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BF
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


XEON.DE 20%XDEP.DE 5%SEGA.L 5%AAAU 2%BTC-USD 2%URTH 30%EMIM.L 10%MEUD.L 5%WLDS.L 5%XDEQ.L 4%JPGL.L 4%IWFV.L 4%BHMG.L 2%PUTW 2%BondBondCommodityCommodityCryptocurrencyCryptocurrencyEquityEquityMulti-AssetMulti-Asset
PositionCategory/SectorWeight
AAAU
Goldman Sachs Physical Gold ETF
Precious Metals, Gold

2%

BHMG.L
BH Macro Limited
Financials

2%

BTC-USD
Bitcoin

2%

EMIM.L
iShares Core MSCI Emerging Markets IMI UCITS ETF (Acc)
Emerging Markets Equities

10%

IWFV.L
iShares Edge MSCI World Value Factor UCITS ETF
Global Equities

4%

JPGL.L
JPM Global Equity Multi-Factor UCITS ETF USD Acc
Global Equities

4%

MEUD.L
Lyxor Core STOXX Europe 600 (DR) - UCITS ETF Acc
Europe Equities

5%

PUTW
WisdomTree CBOE S&P 500 PutWrite Strategy Fund
Hedge Fund

2%

SEGA.L
iShares Core Euro Government Bond UCITS ETF (Dist)
European Government Bonds

5%

URTH
iShares MSCI World ETF
Large Cap Growth Equities

30%

WLDS.L
iShares MSCI World Small Cap UCITS ETF
Small Cap Blend Equities

5%

XDEP.DE
Xtrackers iBoxx EUR Corporate Bond Yield Plus UCITS ETF
European Corporate Bonds

5%

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

4%

XEON.DE
Xtrackers II EUR Overnight Rate Swap UCITS ETF 1C
Bank Loan

20%

S&P 500

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in BF, 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
13.91%
17.59%
BF
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jul 16, 2019, corresponding to the inception date of JPGL.L

Returns By Period


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
4.14%-4.93%17.59%20.28%11.33%10.22%
BF1.69%-2.81%13.91%11.44%N/AN/A
URTH
iShares MSCI World ETF
3.23%-4.91%17.67%17.25%10.50%8.94%
EMIM.L
iShares Core MSCI Emerging Markets IMI UCITS ETF (Acc)
-0.29%-2.72%11.22%7.40%2.58%N/A
XDEP.DE
Xtrackers iBoxx EUR Corporate Bond Yield Plus UCITS ETF
-4.75%-1.92%6.44%2.08%-2.08%N/A
SEGA.L
iShares Core Euro Government Bond UCITS ETF (Dist)
-5.33%-2.74%6.47%0.98%-2.13%0.99%
MEUD.L
Lyxor Core STOXX Europe 600 (DR) - UCITS ETF Acc
1.03%-3.52%17.11%6.33%7.75%7.42%
XEON.DE
Xtrackers II EUR Overnight Rate Swap UCITS ETF 1C
-2.27%-1.11%2.60%0.65%0.58%0.10%
XDEQ.L
Xtrackers MSCI World Quality Factor UCITS ETF 1C
4.79%-5.23%18.77%21.50%12.04%N/A
JPGL.L
JPM Global Equity Multi-Factor UCITS ETF USD Acc
2.85%-3.11%15.91%11.24%N/AN/A
IWFV.L
iShares Edge MSCI World Value Factor UCITS ETF
1.96%-3.96%14.50%14.27%7.04%N/A
AAAU
Goldman Sachs Physical Gold ETF
15.69%10.29%20.53%20.22%13.17%N/A
BTC-USD
Bitcoin
51.05%0.10%112.86%129.51%64.39%62.81%
PUTW
WisdomTree CBOE S&P 500 PutWrite Strategy Fund
3.00%-4.76%9.29%11.38%6.96%N/A
BHMG.L
BH Macro Limited
-5.21%5.65%-0.10%-12.90%8.47%6.22%
WLDS.L
iShares MSCI World Small Cap UCITS ETF
-3.31%-5.08%15.93%8.40%6.99%N/A

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
2024-0.77%3.00%2.90%
2023-3.43%-1.24%6.97%4.71%

Expense Ratio

The BF features an expense ratio of 0.19%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


0.50%1.00%1.50%2.00%0.44%
0.50%1.00%1.50%2.00%0.35%
0.50%1.00%1.50%2.00%0.30%
0.50%1.00%1.50%2.00%0.24%
0.50%1.00%1.50%2.00%0.18%

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.


BF
Sharpe ratio
The chart of Sharpe ratio for BF, currently valued at 1.44, compared to the broader market-1.000.001.002.003.004.001.44
Sortino ratio
The chart of Sortino ratio for BF, currently valued at 2.24, compared to the broader market-2.000.002.004.006.002.24
Omega ratio
The chart of Omega ratio for BF, currently valued at 1.26, compared to the broader market0.801.001.201.401.601.801.26
Calmar ratio
The chart of Calmar ratio for BF, currently valued at 0.20, compared to the broader market0.002.004.006.008.000.20
Martin ratio
The chart of Martin ratio for BF, currently valued at 5.97, compared to the broader market0.0010.0020.0030.0040.005.97
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.66, compared to the broader market-1.000.001.002.003.004.001.66
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.44, compared to the broader market-2.000.002.004.006.002.44
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.29, compared to the broader market0.801.001.201.401.601.801.29
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.27, compared to the broader market0.002.004.006.008.001.27
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 6.65, compared to the broader market0.0010.0020.0030.0040.006.65

