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FI Portfolio
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


SDG 70%IXN 30%EquityEquity
PositionCategory/SectorWeight
IXN
iShares Global Tech ETF
Technology Equities

30%

SDG
iShares MSCI Global Impact ETF
Large Cap Blend Equities

70%

S&P 500

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in FI Portfolio, 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


100.00%110.00%120.00%130.00%140.00%150.00%160.00%NovemberDecember2024FebruaryMarchApril
139.59%
137.49%
FI Portfolio
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Apr 22, 2016, corresponding to the inception date of SDG

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%
FI Portfolio-5.21%-6.20%9.95%4.82%10.30%N/A
SDG
iShares MSCI Global Impact ETF
-7.87%-4.89%5.93%-5.02%6.33%N/A
IXN
iShares Global Tech ETF
0.79%-9.10%19.16%30.08%18.82%18.30%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
2024-3.53%2.33%2.19%
2023-5.52%-2.62%9.35%5.50%

Expense Ratio

The FI Portfolio has a high expense ratio of 0.48%, 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%0.49%
0.50%1.00%1.50%2.00%0.46%

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.


FI Portfolio
Sharpe ratio
The chart of Sharpe ratio for FI Portfolio, currently valued at 0.33, compared to the broader market-1.000.001.002.003.004.000.33
Sortino ratio
The chart of Sortino ratio for FI Portfolio, currently valued at 0.56, compared to the broader market-2.000.002.004.006.000.56
Omega ratio
The chart of Omega ratio for FI Portfolio, currently valued at 1.06, compared to the broader market0.801.001.201.401.601.801.06
Calmar ratio
The chart of Calmar ratio for FI Portfolio, currently valued at 0.22, compared to the broader market0.002.004.006.008.000.22
Martin ratio
The chart of Martin ratio for FI Portfolio, currently valued at 0.89, compared to the broader market0.0010.0020.0030.0040.000.89
^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
SDG
iShares MSCI Global Impact ETF
-0.37-0.430.95-0.19-0.78
IXN
iShares Global Tech ETF
1.622.311.281.436.48

Sharpe Ratio

The current FI Portfolio Sharpe ratio is 0.33. A Sharpe ratio between 0 and 1.0 is considered sub-optimal.

-1.000.001.002.003.004.000.33

The Sharpe ratio of FI Portfolio 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.


Rolling 12-month Sharpe Ratio0.501.001.502.002.503.00NovemberDecember2024FebruaryMarchApril
0.33
1.66
FI Portfolio
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

FI Portfolio granted a 1.51% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
FI Portfolio1.51%1.40%1.52%1.33%0.87%1.29%2.01%2.06%1.25%0.34%0.34%0.31%
SDG
iShares MSCI Global Impact ETF
1.92%1.77%1.82%1.66%0.97%1.39%2.47%2.54%1.34%0.00%0.00%0.00%
IXN
iShares Global Tech ETF
0.55%0.55%0.81%0.58%0.63%1.06%0.94%0.93%1.03%1.12%1.14%1.02%

Drawdowns

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%NovemberDecember2024FebruaryMarchApril
-11.18%
-5.46%
FI Portfolio
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the FI Portfolio. 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 FI Portfolio was 29.28%, occurring on Oct 14, 2022. The portfolio has not yet recovered.

The current FI Portfolio drawdown is 11.18%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-29.28%Sep 7, 2021280Oct 14, 2022
-28.38%Feb 20, 202023Mar 23, 202071Jul 2, 202094
-16.5%Sep 20, 201866Dec 24, 201867Apr 2, 2019133
-8.89%Jan 29, 20189Feb 8, 2018154Sep 19, 2018163
-7.97%Apr 18, 201930May 31, 201923Jul 3, 201953

Volatility

Volatility Chart

The current FI Portfolio volatility is 3.70%, 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%NovemberDecember2024FebruaryMarchApril
3.70%
3.15%
FI Portfolio
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.

IXNSDG
IXN1.000.66
SDG0.661.00