PortfoliosLab logo
Tools
Performance Analysis
Risk Analysis
Optimization
Factor Model
See All Tools
Portfolio Analysis
Portfolios
Lazy PortfoliosUser Portfolios
Discussions

BOJ

Last updated Mar 2, 2024

Asset Allocation


SPXB 10%IGLT.L 7.5%GILS.L 7.5%DBC 5%USD=X 5%^GSPC 20%MIDD.L 15%CUKX.L 15%EWUS 5%ASHR 5%USRT 5%BondBondCommodityCommodityCurrencyCurrencyEquityEquityReal EstateReal Estate
PositionCategory/SectorWeight
SPXB
ProShares S&P 500 Bond ETF
Corporate Bonds

10%

IGLT.L
iShares Core UK Gilts UCITS ETF
Government Bonds

7.50%

GILS.L
Lyxor Core UK Government Bond (DR) UCITS ETF - Dist
European Government Bonds

7.50%

DBC
Invesco DB Commodity Index Tracking Fund
Commodities

5%

USD=X
USD Cash

5%

^GSPC
S&P 500

20%

MIDD.L
iShares FTSE 250 UCITS ETF
Europe Equities

15%

CUKX.L
iShares FTSE 100 UCITS ETF

15%

EWUS
iShares MSCI United Kingdom Small-Cap ETF
Europe Equities

5%

ASHR
Xtrackers Harvest CSI 300 China A-Shares Fund
China Equities

5%

USRT
iShares Core U.S. REIT ETF
REIT

5%

S&P 500

Performance

The chart shows the growth of an initial investment of $10,000 in BOJ, 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%OctoberNovemberDecember2024FebruaryMarch
21.55%
95.35%
95.35%
BOJ
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is May 3, 2018, corresponding to the inception date of SPXB

Returns


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
7.70%6.01%13.76%29.03%12.89%10.63%
BOJ0.16%1.52%5.36%8.81%3.90%N/A
EWUS
iShares MSCI United Kingdom Small-Cap ETF
-2.50%0.60%5.99%6.34%-0.29%0.05%
MIDD.L
iShares FTSE 250 UCITS ETF
-2.14%0.08%6.00%6.34%1.17%3.79%
^GSPC
S&P 500
7.70%6.01%13.76%29.03%12.40%10.63%
ASHR
Xtrackers Harvest CSI 300 China A-Shares Fund
1.59%9.66%-6.91%-17.16%-1.65%4.43%
IGLT.L
iShares Core UK Gilts UCITS ETF
-4.16%-1.72%4.44%7.52%-4.27%0.47%
GILS.L
Lyxor Core UK Government Bond (DR) UCITS ETF - Dist
-3.99%-1.56%2.29%5.45%-6.22%-1.29%
SPXB
ProShares S&P 500 Bond ETF
-1.64%-1.23%4.76%7.06%1.63%N/A
USRT
iShares Core U.S. REIT ETF
-1.34%3.10%6.79%6.49%4.47%6.33%
DBC
Invesco DB Commodity Index Tracking Fund
0.27%-1.03%-6.81%-3.71%8.17%-0.94%
USD=X
USD Cash
0.00%0.00%0.00%0.00%0.00%0.00%
CUKX.L
iShares FTSE 100 UCITS ETF
-1.20%0.39%4.07%6.04%4.20%5.01%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
2024-1.34%0.89%
2023-2.58%-3.58%-3.21%7.05%4.96%

Sharpe Ratio

The current BOJ Sharpe ratio is 1.22. A Sharpe ratio greater than 1.0 is considered acceptable.

0.002.004.001.22

The Sharpe ratio of BOJ is in the bottom 25%, suggesting that this portfolio isn't performing as well in terms of risk-adjusted returns compared to many others. This could be due to lower returns, higher volatility, or both. It might be an indication that the portfolio needs fine-tuning.


