PortfoliosLab logo
PortfoliosLab logo
​
Tools
Performance Analysis
Portfolio Analysis
Risk Analysis
Optimization
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Screeners
Discussions
Real Assets
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Real Assets

Last updated Nov 13, 2024

Asset Allocation

RLY 6.67%BCD 6.67%GLD 6.67%XLE 6.67%VDE 6.67%PAVE 6.67%IFRA 6.67%MLPX 6.67%GUNR 6.67%NFRA 6.67%ENFR 6.67%ASET 6.67%VRAI 6.67%GQRE 6.67%IQRA 6.67%AlternativesAlternativesCommodityCommodityEquityEquityMulti-AssetMulti-AssetReal EstateReal Estate
PositionCategory/SectorWeight
ASET
FlexShares Real Assets Allocation Index Fund		Diversified Portfolio
6.67%
BCD
abrdn Bloomberg All Commodity Longer Dated Strategy K-1 Free ETF		Commodities, Actively Managed
6.67%
ENFR
Alerian Energy Infrastructure ETF		Energy Equities
6.67%
GLD
SPDR Gold Trust		Precious Metals, Gold
6.67%
GQRE
FlexShares Global Quality Real Estate Index Fund		REIT
6.67%
GUNR
FlexShares Morningstar Global Upstream Natural Resources Index Fund		Commodity Producers Equities
6.67%
IFRA
iShares U.S. Infrastructure ETF		All Cap Equities
6.67%
IQRA
IQ CBRE Real Assets ETF		REIT
6.67%
MLPX
Global X MLP & Energy Infrastructure ETF		MLPs
6.67%
NFRA
FlexShares STOXX Global Broad Infrastructure Index Fund		Utilities Equities
6.67%
PAVE
Global X US Infrastructure Development ETF		Utilities Equities
6.67%
RLY
SPDR SSgA Multi-Asset Real Return ETF		Hedge Fund, Actively Managed
6.67%
VDE
Vanguard Energy ETF		Energy Equities
6.67%
VRAI
Virtus Real Asset Income ETF		REIT
6.67%
XLE
Energy Select Sector SPDR Fund		Energy Equities
6.67%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Real Assets, 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%JuneJulyAugustSeptemberOctoberNovember
7.22%
14.05%
Real Assets
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is May 10, 2023, corresponding to the inception date of IQRA

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		25.45%2.91%14.05%35.64%14.13%11.39%
Real Assets15.79%0.10%6.58%21.77%N/AN/A
Portfolio components:
BCD
abrdn Bloomberg All Commodity Longer Dated Strategy K-1 Free ETF		3.82%-2.58%-4.11%0.49%10.33%N/A
XLE
Energy Select Sector SPDR Fund		14.60%1.09%1.50%14.45%14.95%4.88%
VDE
Vanguard Energy ETF		14.77%1.71%1.76%14.05%15.71%4.31%
PAVE
Global X US Infrastructure Development ETF		30.29%6.26%13.18%44.74%21.71%N/A
IFRA
iShares U.S. Infrastructure ETF		25.30%4.71%12.33%35.92%14.66%N/A
MLPX
Global X MLP & Energy Infrastructure ETF		43.10%6.78%24.77%47.87%19.52%6.28%
RLY
SPDR SSgA Multi-Asset Real Return ETF		5.25%-2.83%-0.60%8.33%8.06%3.80%
VRAI
Virtus Real Asset Income ETF		5.48%-1.99%2.50%13.20%4.06%N/A
GUNR
FlexShares Morningstar Global Upstream Natural Resources Index Fund		-3.48%-6.49%-8.11%0.36%7.71%5.11%
NFRA
FlexShares STOXX Global Broad Infrastructure Index Fund		9.31%-2.70%6.13%17.32%4.36%4.98%
GQRE
FlexShares Global Quality Real Estate Index Fund		9.66%-1.68%9.22%20.69%1.27%3.71%
ASET
FlexShares Real Assets Allocation Index Fund		4.72%-3.31%1.56%11.78%3.87%N/A
IQRA
IQ CBRE Real Assets ETF		8.96%-2.47%6.17%19.85%N/AN/A
ENFR
Alerian Energy Infrastructure ETF		41.59%5.87%22.70%46.54%17.03%5.88%
GLD
SPDR Gold Trust		25.57%-2.05%8.67%31.81%11.66%7.71%

Monthly Returns

The table below presents the monthly returns of Real Assets, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-1.98%2.32%6.11%-1.74%2.84%-1.50%4.11%1.36%1.92%-0.51%15.79%
2023-4.07%5.74%4.24%-1.88%-2.56%-2.25%5.22%3.50%7.62%

Expense Ratio

Real Assets features an expense ratio of 0.42%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.

