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Pensionfund II
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


T 16%CVX 14%NESN.SW 14%IBM 14%BAS.DE 14%SREN.SW 14%ZURN.SW 14%EquityEquity
PositionCategory/SectorWeight
BAS.DE
BASF SE
Basic Materials

14%

CVX
Chevron Corporation
Energy

14%

IBM
International Business Machines Corporation
Technology

14%

NESN.SW
Nestlé S.A.
Consumer Defensive

14%

SREN.SW
Swiss Re AG
Financial Services

14%

T
AT&T Inc.
Communication Services

16%

ZURN.SW
Zurich Insurance Group AG
Financial Services

14%

S&P 500

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Pensionfund II, 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%20.00%NovemberDecember2024FebruaryMarchApril
13.75%
19.37%
Pensionfund II
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Aug 2, 1995, corresponding to the inception date of SREN.SW

Returns By Period

As of Apr 24, 2024, the Pensionfund II returned 3.59% Year-To-Date and 6.63% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
6.30%-3.13%19.37%22.56%11.65%10.55%
Pensionfund II3.59%-1.93%13.75%8.64%8.75%6.63%
CVX
Chevron Corporation
10.37%5.30%6.19%-1.10%11.21%7.02%
NESN.SW
Nestlé S.A.
-7.88%1.54%-2.76%-17.39%4.25%5.94%
IBM
International Business Machines Corporation
12.41%-4.53%34.94%52.03%11.55%4.27%
BAS.DE
BASF SE
1.52%-4.06%26.05%6.03%-1.58%-2.25%
SREN.SW
Swiss Re AG
5.51%-7.94%9.50%17.18%10.03%8.75%
ZURN.SW
Zurich Insurance Group AG
0.87%-2.46%12.05%7.93%15.07%11.62%
T
AT&T Inc.
1.57%-1.24%9.74%0.84%1.22%2.90%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
20241.03%0.78%4.77%
2023-1.60%-0.03%5.70%3.48%

Expense Ratio

The Pensionfund II has an expense ratio of 0.00%, indicating no management fees are charged. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


The portfolio doesn't hold funds that charge fees

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.


Pensionfund II
Sharpe ratio
The chart of Sharpe ratio for Pensionfund II, currently valued at 1.07, compared to the broader market-1.000.001.002.003.004.005.001.07
Sortino ratio
The chart of Sortino ratio for Pensionfund II, currently valued at 1.58, compared to the broader market0.002.004.006.001.58
Omega ratio
The chart of Omega ratio for Pensionfund II, currently valued at 1.19, compared to the broader market0.801.001.201.401.601.801.19
Calmar ratio
The chart of Calmar ratio for Pensionfund II, currently valued at 1.38, compared to the broader market0.002.004.006.008.001.38
Martin ratio
The chart of Martin ratio for Pensionfund II, currently valued at 4.75, compared to the broader market0.0010.0020.0030.0040.0050.004.75
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.92, compared to the broader market-1.000.001.002.003.004.005.001.92
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.78, compared to the broader market0.002.004.006.002.78
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.33, compared to the broader market0.801.001.201.401.601.801.33
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.47, compared to the broader market0.002.004.006.008.001.47
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 7.64, compared to the broader market0.0010.0020.0030.0040.0050.007.64

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
CVX
Chevron Corporation
0.290.541.070.270.71
NESN.SW
Nestlé S.A.
-0.99-1.350.84-0.66-1.24
IBM
International Business Machines Corporation
2.804.371.552.9716.71
BAS.DE
BASF SE
0.390.751.090.201.01
SREN.SW
Swiss Re AG
1.061.471.201.493.82
ZURN.SW
Zurich Insurance Group AG
0.761.141.141.142.96
T
AT&T Inc.
0.150.391.050.090.42

Sharpe Ratio

The current Pensionfund II Sharpe ratio is 1.07. A Sharpe ratio greater than 1.0 is considered acceptable.

-1.000.001.002.003.004.005.001.07

The Sharpe ratio of Pensionfund II 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 Ratio-0.500.000.501.001.502.002.503.00NovemberDecember2024FebruaryMarchApril
1.07
1.92
Pensionfund II
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Pensionfund II granted a 5.15% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
Pensionfund II5.15%5.20%5.32%5.75%5.93%4.71%5.59%4.21%4.34%4.65%4.42%4.22%
CVX
Chevron Corporation
3.78%4.05%3.16%4.52%6.11%3.95%4.12%3.45%3.64%4.76%3.75%3.12%
NESN.SW
Nestlé S.A.
3.18%3.03%2.61%2.16%2.59%2.34%2.94%2.74%3.08%2.95%2.95%3.14%
IBM
International Business Machines Corporation
3.64%4.05%4.68%4.74%5.17%4.79%5.46%3.84%3.31%3.63%2.65%1.97%
BAS.DE
BASF SE
6.66%6.97%7.33%5.34%5.10%4.75%5.13%3.27%3.28%3.96%3.86%3.36%
SREN.SW
Swiss Re AG
6.09%6.02%6.82%6.54%7.08%5.15%5.55%5.32%4.77%3.06%4.60%4.27%
ZURN.SW
Zurich Insurance Group AG
5.73%5.46%4.97%5.00%5.35%4.78%6.14%3.81%6.06%6.58%5.45%6.58%
T
AT&T Inc.
6.73%6.62%7.35%11.20%9.58%6.91%9.28%6.68%5.98%7.23%7.25%6.78%

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
-2.96%
-3.50%
Pensionfund II
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Pensionfund II. 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 Pensionfund II was 52.62%, occurring on Mar 9, 2009. Recovery took 283 trading sessions.

The current Pensionfund II drawdown is 2.96%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-52.62%May 20, 2008208Mar 9, 2009283Apr 14, 2010491
-44.02%Feb 2, 2001543Mar 12, 2003448Dec 3, 2004991
-37.1%Feb 20, 202023Mar 23, 2020246Mar 5, 2021269
-20.59%May 4, 2011102Sep 22, 2011109Feb 23, 2012211
-20.25%Jul 12, 1999164Feb 25, 2000218Dec 29, 2000382

Volatility

Volatility Chart

The current Pensionfund II volatility is 2.98%, 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.


1.00%2.00%3.00%4.00%5.00%NovemberDecember2024FebruaryMarchApril
2.98%
3.58%
Pensionfund II
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.

TIBMCVXNESN.SWBAS.DESREN.SWZURN.SW
T1.000.360.320.150.210.190.20
IBM0.361.000.350.120.260.200.20
CVX0.320.351.000.150.300.210.22
NESN.SW0.150.120.151.000.370.460.48
BAS.DE0.210.260.300.371.000.470.49
SREN.SW0.190.200.210.460.471.000.66
ZURN.SW0.200.200.220.480.490.661.00