PortfoliosLab logo
PortfoliosLab logo
​
Tools
Performance Analysis
Portfolio Analysis
Risk Analysis
Optimization
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Screeners
Discussions
All weather (real estate inc.)
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

All weather (real estate inc.)

Last updated Nov 13, 2024

Asset Allocation

VAGS.L 55%CMFP.L 5%SGLN.L 5%LGGG.L 30%UKRE.L 5%BondBondCommodityCommodityEquityEquityReal EstateReal Estate
PositionCategory/SectorWeight
CMFP.L
L&G Longer Dated All Commodities UCITS ETF		Commodities
5%
LGGG.L
L&G Global Equity UCITS ETF		Global Equities
30%
SGLN.L
iShares Physical Gold ETC		Precious Metals, Commodities
5%
UKRE.L
iShares MSCI Target UK Real Estate UCITS ETF		REIT
5%
VAGS.L
Vanguard Global Aggregate Bond UCITS ETF GBP Hedged Accumulating		Global Bonds
55%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in All weather (real estate inc.), 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%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
6.19%
14.05%
All weather (real estate inc.)
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jun 20, 2019, corresponding to the inception date of VAGS.L

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		25.45%2.91%14.05%35.64%14.13%11.39%
All weather (real estate inc.)8.37%-1.83%6.19%18.04%4.44%N/A
Portfolio components:
CMFP.L
L&G Longer Dated All Commodities UCITS ETF		3.51%-3.47%-3.46%1.31%10.22%4.27%
SGLN.L
iShares Physical Gold ETC		25.83%-2.10%10.43%33.47%11.89%10.30%
VAGS.L
Vanguard Global Aggregate Bond UCITS ETF GBP Hedged Accumulating		2.16%-2.89%4.95%11.96%-0.96%N/A
UKRE.L
iShares MSCI Target UK Real Estate UCITS ETF		-4.20%-7.38%-2.23%8.78%-2.67%N/A
LGGG.L
L&G Global Equity UCITS ETF		20.23%1.26%10.66%31.25%12.64%N/A

Monthly Returns

The table below presents the monthly returns of All weather (real estate inc.), with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-0.19%0.08%2.48%-2.46%2.93%1.05%2.42%2.77%2.87%-3.32%8.37%
20234.64%-3.85%3.99%2.28%-1.54%2.71%2.13%-1.61%-4.90%-1.31%7.26%4.54%14.45%
2022-3.01%-0.86%-0.69%-6.53%-0.74%-6.35%3.97%-5.77%-8.01%2.87%6.95%-1.07%-18.61%
2021-0.44%0.59%0.13%2.30%3.01%-1.12%2.24%0.05%-2.99%2.60%-1.83%2.11%6.65%
20200.40%-4.06%-7.57%5.45%0.39%2.16%6.02%3.39%-3.00%-1.07%5.95%3.78%11.37%
20190.39%-1.89%0.47%1.35%4.33%0.40%2.80%7.98%

Expense Ratio

All weather (real estate inc.) has an expense ratio of 0.12%, 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.

CMFP.L
L&G Longer Dated All Commodities UCITS ETF
Expense ratio chart for CMFP.L: current value at 0.30% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.30%
UKRE.L
iShares MSCI Target UK Real Estate UCITS ETF
Expense ratio chart for UKRE.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%
VAGS.L
Vanguard Global Aggregate Bond UCITS ETF GBP Hedged Accumulating
Expense ratio chart for VAGS.L: current value at 0.10% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.10%
LGGG.L
L&G Global Equity UCITS ETF
Expense ratio chart for LGGG.L: current value at 0.10% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.10%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of All weather (real estate inc.) is 20, indicating that it is in the bottom 20% 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 All weather (real estate inc.) is 2020
Combined Rank
The Sharpe Ratio Rank of All weather (real estate inc.) is 1919Sharpe Ratio Rank
The Sortino Ratio Rank of All weather (real estate inc.) is 2525Sortino Ratio Rank
The Omega Ratio Rank of All weather (real estate inc.) is 2222Omega Ratio Rank
The Calmar Ratio Rank of All weather (real estate inc.) is 1212Calmar Ratio Rank
The Martin Ratio Rank of All weather (real estate inc.) is 2323Martin 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.

