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Correlation 2 2.94
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Correlation 2 2.94

Last updated Nov 13, 2024

Asset Allocation

ERNS.L 10%SGLN.L 5%XDEQ.L 40%XDEM.L 15%MVUS.L 15%DXJG.L 10%FRIN.L 5%BondBondCommodityCommodityEquityEquity
PositionCategory/SectorWeight
DXJG.L
WisdomTree Japan Equity UCITS ETF JPY Acc		Japan Equities
10%
ERNS.L
iShares £ Ultrashort Bond UCITS ETF		Total Bond Market
10%
FRIN.L
Franklin FTSE India UCITS ETF		Asia Pacific Equities
5%
MVUS.L
iShares Edge S&P 500 Minimum Volatility UCITS ETF		Large Cap Blend Equities
15%
SGLN.L
iShares Physical Gold ETC		Precious Metals, Commodities
5%
XDEM.L
Xtrackers MSCI World Momentum Factor UCITS ETF 1C		Global Equities
15%
XDEQ.L
Xtrackers MSCI World Quality Factor UCITS ETF 1C		Global Equities
40%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Correlation 2 2.94, 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%15.00%JuneJulyAugustSeptemberOctoberNovember
8.19%
14.06%
Correlation 2 2.94
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jun 28, 2019, corresponding to the inception date of FRIN.L

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%
Correlation 2 2.9419.52%-0.77%8.19%28.20%11.17%N/A
Portfolio components:
XDEQ.L
Xtrackers MSCI World Quality Factor UCITS ETF 1C		19.80%-0.39%9.01%29.84%12.70%12.99%
FRIN.L
Franklin FTSE India UCITS ETF		12.52%-5.94%4.26%24.17%12.80%N/A
DXJG.L
WisdomTree Japan Equity UCITS ETF JPY Acc		10.52%-3.51%0.43%17.58%7.66%N/A
ERNS.L
iShares £ Ultrashort Bond UCITS ETF		4.79%-2.12%3.77%9.64%2.16%1.57%
SGLN.L
iShares Physical Gold ETC		25.83%-2.10%10.43%33.47%11.89%10.30%
XDEM.L
Xtrackers MSCI World Momentum Factor UCITS ETF 1C		31.91%0.96%11.02%41.28%13.09%14.21%
MVUS.L
iShares Edge S&P 500 Minimum Volatility UCITS ETF		22.19%1.27%11.61%29.66%10.88%13.10%

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.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20242.58%4.21%3.44%-2.73%3.43%3.05%0.84%2.21%1.55%-1.60%19.52%
20233.29%-3.18%3.35%2.34%-1.04%4.86%2.61%-1.05%-3.57%-1.55%7.16%4.51%18.49%
2022-6.00%-0.95%3.12%-6.41%-2.10%-6.66%4.87%-3.01%-6.68%4.52%6.73%-1.49%-14.35%
2021-1.01%1.20%2.75%3.56%2.12%0.33%2.17%2.14%-3.30%4.09%-1.19%3.28%17.08%
2020-0.05%-7.84%-9.04%8.21%3.28%2.31%3.90%6.49%-2.02%-2.59%8.36%4.55%14.59%
20190.30%-1.52%1.95%2.68%2.29%2.91%8.84%

Expense Ratio

Correlation 2 2.94 has an expense ratio of 0.23%, 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.

DXJG.L
WisdomTree Japan Equity UCITS ETF JPY Acc
Expense ratio chart for DXJG.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%
XDEQ.L
Xtrackers MSCI World Quality Factor UCITS ETF 1C
Expense ratio chart for XDEQ.L: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%
XDEM.L
Xtrackers MSCI World Momentum Factor UCITS ETF 1C
Expense ratio chart for XDEM.L: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%
MVUS.L
iShares Edge S&P 500 Minimum Volatility UCITS ETF
Expense ratio chart for MVUS.L: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%
FRIN.L
Franklin FTSE India UCITS ETF
Expense ratio chart for FRIN.L: current value at 0.19% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.19%
ERNS.L
iShares £ Ultrashort Bond UCITS ETF
Expense ratio chart for ERNS.L: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Correlation 2 2.94 is 55, suggesting that the investment has average results relative to other portfolios in terms of risk-adjusted performance. This ranking is determined by the cumulative values of the indicators listed below.

The Risk-Adjusted Performance Rank of Correlation 2 2.94 is 5555
Combined Rank
The Sharpe Ratio Rank of Correlation 2 2.94 is 4949Sharpe Ratio Rank
The Sortino Ratio Rank of Correlation 2 2.94 is 5757Sortino Ratio Rank
The Omega Ratio Rank of Correlation 2 2.94 is 5656Omega Ratio Rank
The Calmar Ratio Rank of Correlation 2 2.94 is 5858Calmar Ratio Rank
The Martin Ratio Rank of Correlation 2 2.94 is 5353Martin 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.

