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Correlation 2.66
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


XDEQ.L 45%MINV.L 20%XLKQ.L 15%FRIN.L 12%XREP.L 8%EquityEquityReal EstateReal Estate
PositionCategory/SectorWeight
FRIN.L
Franklin FTSE India UCITS ETF
Asia Pacific Equities

12%

GGRG.L
WisdomTree Global Quality Dividend Growth UCITS ETF - USD Acc
Global Equities, Dividend

0%

MINV.L
iShares Edge MSCI World Minimum Volatility UCITS ETF
Global Equities

20%

XDEQ.L
Xtrackers MSCI World Quality Factor UCITS ETF 1C
Global Equities

45%

XLKQ.L
Invesco US Technology Sector UCITS ETF
Technology Equities

15%

XREP.L
Invesco Real Estate S&P US Select Sector UCITS ETF GBP
REIT

8%

S&P 500

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


0.00%5.00%10.00%15.00%20.00%25.00%NovemberDecember2024FebruaryMarchApril
18.27%
19.37%
Correlation 2.66
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Oct 17, 2022, corresponding to the inception date of XREP.L

Returns By Period


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%
Correlation 2.664.09%-4.25%18.28%21.59%N/AN/A
FRIN.L
Franklin FTSE India UCITS ETF
7.16%2.28%20.89%35.22%N/AN/A
MINV.L
iShares Edge MSCI World Minimum Volatility UCITS ETF
2.64%-3.01%10.86%5.05%6.31%10.67%
XDEQ.L
Xtrackers MSCI World Quality Factor UCITS ETF 1C
5.34%-4.74%19.00%21.94%12.03%N/A
XLKQ.L
Invesco US Technology Sector UCITS ETF
7.39%-8.11%26.41%45.28%23.50%24.16%
XREP.L
Invesco Real Estate S&P US Select Sector UCITS ETF GBP
-10.20%-6.64%12.30%1.14%N/AN/A
GGRG.L
WisdomTree Global Quality Dividend Growth UCITS ETF - USD Acc
1.48%-4.33%15.31%10.20%11.17%N/A

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
20241.97%3.60%2.59%
2023-4.07%-2.16%8.49%5.79%

Expense Ratio

The Correlation 2.66 has a high expense ratio of 0.24%, 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.


Expense ratio chart for GGRG.L: current value at 0.38% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.38%
Expense ratio chart for MINV.L: current value at 0.35% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.35%
Expense ratio chart for XDEQ.L: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%
Expense ratio chart for FRIN.L: current value at 0.19% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.19%
Expense ratio chart for XLKQ.L: current value at 0.14% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.14%
Expense ratio chart for XREP.L: current value at 0.14% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.14%

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.


Correlation 2.66
Sharpe ratio
The chart of Sharpe ratio for Correlation 2.66, currently valued at 2.00, compared to the broader market-1.000.001.002.003.004.005.002.00
Sortino ratio
The chart of Sortino ratio for Correlation 2.66, currently valued at 2.99, compared to the broader market0.002.004.006.002.99
Omega ratio
The chart of Omega ratio for Correlation 2.66, currently valued at 1.36, compared to the broader market0.801.001.201.401.601.801.36
Calmar ratio
The chart of Calmar ratio for Correlation 2.66, currently valued at 2.65, compared to the broader market0.002.004.006.008.002.65
Martin ratio
The chart of Martin ratio for Correlation 2.66, currently valued at 8.29, compared to the broader market0.0010.0020.0030.0040.0050.008.29
^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
FRIN.L
Franklin FTSE India UCITS ETF
2.723.631.483.8020.37
MINV.L
iShares Edge MSCI World Minimum Volatility UCITS ETF
0.610.911.110.711.92
XDEQ.L
Xtrackers MSCI World Quality Factor UCITS ETF 1C
1.832.681.332.608.13
XLKQ.L
Invesco US Technology Sector UCITS ETF
2.353.271.404.0210.77
XREP.L
Invesco Real Estate S&P US Select Sector UCITS ETF GBP
0.060.231.030.050.17
GGRG.L
WisdomTree Global Quality Dividend Growth UCITS ETF - USD Acc
0.961.501.170.932.70

Sharpe Ratio

The current Correlation 2.66 Sharpe ratio is 2.00. A Sharpe ratio greater than 1.0 is considered acceptable.

-1.000.001.002.003.004.005.002.00

The Sharpe ratio of Correlation 2.66 lies between the 25th and 75th percentiles. It indicates that the portfolio's risk-adjusted performance is in line with the majority of portfolios. This suggests a balanced approach to risk and return, which might be suitable for a broad range of investors.


Rolling 12-month Sharpe Ratio0.501.001.502.002.503.00NovemberDecember2024FebruaryMarchApril
2.00
1.92
Correlation 2.66
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Correlation 2.66 granted a 0.00% dividend yield in the last twelve months.


Correlation 2.66 doesn't pay dividends

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%NovemberDecember2024FebruaryMarchApril
-5.36%
-3.50%
Correlation 2.66
Benchmark (^GSPC)
Portfolio components

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 5.36%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-8.15%Jul 26, 202367Oct 27, 202316Nov 20, 202383
-6.19%Feb 3, 202329Mar 15, 202317Apr 11, 202346
-5.82%Mar 22, 202419Apr 19, 2024
-5.62%Dec 15, 20228Dec 28, 202224Feb 1, 202332
-3.33%Oct 27, 20226Nov 3, 20223Nov 8, 20229

Volatility

Volatility Chart

The current Correlation 2.66 volatility is 3.11%, 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.


1.50%2.00%2.50%3.00%3.50%4.00%4.50%5.00%NovemberDecember2024FebruaryMarchApril
3.11%
3.58%
Correlation 2.66
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.

FRIN.LXREP.LXLKQ.LMINV.LXDEQ.LGGRG.L
FRIN.L1.000.390.340.490.470.50
XREP.L0.391.000.460.620.620.65
XLKQ.L0.340.461.000.450.850.73
MINV.L0.490.620.451.000.730.82
XDEQ.L0.470.620.850.731.000.93
GGRG.L0.500.650.730.820.931.00