Pensionfund II
Asset Allocation
| Position | Category/Sector | Weight |
|---|---|---|
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% |
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
The earliest data available for this chart is Aug 2, 1995, corresponding to the inception date of SREN.SW
Returns By Period
As of Oct 17, 2024, the Pensionfund II returned 17.56% Year-To-Date and 7.70% of annualized return in the last 10 years.
| Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 22.49% | 3.72% | 16.33% | 33.60% | 14.41% | 11.99% |
| Pensionfund II | 17.56% | 1.37% | 16.07% | 27.78% | 8.14% | 7.79% |
| Portfolio components: | ||||||
CVX Chevron Corporation | 2.96% | 3.71% | -3.59% | -8.13% | 9.86% | 7.23% |
NESN.SW Nestlé S.A. | -13.62% | -5.04% | -2.09% | -12.02% | 1.06% | 5.97% |
IBM International Business Machines Corporation | 46.88% | 9.13% | 31.18% | 73.57% | 17.76% | 8.11% |
BAS.DE BASF SE | 0.14% | 1.99% | -0.82% | 22.30% | -0.99% | -0.22% |
SREN.SW Swiss Re AG | 27.61% | -1.23% | 25.74% | 31.03% | 12.41% | 12.07% |
ZURN.SW Zurich Insurance Group AG | 22.73% | -0.02% | 24.68% | 34.20% | 14.76% | 13.62% |
T AT&T Inc. | 37.38% | 0.96% | 36.67% | 60.98% | -5.38% | 0.37% |
Monthly Returns
The table below presents the monthly returns of Pensionfund II, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | 1.03% | 0.78% | 4.77% | -4.64% | 6.00% | -0.99% | 2.12% | 4.49% | 3.70% | 17.56% | |||
| 2023 | 5.70% | -5.57% | 2.01% | 2.28% | -5.32% | 2.15% | 3.00% | -1.76% | -1.60% | -0.03% | 5.70% | 3.48% | 9.65% |
| 2022 | 5.07% | -4.19% | 2.16% | -5.44% | 4.98% | -7.58% | -0.17% | -1.93% | -8.54% | 12.47% | 9.66% | -1.68% | 2.45% |
| 2021 | -3.28% | 3.49% | 6.11% | 3.34% | 0.93% | -1.57% | -0.77% | 0.43% | -2.42% | 2.90% | -4.54% | 7.32% | 11.77% |
| 2020 | -1.75% | -10.04% | -13.38% | 7.52% | 2.06% | 2.67% | 0.93% | 2.55% | -4.79% | -5.53% | 17.97% | 3.07% | -2.37% |
| 2019 | 7.57% | 4.28% | 0.98% | 2.43% | -3.65% | 7.97% | 0.01% | -0.25% | 4.82% | 0.39% | -0.03% | 2.83% | 30.26% |
| 2018 | 3.32% | -4.24% | -1.04% | 0.41% | -3.44% | 0.05% | 2.72% | -0.91% | 1.91% | -7.98% | 2.22% | -5.80% | -12.70% |
| 2017 | 1.06% | -0.77% | 0.43% | -0.63% | 2.00% | -0.13% | 1.95% | -1.59% | 3.77% | -0.49% | 2.21% | 1.60% | 9.66% |
| 2016 | -6.39% | -0.88% | 9.91% | 2.95% | 1.82% | 2.08% | 0.92% | 0.30% | 1.85% | -1.57% | 1.25% | 5.89% | 18.71% |
| 2015 | 1.01% | 3.32% | 0.47% | 2.89% | -1.32% | -3.51% | -0.70% | -6.15% | -2.72% | 5.80% | 0.41% | -0.30% | -1.37% |
| 2014 | -4.06% | 4.20% | 1.69% | 2.68% | 0.50% | 0.63% | -2.21% | 0.41% | -3.82% | -2.14% | 1.25% | -1.84% | -3.03% |
| 2013 | 6.11% | 0.07% | 1.43% | 3.26% | -2.38% | -3.32% | 3.12% | -4.15% | 4.21% | 4.28% | 0.87% | 2.11% | 16.12% |
Expense Ratio
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.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of Pensionfund II is 74, suggesting that the investment has average results relative to other portfolios in terms of risk-adjusted performance. This ranking is determined by the cumulative values of the indicators listed below.
