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Correlation 2.66
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Correlation 2.66

Last updated Jul 25, 2024

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

30.00%35.00%40.00%45.00%50.00%55.00%60.00%FebruaryMarchAprilMayJuneJuly
53.25%
46.80%
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		13.20%-1.28%10.32%18.23%12.31%10.58%
Correlation 2.6613.32%-0.04%11.05%21.34%N/AN/A
Portfolio components:
FRIN.L
Franklin FTSE India UCITS ETF		17.02%1.79%15.11%31.52%12.88%N/A
MINV.L
iShares Edge MSCI World Minimum Volatility UCITS ETF		8.20%3.17%5.94%10.91%4.41%10.36%
XDEQ.L
Xtrackers MSCI World Quality Factor UCITS ETF 1C		12.12%-2.14%10.12%19.46%11.06%N/A
XLKQ.L
Invesco US Technology Sector UCITS ETF		26.66%-3.37%18.57%38.54%24.38%24.51%
XREP.L
Invesco Real Estate S&P US Select Sector UCITS ETF GBP		1.25%7.26%6.84%9.67%N/AN/A
GGRG.L
WisdomTree Global Quality Dividend Growth UCITS ETF - USD Acc		8.32%0.25%7.09%12.25%10.19%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.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20241.97%3.60%2.59%-2.72%3.20%4.81%13.32%
20234.06%-2.76%3.93%2.30%0.97%4.84%2.78%-0.99%-4.07%-2.16%8.49%5.79%24.85%
20225.20%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.

GGRG.L
WisdomTree Global Quality Dividend Growth UCITS ETF - USD Acc
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%
MINV.L
iShares Edge MSCI World Minimum Volatility UCITS ETF
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%
XDEQ.L
Xtrackers MSCI World Quality Factor UCITS ETF 1C
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%
FRIN.L
Franklin FTSE India UCITS ETF
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%
XLKQ.L
Invesco US Technology Sector UCITS ETF
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%
XREP.L
Invesco Real Estate S&P US Select Sector UCITS ETF GBP
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 Rank

The current risk-adjusted rank of Correlation 2.66 is 80, placing it in the top 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 Correlation 2.66 is 8080
Correlation 2.66
The Sharpe Ratio Rank of Correlation 2.66 is 8080Sharpe Ratio Rank
The Sortino Ratio Rank of Correlation 2.66 is 8585Sortino Ratio Rank
The Omega Ratio Rank of Correlation 2.66 is 8383Omega Ratio Rank
The Calmar Ratio Rank of Correlation 2.66 is 8181Calmar Ratio Rank
The Martin Ratio Rank of Correlation 2.66 is 7272Martin 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.

Correlation 2.66
Sharpe ratio
The chart of Sharpe ratio for Correlation 2.66, currently valued at 1.95, compared to the broader market-1.000.001.002.003.004.001.95
Sortino ratio
The chart of Sortino ratio for Correlation 2.66, currently valued at 2.94, compared to the broader market-2.000.002.004.006.002.94
Omega ratio
The chart of Omega ratio for Correlation 2.66, currently valued at 1.35, compared to the broader market0.801.001.201.401.601.801.35
Calmar ratio
The chart of Calmar ratio for Correlation 2.66, currently valued at 2.62, compared to the broader market0.002.004.006.008.002.62
Martin ratio
The chart of Martin ratio for Correlation 2.66, currently valued at 8.10, compared to the broader market0.0010.0020.0030.0040.008.10
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.58, compared to the broader market-1.000.001.002.003.004.001.58
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.22, compared to the broader market-2.000.002.004.006.002.22
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.28, compared to the broader market0.801.001.201.401.601.801.28
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.29, compared to the broader market0.002.004.006.008.001.29
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 5.98, compared to the broader market0.0010.0020.0030.0040.005.98
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
FRIN.L
Franklin FTSE India UCITS ETF		2.122.721.405.2417.05
MINV.L
iShares Edge MSCI World Minimum Volatility UCITS ETF		1.311.941.231.534.57
XDEQ.L
Xtrackers MSCI World Quality Factor UCITS ETF 1C		1.592.381.292.316.69
XLKQ.L
Invesco US Technology Sector UCITS ETF		1.912.571.323.429.42
XREP.L
Invesco Real Estate S&P US Select Sector UCITS ETF GBP		0.530.931.110.451.54
GGRG.L
WisdomTree Global Quality Dividend Growth UCITS ETF - USD Acc		1.181.831.211.123.23

Sharpe Ratio

The current Correlation 2.66 Sharpe ratio is 1.98. 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 1.23 to 1.94, this portfolio's current Sharpe ratio is in the top 25%, it signifies superior risk-adjusted performance. This means that for the level of risk undertaken, the portfolio is generating impressive returns compared to most others.

Use the chart below to compare the Sharpe ratio of Correlation 2.66 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 Ratio1.502.002.503.00FebruaryMarchAprilMayJuneJuly
1.95
1.58
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.

-6.00%-5.00%-4.00%-3.00%-2.00%-1.00%0.00%FebruaryMarchAprilMayJuneJuly
-3.28%
-4.73%
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 2.81%.

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, 202418May 16, 202437
-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 2.63%, 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%FebruaryMarchAprilMayJuneJuly
2.63%
3.80%
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.L1.000.350.320.460.460.47
XREP.L0.351.000.420.620.600.65
XLKQ.L0.320.421.000.410.840.70
MINV.L0.460.620.411.000.700.81
XDEQ.L0.460.600.840.701.000.92
GGRG.L0.470.650.700.810.921.00
The correlation results are calculated based on daily price changes starting from Oct 18, 2022