IQRA
IQ CBRE Real Assets ETF
Expense ratio chart for IQRA: current value at 0.65% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.65%
ASET
FlexShares Real Assets Allocation Index Fund
Expense ratio chart for ASET: current value at 0.57% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.57%
VRAI
Virtus Real Asset Income ETF
Expense ratio chart for VRAI: current value at 0.55% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.55%
RLY
SPDR SSgA Multi-Asset Real Return ETF
Expense ratio chart for RLY: current value at 0.50% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.50%
PAVE
Global X US Infrastructure Development ETF
Expense ratio chart for PAVE: current value at 0.47% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.47%
NFRA
FlexShares STOXX Global Broad Infrastructure Index Fund
Expense ratio chart for NFRA: current value at 0.47% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.47%
GUNR
FlexShares Morningstar Global Upstream Natural Resources Index Fund
Expense ratio chart for GUNR: current value at 0.46% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.46%
MLPX
Global X MLP & Energy Infrastructure ETF
Expense ratio chart for MLPX: current value at 0.45% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.45%
GQRE
FlexShares Global Quality Real Estate Index Fund
Expense ratio chart for GQRE: current value at 0.45% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.45%
IFRA
iShares U.S. Infrastructure ETF
Expense ratio chart for IFRA: current value at 0.40% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.40%
GLD
SPDR Gold Trust
Expense ratio chart for GLD: current value at 0.40% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.40%
ENFR
Alerian Energy Infrastructure ETF
Expense ratio chart for ENFR: 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%
BCD
abrdn Bloomberg All Commodity Longer Dated Strategy K-1 Free ETF
Expense ratio chart for BCD: current value at 0.29% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.29%
XLE
Energy Select Sector SPDR Fund
Expense ratio chart for XLE: current value at 0.13% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.13%
VDE
Vanguard Energy ETF
Expense ratio chart for VDE: current value at 0.10% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.10%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Real Assets is 45, 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.

The Risk-Adjusted Performance Rank of Real Assets is 4545
Combined Rank
The Sharpe Ratio Rank of Real Assets is 3434Sharpe Ratio Rank
The Sortino Ratio Rank of Real Assets is 3636Sortino Ratio Rank
The Omega Ratio Rank of Real Assets is 3434Omega Ratio Rank
The Calmar Ratio Rank of Real Assets is 8080Calmar Ratio Rank
The Martin Ratio Rank of Real Assets is 3939Martin 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.

Real Assets
Sharpe ratio
The chart of Sharpe ratio for Real Assets, currently valued at 2.27, compared to the broader market0.002.004.006.002.27
Sortino ratio
The chart of Sortino ratio for Real Assets, currently valued at 3.15, compared to the broader market-2.000.002.004.006.003.15
Omega ratio
The chart of Omega ratio for Real Assets, currently valued at 1.41, compared to the broader market0.801.001.201.401.601.802.001.41
Calmar ratio
The chart of Calmar ratio for Real Assets, currently valued at 4.53, compared to the broader market0.005.0010.0015.004.53
Martin ratio
The chart of Martin ratio for Real Assets, currently valued at 13.38, compared to the broader market0.0010.0020.0030.0040.0050.0060.0013.38
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.90, compared to the broader market0.002.004.006.002.90
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.87, compared to the broader market-2.000.002.004.006.003.87
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.54, compared to the broader market0.801.001.201.401.601.802.001.54
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 4.19, compared to the broader market0.005.0010.0015.004.19
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 18.72, compared to the broader market0.0010.0020.0030.0040.0050.0060.0018.72
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
BCD
abrdn Bloomberg All Commodity Longer Dated Strategy K-1 Free ETF		0.170.331.040.210.43
XLE
Energy Select Sector SPDR Fund		0.921.331.171.222.86
VDE
Vanguard Energy ETF		0.891.301.161.192.89
PAVE
Global X US Infrastructure Development ETF		2.613.591.455.7314.53
IFRA
iShares U.S. Infrastructure ETF		2.523.631.453.7514.14
MLPX
Global X MLP & Energy Infrastructure ETF		3.634.901.627.8928.55
RLY
SPDR SSgA Multi-Asset Real Return ETF		1.051.491.181.854.33
VRAI
Virtus Real Asset Income ETF		1.261.891.231.665.70
GUNR
FlexShares Morningstar Global Upstream Natural Resources Index Fund		0.240.421.050.350.69
NFRA
FlexShares STOXX Global Broad Infrastructure Index Fund		1.882.691.342.7311.32
GQRE
FlexShares Global Quality Real Estate Index Fund		1.732.571.312.299.07
ASET
FlexShares Real Assets Allocation Index Fund		1.301.901.241.826.75
IQRA
IQ CBRE Real Assets ETF		1.962.851.362.089.77
ENFR
Alerian Energy Infrastructure ETF		3.865.261.689.0431.92
GLD
SPDR Gold Trust		2.293.031.404.9814.85

Sharpe Ratio

The current Real Assets Sharpe ratio is 2.27. 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 2.07 to 2.97, this portfolio's current Sharpe ratio lies between the 25th and 75th percentiles. This indicates that the its 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.

Use the chart below to compare the Sharpe ratio of Real Assets 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 Ratio1.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.27
2.90
Real Assets
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Real Assets provided a 2.91% dividend yield over the last twelve months.