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.
| Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|
CVX Chevron Corporation | -0.02 | 0.10 | 1.01 | -0.02 | -0.07 |
NESN.SW Nestlé S.A. | -0.51 | -0.60 | 0.92 | -0.34 | -1.13 |
IBM International Business Machines Corporation | 3.63 | 4.71 | 1.73 | 4.58 | 11.42 |
BAS.DE BASF SE | 1.05 | 1.60 | 1.19 | 0.53 | 2.87 |
SREN.SW Swiss Re AG | 1.63 | 2.17 | 1.30 | 2.42 | 6.90 |
ZURN.SW Zurich Insurance Group AG | 2.61 | 3.63 | 1.45 | 4.29 | 12.53 |
T AT&T Inc. | 2.73 | 3.71 | 1.48 | 0.98 | 15.16 |
Dividends
Dividend yield
Pensionfund II granted a 4.79% dividend yield in the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Pensionfund II | 4.79% | 5.20% | 5.21% | 4.98% | 5.27% | 4.24% | 4.95% | 3.75% | 3.93% | 4.15% | 3.92% | 3.76% |
| Portfolio components: | ||||||||||||
CVX Chevron Corporation | 4.30% | 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. | 3.58% | 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 | 2.85% | 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 | 7.34% | 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 | 5.31% | 6.05% | 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 | 4.96% | 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. | 5.11% | 6.62% | 6.66% | 6.39% | 5.46% | 3.94% | 5.29% | 3.81% | 3.41% | 4.13% | 4.14% | 3.87% |
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.
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 52.82%, occurring on Mar 9, 2009. Recovery took 400 trading sessions.
The current Pensionfund II drawdown is 0.93%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -52.82% | May 20, 2008 | 208 | Mar 9, 2009 | 400 | Sep 24, 2010 | 608 |
| -44.34% | Feb 2, 2001 | 543 | Mar 12, 2003 | 462 | Dec 23, 2004 | 1005 |
| -37.1% | Feb 20, 2020 | 23 | Mar 23, 2020 | 246 | Mar 5, 2021 | 269 |
| -20.93% | Feb 10, 2022 | 163 | Sep 27, 2022 | 72 | Jan 6, 2023 | 235 |
| -20.7% | May 4, 2011 | 102 | Sep 22, 2011 | 109 | Feb 23, 2012 | 211 |
Volatility
Volatility Chart
The current Pensionfund II volatility is 2.52%, 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.
Diversification
Asset Correlations Table
| T | IBM | CVX | NESN.SW | BAS.DE | SREN.SW | ZURN.SW | |
|---|---|---|---|---|---|---|---|
| T | 1.00 | 0.35 | 0.32 | 0.15 | 0.21 | 0.19 | 0.20 |
| IBM | 0.35 | 1.00 | 0.35 | 0.12 | 0.26 | 0.20 | 0.20 |
| CVX | 0.32 | 0.35 | 1.00 | 0.15 | 0.30 | 0.21 | 0.22 |
| NESN.SW | 0.15 | 0.12 | 0.15 | 1.00 | 0.37 | 0.46 | 0.48 |
| BAS.DE | 0.21 | 0.26 | 0.30 | 0.37 | 1.00 | 0.47 | 0.49 |
| SREN.SW | 0.19 | 0.20 | 0.21 | 0.46 | 0.47 | 1.00 | 0.66 |
| ZURN.SW | 0.20 | 0.20 | 0.22 | 0.48 | 0.49 | 0.66 | 1.00 |