Chart placeholderNot enough data

Dividend yield

BOJ granted a 1.30% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
BOJ1.30%1.26%0.78%0.60%0.63%0.87%0.95%0.45%0.54%1.99%0.51%0.44%
EWUS
iShares MSCI United Kingdom Small-Cap ETF
2.95%2.88%2.03%3.54%1.97%2.59%3.53%2.61%3.18%2.85%3.33%1.60%
MIDD.L
iShares FTSE 250 UCITS ETF
0.03%0.03%0.03%0.02%0.02%0.03%0.03%0.03%0.03%0.03%0.03%0.02%
^GSPC
S&P 500
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
ASHR
Xtrackers Harvest CSI 300 China A-Shares Fund
2.44%2.48%1.13%0.88%0.81%0.98%1.32%0.84%0.73%30.13%0.27%0.00%
IGLT.L
iShares Core UK Gilts UCITS ETF
2.48%2.40%1.32%0.79%0.95%1.25%1.31%1.30%1.88%2.05%2.04%2.14%
GILS.L
Lyxor Core UK Government Bond (DR) UCITS ETF - 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%
SPXB
ProShares S&P 500 Bond ETF
4.32%4.05%3.14%2.00%2.64%3.48%2.52%0.00%0.00%0.00%0.00%0.00%
USRT
iShares Core U.S. REIT ETF
3.22%3.18%3.46%2.27%3.12%3.34%5.66%3.44%3.98%3.59%3.46%3.84%
DBC
Invesco DB Commodity Index Tracking Fund
4.93%4.94%0.59%0.00%0.00%1.59%1.30%0.00%0.00%0.00%0.00%0.00%
USD=X
USD Cash
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
CUKX.L
iShares FTSE 100 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%

Expense Ratio

The BOJ has a high expense ratio of 0.20%, 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.


0.59%
0.00%2.15%
0.40%
0.00%2.15%
0.85%
0.00%2.15%
0.65%
0.00%2.15%
0.15%
0.00%2.15%
0.08%
0.00%2.15%
0.07%
0.00%2.15%
0.07%
0.00%2.15%
0.05%
0.00%2.15%

Risk-Adjusted Performance

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 ratioSortino ratioOmega ratioCalmar ratioUlcer Index
^GSPC
S&P 500
2.44
BOJ
EWUS
iShares MSCI United Kingdom Small-Cap ETF
0.30
MIDD.L
iShares FTSE 250 UCITS ETF
0.04
^GSPC
S&P 500
2.44
ASHR
Xtrackers Harvest CSI 300 China A-Shares Fund
-0.96
IGLT.L
iShares Core UK Gilts UCITS ETF
0.19
GILS.L
Lyxor Core UK Government Bond (DR) UCITS ETF - Dist
-0.03
SPXB
ProShares S&P 500 Bond ETF
0.82
USRT
iShares Core U.S. REIT ETF
0.40
DBC
Invesco DB Commodity Index Tracking Fund
-0.27
USD=X
USD Cash
CUKX.L
iShares FTSE 100 UCITS ETF
0.02

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

USD=XSPXBDBCASHRGILS.LUSRTIGLT.L^GSPCCUKX.LMIDD.LEWUS
USD=X0.000.000.000.000.000.000.000.000.000.000.00
SPXB0.001.000.030.070.460.270.460.210.110.160.20
DBC0.000.031.000.290.110.180.110.320.370.280.29
ASHR0.000.070.291.000.140.240.160.450.410.360.40
GILS.L0.000.460.110.141.000.240.960.160.260.330.32
USRT0.000.270.180.240.241.000.250.630.360.360.49
IGLT.L0.000.460.110.160.960.251.000.180.290.340.34
^GSPC0.000.210.320.450.160.630.181.000.500.480.64
CUKX.L0.000.110.370.410.260.360.290.501.000.820.71
MIDD.L0.000.160.280.360.330.360.340.480.821.000.84
EWUS0.000.200.290.400.320.490.340.640.710.841.00

Drawdowns Chart

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


-20.00%-15.00%-10.00%-5.00%0.00%OctoberNovemberDecember2024FebruaryMarch
-9.36%
00
BOJ
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the BOJ. 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 BOJ was 28.69%, occurring on Mar 23, 2020. Recovery took 167 trading sessions.

The current BOJ drawdown is 9.36%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-28.69%Jan 20, 202046Mar 23, 2020167Nov 11, 2020213
-28.33%Jan 5, 2022190Sep 27, 2022
-13.23%Jun 12, 2018140Dec 24, 201879Apr 12, 2019219
-5.19%May 6, 201973Aug 14, 201925Sep 18, 201998
-4.48%Sep 7, 202122Oct 6, 202160Dec 29, 202182

Volatility Chart

The current BOJ volatility is 2.43%, 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%OctoberNovemberDecember2024FebruaryMarch
2.43%
3.32%
3.32%
BOJ
Benchmark (^GSPC)
Portfolio components
0 comments