All weather (real estate inc.)
Sharpe ratio
The chart of Sharpe ratio for All weather (real estate inc.), currently valued at 1.87, compared to the broader market0.002.004.006.001.87
Sortino ratio
The chart of Sortino ratio for All weather (real estate inc.), currently valued at 2.83, compared to the broader market-2.000.002.004.006.002.83
Omega ratio
The chart of Omega ratio for All weather (real estate inc.), currently valued at 1.35, compared to the broader market0.801.001.201.401.601.802.001.35
Calmar ratio
The chart of Calmar ratio for All weather (real estate inc.), currently valued at 1.08, compared to the broader market0.005.0010.0015.001.08
Martin ratio
The chart of Martin ratio for All weather (real estate inc.), currently valued at 10.11, compared to the broader market0.0010.0020.0030.0040.0050.0060.0010.11
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.90, compared to the broader market0.002.004.006.002.90
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.87, compared to the broader market-2.000.002.004.006.003.87
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.54, compared to the broader market0.801.001.201.401.601.802.001.54
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 4.19, compared to the broader market0.005.0010.0015.004.19
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 18.72, compared to the broader market0.0010.0020.0030.0040.0050.0060.0018.72
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
CMFP.L
L&G Longer Dated All Commodities UCITS ETF		0.020.111.010.010.05
SGLN.L
iShares Physical Gold ETC		2.272.961.395.0714.23
VAGS.L
Vanguard Global Aggregate Bond UCITS ETF GBP Hedged Accumulating		0.971.441.180.373.43
UKRE.L
iShares MSCI Target UK Real Estate UCITS ETF		0.150.331.040.070.49
LGGG.L
L&G Global Equity UCITS ETF		2.563.521.473.6615.61

Sharpe Ratio

The current All weather (real estate inc.) Sharpe ratio is 1.87. 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 2.07 to 2.97, 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 All weather (real estate inc.) 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 Ratio1.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
1.87
2.90
All weather (real estate inc.)
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

All weather (real estate inc.) provided a 0.37% dividend yield over the last twelve months.

TTM202320222021202020192018201720162015
Portfolio0.37%0.26%0.10%0.04%0.07%0.10%0.13%0.12%0.09%0.04%
Portfolio components:
CMFP.L
L&G Longer Dated All Commodities UCITS ETF		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SGLN.L
iShares Physical Gold ETC		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
VAGS.L
Vanguard Global Aggregate Bond UCITS ETF GBP Hedged Accumulating		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
UKRE.L
iShares MSCI Target UK Real Estate UCITS ETF		7.48%5.22%1.90%0.86%1.45%2.09%2.60%2.32%1.76%0.86%
LGGG.L
L&G Global Equity UCITS ETF		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. Drawdowns are calculated considering price movements and all distributions paid, if any.

-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-3.98%
-0.29%
All weather (real estate inc.)
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the All weather (real estate inc.). 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 All weather (real estate inc.) was 28.48%, occurring on Sep 27, 2022. Recovery took 479 trading sessions.

The current All weather (real estate inc.) drawdown is 3.98%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-28.48%Sep 6, 2021267Sep 27, 2022479Aug 20, 2024746
-21.11%Feb 17, 202024Mar 19, 202089Jul 28, 2020113
-5.04%Sep 2, 202017Sep 24, 202032Nov 9, 202049
-3.98%Sep 27, 202433Nov 12, 2024———
-3.28%Jul 5, 201922Aug 5, 201928Sep 13, 201950

Volatility

Volatility Chart

The current All weather (real estate inc.) volatility is 2.44%, 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%JuneJulyAugustSeptemberOctoberNovember
2.44%
3.86%
All weather (real estate inc.)
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.
CMFP.LSGLN.LLGGG.LUKRE.LVAGS.L
CMFP.L1.000.410.330.260.28
SGLN.L0.411.000.170.260.47
LGGG.L0.330.171.000.550.38
UKRE.L0.260.260.551.000.64
VAGS.L0.280.470.380.641.00
The correlation results are calculated based on daily price changes starting from Jun 21, 2019