
Dividend yield
Correlation 2 2.94 provided a 0.87% dividend yield over the last twelve months.
TTM | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|
Portfolio | 0.87% | 0.87% | 0.92% | 1.25% | 0.88% | 0.72% | 0.85% | 0.82% | 0.67% | 0.65% | 0.82% | 0.82% |
Portfolio components: | ||||||||||||
MVUS.L iShares Edge S&P 500 Minimum Volatility 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% |
IEFM.L iShares Edge MSCI Europe Momentum Factor 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% |
PSRW.L Invesco FTSE RAFI All World 3000 UCITS ETF | 2.32% | 2.29% | 2.46% | 2.58% | 1.96% | 1.99% | 2.45% | 2.52% | 2.03% | 1.93% | 2.00% | 1.77% |
IWFQ.L iShares MSCI World Quality Factor UCITS | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
DEM WisdomTree Emerging Markets Equity Income Fund | 5.25% | 5.24% | 5.49% | 8.62% | 5.87% | 4.21% | 4.78% | 4.47% | 3.67% | 3.63% | 5.21% | 5.51% |
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.
Loading data...
Worst Drawdowns
The table below displays the maximum drawdowns of the Correlation 2 2.94. 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 Correlation 2 2.94 was 32.82%, occurring on Mar 23, 2020. Recovery took 161 trading sessions.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
---|---|---|---|---|---|---|
-32.82% | Feb 18, 2020 | 25 | Mar 23, 2020 | 161 | Nov 5, 2020 | 186 |
-23.25% | Dec 31, 2021 | 202 | Oct 11, 2022 | 312 | Dec 28, 2023 | 514 |
-15.72% | Jan 29, 2018 | 234 | Dec 24, 2018 | 83 | Apr 23, 2019 | 317 |
-15.26% | May 22, 2015 | 171 | Jan 20, 2016 | 109 | Jun 23, 2016 | 280 |
-12.57% | Feb 18, 2025 | 35 | Apr 7, 2025 | 25 | May 13, 2025 | 60 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
Loading data...
Diversification
Diversification Metrics
Number of Effective Assets
The portfolio contains 5 assets, with an effective number of assets of 3.92, reflecting the diversification based on asset allocation. This number of effective assets suggests a highly concentrated portfolio, where a few assets dominate the allocation, potentially increasing the portfolio's risk due to lack of diversification.
Asset Correlations Table
^GSPC | DEM | IEFM.L | MVUS.L | PSRW.L | IWFQ.L | Portfolio | |
---|---|---|---|---|---|---|---|
^GSPC | 1.00 | 0.65 | 0.49 | 0.54 | 0.56 | 0.61 | 0.63 |
DEM | 0.65 | 1.00 | 0.51 | 0.39 | 0.60 | 0.50 | 0.61 |
IEFM.L | 0.49 | 0.51 | 1.00 | 0.65 | 0.77 | 0.79 | 0.84 |
MVUS.L | 0.54 | 0.39 | 0.65 | 1.00 | 0.77 | 0.88 | 0.91 |
PSRW.L | 0.56 | 0.60 | 0.77 | 0.77 | 1.00 | 0.87 | 0.92 |
IWFQ.L | 0.61 | 0.50 | 0.79 | 0.88 | 0.87 | 1.00 | 0.96 |
Portfolio | 0.63 | 0.61 | 0.84 | 0.91 | 0.92 | 0.96 | 1.00 |