PortfoliosLab logo
Tools
Performance Analysis
Risk Analysis
Optimization
Factor Model
See All Tools
Portfolio Analysis
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
PB 80/20
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


XGLE.L 20%IWDA.AS 50%IMAE.AS 25%EIMI.L 5%BondBondEquityEquity
PositionCategory/SectorWeight
EIMI.L
iShares Core MSCI EM IMI UCITS ETF
Emerging Markets Equities

5%

IMAE.AS
iShares Core MSCI Europe UCITS ETF EUR (Acc)
Europe Equities

25%

IWDA.AS
iShares Core MSCI World UCITS ETF USD (Acc)
Global Equities

50%

XGLE.L
Xtrackers Eurozone Government Bond UCITS ETF 1C
European Government Bonds

20%

S&P 500

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in PB 80/20, 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


40.00%60.00%80.00%100.00%120.00%140.00%160.00%NovemberDecember2024FebruaryMarchApril
63.60%
154.56%
PB 80/20
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jun 9, 2014, corresponding to the inception date of EIMI.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%
PB 80/201.25%-3.69%14.74%10.67%6.34%N/A
EIMI.L
iShares Core MSCI EM IMI UCITS ETF
-0.63%-2.53%10.96%7.23%1.67%N/A
XGLE.L
Xtrackers Eurozone Government Bond UCITS ETF 1C
-5.38%-2.52%6.18%0.69%-2.96%0.50%
IWDA.AS
iShares Core MSCI World UCITS ETF USD (Acc)
3.88%-4.51%17.59%17.47%10.08%11.52%
IMAE.AS
iShares Core MSCI Europe UCITS ETF EUR (Acc)
1.54%-3.20%16.59%6.02%6.53%6.71%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
20240.08%2.19%3.10%
2023-4.16%-2.64%8.46%5.03%

Expense Ratio

The PB 80/20 features an expense ratio of 0.19%, falling within the medium range. 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%0.20%
0.50%1.00%1.50%2.00%0.20%
0.50%1.00%1.50%2.00%0.18%

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.


PB 80/20
Sharpe ratio
The chart of Sharpe ratio for PB 80/20, currently valued at 1.14, compared to the broader market-1.000.001.002.003.004.001.14
Sortino ratio
The chart of Sortino ratio for PB 80/20, currently valued at 1.76, compared to the broader market-2.000.002.004.006.001.76
Omega ratio
The chart of Omega ratio for PB 80/20, 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 PB 80/20, currently valued at 0.70, compared to the broader market0.002.004.006.008.000.70
Martin ratio
The chart of Martin ratio for PB 80/20, currently valued at 3.35, compared to the broader market0.0010.0020.0030.0040.003.35
^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
EIMI.L
iShares Core MSCI EM IMI UCITS ETF
0.621.011.120.311.86
XGLE.L
Xtrackers Eurozone Government Bond UCITS ETF 1C
0.010.091.010.000.02
IWDA.AS
iShares Core MSCI World UCITS ETF USD (Acc)
1.732.551.311.405.98
IMAE.AS
iShares Core MSCI Europe UCITS ETF EUR (Acc)
0.500.821.090.491.49

Sharpe Ratio

The current PB 80/20 Sharpe ratio is 1.14. A Sharpe ratio greater than 1.0 is considered acceptable.

-1.000.001.002.003.004.001.14

The Sharpe ratio of PB 80/20 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
1.14
1.66
PB 80/20
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield


PB 80/20 doesn't pay dividends

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
-4.14%
-5.46%
PB 80/20
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the PB 80/20. 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 PB 80/20 was 28.32%, occurring on Mar 23, 2020. Recovery took 100 trading sessions.

The current PB 80/20 drawdown is 4.14%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-28.32%Feb 20, 202023Mar 23, 2020100Aug 12, 2020123
-28.18%Nov 9, 2021240Oct 12, 2022358Mar 6, 2024598
-17.15%Jul 4, 2014397Jan 20, 2016297Mar 15, 2017694
-16.55%Jan 29, 2018234Dec 24, 2018219Nov 1, 2019453
-6.47%Oct 13, 202014Oct 30, 20206Nov 9, 202020

Volatility

Volatility Chart

The current PB 80/20 volatility is 2.51%, 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
2.51%
3.15%
PB 80/20
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.

XGLE.LEIMI.LIWDA.ASIMAE.AS
XGLE.L1.000.130.200.31
EIMI.L0.131.000.680.68
IWDA.AS0.200.681.000.88
IMAE.AS0.310.680.881.00