Correlation 2.66
Asset Allocation
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Correlation 2.66, 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 Oct 17, 2022, corresponding to the inception date of XREP.L
Returns By Period
Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
---|---|---|---|---|---|---|
^GSPC S&P 500 | 18.42% | 2.28% | 9.95% | 25.31% | 14.08% | 10.95% |
Correlation 2.66 | 18.67% | 5.64% | 11.54% | 27.87% | N/A | N/A |
Portfolio components: | ||||||
FRIN.L Franklin FTSE India UCITS ETF | 20.62% | 2.75% | 13.37% | 33.68% | 13.95% | N/A |
MINV.L iShares Edge MSCI World Minimum Volatility UCITS ETF | 14.76% | 5.82% | 11.03% | 19.36% | 4.67% | 10.34% |
XDEQ.L Xtrackers MSCI World Quality Factor UCITS ETF 1C | 17.97% | 6.51% | 10.08% | 26.40% | 12.21% | N/A |
XLKQ.L Invesco US Technology Sector UCITS ETF | 28.95% | 6.37% | 14.54% | 41.05% | 24.93% | 23.94% |
XREP.L Invesco Real Estate S&P US Select Sector UCITS ETF GBP | 7.51% | 3.70% | 9.57% | 20.32% | N/A | N/A |
GGRG.L WisdomTree Global Quality Dividend Growth UCITS ETF - USD Acc | 13.20% | 5.88% | 9.12% | 19.95% | 11.00% | N/A |
Monthly Returns
The table below presents the monthly returns of Correlation 2.66, 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 | 1.97% | 3.60% | 2.59% | -2.72% | 3.20% | 4.81% | 1.46% | 18.67% | |||||
2023 | 4.06% | -2.76% | 3.93% | 2.30% | 0.97% | 4.84% | 2.78% | -0.99% | -4.07% | -2.16% | 8.49% | 5.79% | 24.85% |
2022 | 5.20% | 5.95% | -2.82% | 8.32% |
Expense Ratio
Correlation 2.66 has an expense ratio of 0.24%, 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.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current risk-adjusted rank of Correlation 2.66 is 89, placing it in the top 11% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined 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 | |
---|---|---|---|---|---|
FRIN.L Franklin FTSE India UCITS ETF | 2.29 | 2.91 | 1.43 | 5.72 | 18.20 |
MINV.L iShares Edge MSCI World Minimum Volatility UCITS ETF | 2.28 | 3.30 | 1.41 | 2.70 | 9.53 |
XDEQ.L Xtrackers MSCI World Quality Factor UCITS ETF 1C | 2.12 | 3.00 | 1.38 | 3.16 | 9.63 |
XLKQ.L Invesco US Technology Sector UCITS ETF | 1.99 | 2.61 | 1.34 | 2.76 | 8.86 |
XREP.L Invesco Real Estate S&P US Select Sector UCITS ETF GBP | 1.08 | 1.73 | 1.21 | 0.91 | 3.76 |
GGRG.L WisdomTree Global Quality Dividend Growth UCITS ETF - USD Acc | 1.89 | 2.77 | 1.34 | 1.83 | 7.19 |
Dividends
Dividend yield
Correlation 2.66 granted a 0.00% dividend yield in the last twelve months.
TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
---|---|---|---|---|---|---|---|---|---|---|---|
Correlation 2.66 | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.23% |
Portfolio components: | |||||||||||
FRIN.L Franklin FTSE India UCITS ETF | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
MINV.L iShares Edge MSCI World Minimum Volatility UCITS ETF | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
XDEQ.L Xtrackers MSCI World Quality Factor UCITS ETF 1C | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.51% |
XLKQ.L Invesco US Technology Sector UCITS ETF | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
XREP.L Invesco Real Estate S&P US Select Sector UCITS ETF GBP | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
GGRG.L WisdomTree Global Quality Dividend Growth UCITS ETF - USD Acc | 0.00% | 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.
Worst Drawdowns
The table below displays the maximum drawdowns of the Correlation 2.66. 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 Correlation 2.66 was 8.15%, occurring on Oct 27, 2023. Recovery took 16 trading sessions.
The current Correlation 2.66 drawdown is 0.58%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
---|---|---|---|---|---|---|
-8.15% | Jul 26, 2023 | 67 | Oct 27, 2023 | 16 | Nov 20, 2023 | 83 |
-6.19% | Feb 3, 2023 | 29 | Mar 15, 2023 | 17 | Apr 11, 2023 | 46 |
-5.82% | Mar 22, 2024 | 19 | Apr 19, 2024 | 18 | May 16, 2024 | 37 |
-5.8% | Jul 17, 2024 | 14 | Aug 5, 2024 | 11 | Aug 20, 2024 | 25 |
-5.62% | Dec 15, 2022 | 8 | Dec 28, 2022 | 24 | Feb 1, 2023 | 32 |
Volatility
Volatility Chart
The current Correlation 2.66 volatility is 3.78%, 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
FRIN.L | XREP.L | XLKQ.L | MINV.L | XDEQ.L | GGRG.L | |
---|---|---|---|---|---|---|
FRIN.L | 1.00 | 0.34 | 0.33 | 0.48 | 0.47 | 0.49 |
XREP.L | 0.34 | 1.00 | 0.40 | 0.60 | 0.58 | 0.63 |
XLKQ.L | 0.33 | 0.40 | 1.00 | 0.42 | 0.84 | 0.71 |
MINV.L | 0.48 | 0.60 | 0.42 | 1.00 | 0.72 | 0.82 |
XDEQ.L | 0.47 | 0.58 | 0.84 | 0.72 | 1.00 | 0.92 |
GGRG.L | 0.49 | 0.63 | 0.71 | 0.82 | 0.92 | 1.00 |