TTM20232022202120202019201820172016201520142013
Portfolio2.91%3.17%3.18%3.95%3.02%2.93%2.47%1.64%1.84%1.79%1.26%0.61%
Portfolio components:
BCD
abrdn Bloomberg All Commodity Longer Dated Strategy K-1 Free ETF		4.35%4.51%5.21%8.30%1.29%1.56%1.59%0.07%0.00%0.00%0.00%0.00%
XLE
Energy Select Sector SPDR Fund		3.18%3.55%3.68%4.21%5.62%5.73%3.54%3.03%2.26%3.39%2.35%1.73%
VDE
Vanguard Energy ETF		3.06%3.34%3.65%4.13%4.76%3.59%3.35%2.90%2.31%3.17%1.98%1.74%
PAVE
Global X US Infrastructure Development ETF		0.53%0.68%0.84%0.48%0.44%0.67%0.78%0.30%0.00%0.00%0.00%0.00%
IFRA
iShares U.S. Infrastructure ETF		1.64%1.98%1.98%1.63%2.07%1.68%2.50%0.00%0.00%0.00%0.00%0.00%
MLPX
Global X MLP & Energy Infrastructure ETF		4.20%5.22%5.23%5.98%8.33%5.78%5.98%4.37%5.52%4.82%2.16%0.67%
RLY
SPDR SSgA Multi-Asset Real Return ETF		3.55%3.70%5.66%12.15%2.16%3.46%2.76%1.85%2.07%1.80%1.89%2.15%
VRAI
Virtus Real Asset Income ETF		5.65%5.02%4.48%3.34%3.91%2.80%0.00%0.00%0.00%0.00%0.00%0.00%
GUNR
FlexShares Morningstar Global Upstream Natural Resources Index Fund		3.55%3.55%4.12%3.61%2.79%3.25%3.28%2.00%1.73%4.50%2.80%2.03%
NFRA
FlexShares STOXX Global Broad Infrastructure Index Fund		2.45%2.57%2.28%2.71%2.22%2.27%3.06%2.81%2.98%2.47%3.01%0.14%
GQRE
FlexShares Global Quality Real Estate Index Fund		2.34%2.90%2.56%2.36%2.05%4.29%3.22%1.97%4.16%2.32%2.57%0.39%
ASET
FlexShares Real Assets Allocation Index Fund		2.79%2.88%2.70%2.49%2.08%3.08%3.04%2.26%3.29%1.11%0.00%0.00%
IQRA
IQ CBRE Real Assets ETF		3.08%2.14%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
ENFR
Alerian Energy Infrastructure ETF		3.27%5.48%5.22%7.86%7.58%5.82%3.98%2.98%3.31%3.34%2.15%0.26%
GLD
SPDR Gold Trust		0.00%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.

-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.08%
-0.29%
Real Assets
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Real Assets. 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 Real Assets was 7.59%, occurring on Oct 4, 2023. Recovery took 50 trading sessions.

The current Real Assets drawdown is 1.08%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-7.59%Aug 1, 202346Oct 4, 202350Dec 14, 202396
-4.72%Aug 1, 20243Aug 5, 202414Aug 23, 202417
-4.51%May 21, 202419Jun 17, 202419Jul 16, 202438
-4.27%Dec 28, 202313Jan 17, 202431Mar 1, 202444
-4.07%May 11, 202314May 31, 20235Jun 7, 202319

Volatility

Volatility Chart

The current Real Assets volatility is 2.83%, 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.

2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
2.83%
3.86%
Real Assets
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.
GLDBCDPAVEXLEVDEGQREIQRANFRAMLPXENFRIFRAGUNRVRAIRLYASET
GLD1.000.530.200.200.220.290.310.380.260.270.260.490.390.490.45
BCD0.531.000.180.500.520.200.240.300.400.420.240.650.460.700.47
PAVE0.200.181.000.410.430.680.630.610.510.490.880.560.630.580.67
XLE0.200.500.411.000.990.310.330.340.730.730.500.670.620.720.53
VDE0.220.520.430.991.000.320.340.360.740.750.520.690.640.740.54
GQRE0.290.200.680.310.321.000.910.800.520.510.780.570.780.560.81
IQRA0.310.240.630.330.340.911.000.890.560.560.790.620.810.630.86
NFRA0.380.300.610.340.360.800.891.000.600.590.760.670.770.680.91
MLPX0.260.400.510.730.740.520.560.601.000.960.650.650.720.700.67
ENFR0.270.420.490.730.750.510.560.590.961.000.640.670.720.730.67
IFRA0.260.240.880.500.520.780.790.760.650.641.000.660.800.680.81
GUNR0.490.650.560.670.690.570.620.670.650.670.661.000.800.940.87
VRAI0.390.460.630.620.640.780.810.770.720.720.800.801.000.820.87
RLY0.490.700.580.720.740.560.630.680.700.730.680.940.821.000.85
ASET0.450.470.670.530.540.810.860.910.670.670.810.870.870.851.00
The correlation results are calculated based on daily price changes starting from May 11, 2023