PortfoliosLab logo
Tools
Performance Analysis
Risk Analysis
Optimization
Factor Model
See All Tools
Portfolio Analysis
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
Holding
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


AQMIX 20%EXXW.DE 29.47%DVYE 22.11%EQDS.L 18.42%SPYD 10%AlternativesAlternativesEquityEquity
PositionCategory/SectorWeight
AQMIX
AQR Managed Futures Strategy Fund
Systematic Trend

20%

DVYE
iShares Emerging Markets Dividend ETF
Emerging Markets Equities, Dividend

22.11%

EQDS.L
iShares MSCI Europe Quality Dividend ESG UCITS ETF EUR (Dist)
Europe Equities

18.42%

EXXW.DE
iShares Dow Jones Asia Pacific Select Dividend 50 UCITS ETF (DE)
Asia Pacific Equities

29.47%

SPYD
SPDR Portfolio S&P 500 High Dividend ETF
All Cap Equities, Dividend

10%

S&P 500

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Holding, 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%20.00%40.00%60.00%80.00%100.00%120.00%NovemberDecember2024FebruaryMarchApril
24.49%
103.75%
Holding
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jun 14, 2017, corresponding to the inception date of EQDS.L

Returns By Period


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
4.14%-4.93%17.59%20.28%11.33%10.22%
Holding2.92%-0.67%14.57%11.40%3.48%N/A
SPYD
SPDR Portfolio S&P 500 High Dividend ETF
0.49%-1.74%18.34%7.77%4.95%N/A
EQDS.L
iShares MSCI Europe Quality Dividend ESG UCITS ETF EUR (Dist)
1.96%-4.39%15.96%2.81%2.26%N/A
EXXW.DE
iShares Dow Jones Asia Pacific Select Dividend 50 UCITS ETF (DE)
-0.74%-1.83%14.60%7.52%0.74%3.19%
DVYE
iShares Emerging Markets Dividend ETF
0.36%1.26%16.90%16.94%-1.23%0.08%
AQMIX
AQR Managed Futures Strategy Fund
13.29%2.88%7.27%19.21%8.80%4.50%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
2024-0.83%2.71%2.22%
2023-0.78%-1.88%5.17%5.37%

Expense Ratio

The Holding has a high expense ratio of 0.51%, indicating higher-than-average management fees. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


0.50%1.00%1.50%2.00%1.25%
0.50%1.00%1.50%2.00%0.49%
0.50%1.00%1.50%2.00%0.07%

Risk-Adjusted Performance

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.


Holding
Sharpe ratio
The chart of Sharpe ratio for Holding, currently valued at 1.23, compared to the broader market-1.000.001.002.003.004.001.23
Sortino ratio
The chart of Sortino ratio for Holding, currently valued at 1.86, compared to the broader market-2.000.002.004.006.001.86
Omega ratio
The chart of Omega ratio for Holding, currently valued at 1.22, compared to the broader market0.801.001.201.401.601.801.22
Calmar ratio
The chart of Calmar ratio for Holding, currently valued at 1.15, compared to the broader market0.002.004.006.008.001.15
Martin ratio
The chart of Martin ratio for Holding, currently valued at 5.09, compared to the broader market0.0010.0020.0030.0040.005.10
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.66, compared to the broader market-1.000.001.002.003.004.001.66
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.44, compared to the broader market-2.000.002.004.006.002.44
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.29, compared to the broader market0.801.001.201.401.601.801.29
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.27, compared to the broader market0.002.004.006.008.001.27
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 6.65, compared to the broader market0.0010.0020.0030.0040.006.65

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
SPYD
SPDR Portfolio S&P 500 High Dividend ETF
0.450.781.090.321.38
EQDS.L
iShares MSCI Europe Quality Dividend ESG UCITS ETF EUR (Dist)
0.210.411.050.230.57
EXXW.DE
iShares Dow Jones Asia Pacific Select Dividend 50 UCITS ETF (DE)
0.610.941.110.512.47
DVYE
iShares Emerging Markets Dividend ETF
1.141.741.200.464.64
AQMIX
AQR Managed Futures Strategy Fund
1.331.861.331.894.89

Sharpe Ratio

The current Holding Sharpe ratio is 1.23. A Sharpe ratio greater than 1.0 is considered acceptable.

-1.000.001.002.003.004.001.23

The Sharpe ratio of Holding 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 Ratio0.501.001.502.002.503.00NovemberDecember2024FebruaryMarchApril
1.23
1.66
Holding
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Holding granted a 5.68% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
Holding5.68%5.91%7.35%5.01%4.09%4.06%3.22%3.86%2.70%4.48%4.31%2.86%
SPYD
SPDR Portfolio S&P 500 High Dividend ETF
4.65%4.66%5.01%3.68%4.95%4.43%4.75%4.63%4.34%1.13%0.00%0.00%
EQDS.L
iShares MSCI Europe Quality Dividend ESG UCITS ETF EUR (Dist)
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
EXXW.DE
iShares Dow Jones Asia Pacific Select Dividend 50 UCITS ETF (DE)
5.84%5.98%7.16%5.56%4.64%5.67%5.04%7.91%4.27%5.52%5.07%5.56%
DVYE
iShares Emerging Markets Dividend ETF
9.11%9.05%9.89%7.31%5.27%5.97%5.69%4.81%4.56%6.53%4.51%4.59%
AQMIX
AQR Managed Futures Strategy Fund
7.41%8.39%12.76%6.94%5.31%3.13%0.00%0.00%0.02%6.51%9.10%1.01%

Drawdowns

Drawdowns Chart

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


-15.00%-10.00%-5.00%0.00%NovemberDecember2024FebruaryMarchApril
-1.91%
-5.46%
Holding
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Holding. 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 Holding was 33.53%, occurring on Mar 23, 2020. Recovery took 250 trading sessions.

The current Holding drawdown is 1.91%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-33.53%Jan 29, 2018555Mar 23, 2020250Mar 11, 2021805
-18.14%Feb 17, 2022169Oct 12, 2022304Dec 14, 2023473
-8.19%Jun 8, 2021126Nov 30, 202147Feb 3, 2022173
-2.9%Mar 16, 20217Mar 24, 202116Apr 16, 202123
-2.9%Dec 29, 202313Jan 17, 202415Feb 7, 202428

Volatility

Volatility Chart

The current Holding volatility is 2.26%, 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.


1.50%2.00%2.50%3.00%3.50%4.00%4.50%5.00%NovemberDecember2024FebruaryMarchApril
2.26%
3.15%
Holding
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.

AQMIXSPYDDVYEEQDS.LEXXW.DE
AQMIX1.00-0.06-0.05-0.11-0.11
SPYD-0.061.000.550.480.45
DVYE-0.050.551.000.500.57
EQDS.L-0.110.480.501.000.64
EXXW.DE-0.110.450.570.641.00