Correlation 2 2.94
Sharpe ratio
The chart of Sharpe ratio for Correlation 2 2.94, currently valued at 2.59, compared to the broader market0.002.004.006.002.59
Sortino ratio
The chart of Sortino ratio for Correlation 2 2.94, currently valued at 3.66, compared to the broader market-2.000.002.004.006.003.66
Omega ratio
The chart of Omega ratio for Correlation 2 2.94, currently valued at 1.49, compared to the broader market0.801.001.201.401.601.802.001.49
Calmar ratio
The chart of Calmar ratio for Correlation 2 2.94, currently valued at 3.63, compared to the broader market0.005.0010.0015.003.63
Martin ratio
The chart of Martin ratio for Correlation 2 2.94, currently valued at 16.15, compared to the broader market0.0010.0020.0030.0040.0050.0060.0016.15
^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
XDEQ.L
Xtrackers MSCI World Quality Factor UCITS ETF 1C		2.413.431.443.8313.85
FRIN.L
Franklin FTSE India UCITS ETF		1.491.951.302.448.91
DXJG.L
WisdomTree Japan Equity UCITS ETF JPY Acc		0.821.181.161.084.10
ERNS.L
iShares £ Ultrashort Bond UCITS ETF		1.181.661.210.975.56
SGLN.L
iShares Physical Gold ETC		2.272.961.395.0714.23
XDEM.L
Xtrackers MSCI World Momentum Factor UCITS ETF 1C		2.333.041.442.3312.40
MVUS.L
iShares Edge S&P 500 Minimum Volatility UCITS ETF		3.134.601.573.8120.32

Sharpe Ratio

The current Correlation 2 2.94 Sharpe ratio is 2.59. 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 2.98, this portfolio's current Sharpe ratio lies between the 25th and 75th percentiles. This indicates that the its 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.

Use the chart below to compare the Sharpe ratio of Correlation 2 2.94 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 Ratio1.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.59
2.90
Correlation 2 2.94
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Correlation 2 2.94 provided a 0.53% dividend yield over the last twelve months.

TTM20232022202120202019201820172016201520142013
Portfolio0.53%0.45%0.11%0.03%0.07%0.10%0.07%0.05%0.08%0.07%0.35%0.01%
Portfolio components:
XDEQ.L
Xtrackers MSCI World Quality Factor UCITS ETF 1C		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.51%0.00%
FRIN.L
Franklin FTSE India 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%
DXJG.L
WisdomTree Japan Equity UCITS ETF JPY Acc		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
ERNS.L
iShares £ Ultrashort Bond UCITS ETF		5.25%4.54%1.14%0.28%0.75%1.04%0.74%0.52%0.81%0.72%0.55%0.06%
SGLN.L
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%
XDEM.L
Xtrackers MSCI World Momentum Factor UCITS ETF 1C		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.63%0.00%
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%

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
-1.30%
-0.29%
Correlation 2 2.94
Benchmark (^GSPC)
Portfolio components

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 28.31%, occurring on Mar 23, 2020. Recovery took 99 trading sessions.

The current Correlation 2 2.94 drawdown is 1.30%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-28.31%Feb 18, 202025Mar 23, 202099Aug 13, 2020124
-23.59%Jan 4, 2022183Sep 26, 2022309Dec 14, 2023492
-7.11%Jul 17, 202414Aug 5, 202412Aug 21, 202426
-5.95%Sep 7, 202120Oct 4, 202123Nov 4, 202143
-5.86%Sep 3, 202016Sep 24, 202030Nov 5, 202046

Volatility

Volatility Chart

The current Correlation 2 2.94 volatility is 2.36%, 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%JuneJulyAugustSeptemberOctoberNovember
2.36%
3.86%
Correlation 2 2.94
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.
SGLN.LERNS.LFRIN.LDXJG.LMVUS.LXDEM.LXDEQ.L
SGLN.L1.000.390.180.200.160.160.14
ERNS.L0.391.000.370.420.370.400.42
FRIN.L0.180.371.000.480.500.510.54
DXJG.L0.200.420.481.000.540.610.65
MVUS.L0.160.370.500.541.000.770.88
XDEM.L0.160.400.510.610.771.000.88
XDEQ.L0.140.420.540.650.880.881.00
The correlation results are calculated based on daily price changes starting from Jul 1, 2019