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

BOJ

Last updated Jul 25, 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
^GSPC
S&P 500

20%

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

5%

CUKX.L
iShares FTSE 100 UCITS ETF

15%

DBC
Invesco DB Commodity Index Tracking Fund		Commodities

5%

EWUS
iShares MSCI United Kingdom Small-Cap ETF		Europe Equities

5%

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

7.50%

IGLT.L
iShares Core UK Gilts UCITS ETF		Government Bonds

7.50%

MIDD.L
iShares FTSE 250 UCITS ETF		Europe Equities

15%

SPXB
ProShares S&P 500 Bond ETF		Corporate Bonds

10%

USD=X
USD Cash

5%

USRT
iShares Core U.S. REIT ETF		REIT

5%

S&P 500

Performance

Performance Chart

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

20.00%40.00%60.00%80.00%100.00%120.00%FebruaryMarchAprilMayJuneJuly
27.94%
105.31%
105.31%
BOJ
Benchmark (^GSPC)
Portfolio components

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

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		13.20%-1.28%10.32%18.23%12.31%10.58%
BOJ5.44%1.36%6.48%8.47%4.54%N/A
Portfolio components:
EWUS
iShares MSCI United Kingdom Small-Cap ETF		8.88%5.15%11.12%13.45%2.43%2.00%
MIDD.L
iShares FTSE 250 UCITS ETF		8.73%5.00%10.99%12.10%3.88%5.27%
^GSPC
S&P 500		13.20%-1.44%10.39%18.99%11.84%10.58%
ASHR
Xtrackers Harvest CSI 300 China A-Shares Fund		-1.59%-0.51%1.91%-12.21%-2.34%3.20%
IGLT.L
iShares Core UK Gilts UCITS ETF		-0.95%2.28%2.88%5.26%-3.58%0.42%
GILS.L
Lyxor Core UK Government Bond (DR) UCITS ETF - Dist		-0.96%2.19%2.79%2.81%-5.30%-1.36%
SPXB
ProShares S&P 500 Bond ETF		-3.45%0.00%-2.28%1.98%-0.22%N/A
USRT
iShares Core U.S. REIT ETF		3.57%5.98%6.88%9.38%4.28%5.98%
DBC
Invesco DB Commodity Index Tracking Fund		1.95%-3.19%-0.62%-3.50%8.90%-0.49%
USD=X
USD Cash		0.00%0.00%0.00%0.00%0.00%0.00%
CUKX.L
iShares FTSE 100 UCITS ETF		8.98%1.32%10.56%10.70%5.88%5.73%

Monthly Returns

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

JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-1.33%0.75%3.01%-1.42%3.19%-0.17%5.44%
20235.92%-3.04%1.43%2.12%-3.43%2.69%3.45%-2.58%-3.58%-3.21%7.05%4.95%11.47%
2022-3.73%-1.65%-0.15%-5.61%-0.14%-6.58%4.56%-6.47%-9.53%4.77%8.57%-2.72%-18.50%
2021-0.58%2.00%1.34%3.84%2.49%-0.79%1.64%1.33%-3.65%3.78%-2.54%3.74%12.99%
2020-1.61%-5.77%-12.61%7.14%1.83%1.81%4.46%3.53%-3.44%-1.43%9.89%4.81%6.70%
20196.83%2.94%1.02%1.96%-4.43%3.67%-1.10%-0.63%2.27%3.05%1.52%3.81%22.49%
20181.05%-0.85%0.68%-0.79%0.14%-5.48%-0.83%-3.72%-9.56%

Expense Ratio

BOJ has an expense ratio of 0.20%, 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.

EWUS
iShares MSCI United Kingdom Small-Cap ETF
Expense ratio chart for EWUS: current value at 0.59% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.59%
MIDD.L
iShares FTSE 250 UCITS ETF
Expense ratio chart for MIDD.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%
DBC
Invesco DB Commodity Index Tracking Fund
Expense ratio chart for DBC: current value at 0.85% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.85%
ASHR
Xtrackers Harvest CSI 300 China A-Shares Fund
Expense ratio chart for ASHR: current value at 0.65% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.65%
SPXB
ProShares S&P 500 Bond ETF
Expense ratio chart for SPXB: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%
USRT
iShares Core U.S. REIT ETF
Expense ratio chart for USRT: current value at 0.08% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.08%
IGLT.L
iShares Core UK Gilts UCITS ETF
Expense ratio chart for IGLT.L: current value at 0.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.07%
CUKX.L
iShares FTSE 100 UCITS ETF
Expense ratio chart for CUKX.L: current value at 0.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.07%
GILS.L
Lyxor Core UK Government Bond (DR) UCITS ETF - Dist
Expense ratio chart for GILS.L: current value at 0.05% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.05%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of BOJ is 24, indicating that it is in the bottom 24% 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 BOJ is 2424
BOJ
The Sharpe Ratio Rank of BOJ is 2424Sharpe Ratio Rank
The Sortino Ratio Rank of BOJ is 2828Sortino Ratio Rank
The Omega Ratio Rank of BOJ is 2626Omega Ratio Rank
The Calmar Ratio Rank of BOJ is 1313Calmar Ratio Rank
The Martin Ratio Rank of BOJ is 2727Martin 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.

BOJ
Sharpe ratio
The chart of Sharpe ratio for BOJ, currently valued at 1.12, compared to the broader market-1.000.001.002.003.004.001.12
Sortino ratio
The chart of Sortino ratio for BOJ, currently valued at 1.77, compared to the broader market-2.000.002.004.006.001.77
Omega ratio
The chart of Omega ratio for BOJ, currently valued at 1.21, compared to the broader market0.801.001.201.401.601.801.21
Calmar ratio
The chart of Calmar ratio for BOJ, currently valued at 0.48, compared to the broader market0.002.004.006.008.000.48
Martin ratio
The chart of Martin ratio for BOJ, currently valued at 3.85, compared to the broader market0.0010.0020.0030.0040.003.85
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.76, compared to the broader market-1.000.001.002.003.004.001.76
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.47, compared to the broader market-2.000.002.004.006.002.47
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.32, compared to the broader market0.801.001.201.401.601.801.32
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.41, compared to the broader market0.002.004.006.008.001.41
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 8.43, compared to the broader market0.0010.0020.0030.0040.008.43
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
EWUS
iShares MSCI United Kingdom Small-Cap ETF		0.811.261.160.382.86
MIDD.L
iShares FTSE 250 UCITS ETF		0.911.531.170.413.13
^GSPC
S&P 500		1.762.471.321.418.43
ASHR
Xtrackers Harvest CSI 300 China A-Shares Fund		-0.82-1.150.87-0.26-1.17
IGLT.L
iShares Core UK Gilts UCITS ETF		0.550.851.100.161.50
GILS.L
Lyxor Core UK Government Bond (DR) UCITS ETF - Dist		0.360.591.070.100.97
SPXB
ProShares S&P 500 Bond ETF		0.390.611.080.120.90
USRT
iShares Core U.S. REIT ETF		0.611.001.120.362.12
DBC
Invesco DB Commodity Index Tracking Fund		-0.27-0.290.97-0.14-0.56
USD=X
USD Cash		—————
CUKX.L
iShares FTSE 100 UCITS ETF		1.091.711.201.334.81

Sharpe Ratio

The current BOJ Sharpe ratio is 1.12. 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 1.24 to 1.94, 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 BOJ 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 Ratio0.501.001.502.002.50FebruaryMarchAprilMayJuneJuly
1.12
1.76
1.76
BOJ
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

BOJ granted a 1.25% dividend yield in the last twelve months.

TTM20232022202120202019201820172016201520142013
BOJ1.25%1.26%0.78%0.60%0.63%0.87%0.95%0.45%0.54%1.99%0.51%0.40%
Portfolio components:
EWUS
iShares MSCI United Kingdom Small-Cap ETF		2.84%2.88%2.03%3.54%1.97%2.59%3.53%2.61%3.18%2.85%3.33%0.80%
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		2.52%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		2.99%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		3.53%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		3.08%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		4.85%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%

Drawdowns

Drawdowns Chart

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

-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%FebruaryMarchAprilMayJuneJuly
-4.59%
-4.73%
-4.73%
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 4.31%.

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

Volatility Chart

The current BOJ volatility is 2.19%, 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%FebruaryMarchAprilMayJuneJuly
2.19%
3.79%
3.79%
BOJ
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.
USD=XDBCSPXBASHRUSRTGILS.LIGLT.L^GSPCCUKX.LMIDD.LEWUS
USD=X0.000.000.000.000.000.000.000.000.000.000.00
DBC0.001.000.020.280.170.100.100.310.360.280.29
SPXB0.000.021.000.070.260.450.460.200.120.160.20
ASHR0.000.280.071.000.240.140.160.430.390.350.38
USRT0.000.170.260.241.000.250.260.630.360.370.49
GILS.L0.000.100.450.140.251.000.970.170.280.340.33
IGLT.L0.000.100.460.160.260.971.000.190.310.350.34
^GSPC0.000.310.200.430.630.170.191.000.480.480.63
CUKX.L0.000.360.120.390.360.280.310.481.000.820.69
MIDD.L0.000.280.160.350.370.340.350.480.821.000.83
EWUS0.000.290.200.380.490.330.340.630.690.831.00
The correlation results are calculated based on daily price changes starting from May 4, 2018