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
URTH
iShares MSCI World ETF
1.402.041.240.306.32
EMIM.L
iShares Core MSCI Emerging Markets IMI UCITS ETF (Acc)
0.420.741.080.032.04
XDEP.DE
Xtrackers iBoxx EUR Corporate Bond Yield Plus UCITS ETF
0.170.321.040.000.43
SEGA.L
iShares Core Euro Government Bond UCITS ETF (Dist)
0.140.271.030.000.36
MEUD.L
Lyxor Core STOXX Europe 600 (DR) - UCITS ETF Acc
0.801.291.150.153.07
XEON.DE
Xtrackers II EUR Overnight Rate Swap UCITS ETF 1C
0.010.051.010.000.02
XDEQ.L
Xtrackers MSCI World Quality Factor UCITS ETF 1C
1.702.531.300.478.36
JPGL.L
JPM Global Equity Multi-Factor UCITS ETF USD Acc
1.271.931.240.275.82
IWFV.L
iShares Edge MSCI World Value Factor UCITS ETF
1.051.661.190.264.74
AAAU
Goldman Sachs Physical Gold ETF
3.044.671.561.0718.04
BTC-USD
Bitcoin
4.093.991.462.0029.69
PUTW
WisdomTree CBOE S&P 500 PutWrite Strategy Fund
0.861.211.150.204.14
BHMG.L
BH Macro Limited
0.220.461.050.020.76
WLDS.L
iShares MSCI World Small Cap UCITS ETF
0.140.511.110.030.55

Sharpe Ratio

The current BF Sharpe ratio is 1.44. A Sharpe ratio greater than 1.0 is considered acceptable.

-1.000.001.002.003.004.001.44

The Sharpe ratio of BF 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 Ratio-0.500.000.501.001.502.002.503.00NovemberDecember2024FebruaryMarchApril
1.44
1.66
BF
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

BF granted a 0.77% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
BF0.77%0.74%0.58%0.46%0.51%0.78%0.85%0.67%0.73%0.73%0.78%0.31%
URTH
iShares MSCI World ETF
1.65%1.70%1.68%1.50%1.52%2.16%2.30%1.88%2.15%2.35%2.31%1.04%
EMIM.L
iShares Core MSCI Emerging Markets IMI UCITS ETF (Acc)
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
XDEP.DE
Xtrackers iBoxx EUR Corporate Bond Yield Plus UCITS ETF
0.00%0.00%0.00%0.00%0.00%1.40%0.00%0.00%0.00%0.00%0.00%0.00%
SEGA.L
iShares Core Euro Government Bond UCITS ETF (Dist)
1.47%0.97%0.26%0.25%0.45%0.68%0.65%0.69%0.86%0.60%1.74%0.00%
MEUD.L
Lyxor Core STOXX Europe 600 (DR) - UCITS ETF Acc
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
XEON.DE
Xtrackers II EUR Overnight Rate Swap UCITS ETF 1C
0.00%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%0.01%0.00%
JPGL.L
JPM Global Equity Multi-Factor 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%0.00%
IWFV.L
iShares Edge MSCI World Value Factor UCITS ETF
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
AAAU
Goldman Sachs Physical Gold ETF
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
BTC-USD
Bitcoin
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
PUTW
WisdomTree CBOE S&P 500 PutWrite Strategy Fund
10.03%8.92%3.27%0.00%1.43%1.47%6.46%3.52%2.27%0.00%0.00%0.00%
BHMG.L
BH Macro Limited
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
WLDS.L
iShares MSCI World Small Cap UCITS ETF
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.


-15.00%-10.00%-5.00%0.00%NovemberDecember2024FebruaryMarchApril
-3.47%
-5.46%
BF
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the BF. 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 BF was 25.51%, occurring on Oct 11, 2022. Recovery took 507 trading sessions.

The current BF drawdown is 3.47%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-25.51%Nov 9, 2021337Oct 11, 2022507Mar 1, 2024844
-24.4%Jan 19, 202065Mar 23, 2020126Jul 27, 2020191
-4.98%Sep 3, 202022Sep 24, 202018Oct 12, 202040
-4.55%Sep 7, 202128Oct 4, 202132Nov 5, 202160
-4.4%Oct 13, 202018Oct 30, 20206Nov 5, 202024

Volatility

Volatility Chart

The current BF volatility is 2.00%, 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
2.00%
3.15%
BF
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.

BTC-USDAAAUBHMG.LSEGA.LPUTWXEON.DEXDEP.DEEMIM.LURTHJPGL.LWLDS.LXDEQ.LIWFV.LMEUD.L
BTC-USD1.000.110.060.110.180.150.140.190.250.150.190.210.170.20
AAAU0.111.000.150.370.050.340.350.200.110.100.140.110.150.20
BHMG.L0.060.151.000.260.090.280.270.170.160.190.230.210.250.27
SEGA.L0.110.370.261.000.100.610.720.230.230.150.250.240.240.35
PUTW0.180.050.090.101.000.140.210.360.740.380.410.460.420.39
XEON.DE0.150.340.280.610.141.000.770.330.280.250.330.320.350.44
XDEP.DE0.140.350.270.720.210.771.000.390.380.370.420.400.420.52
EMIM.L0.190.200.170.230.360.330.391.000.540.560.640.640.640.66
URTH0.250.110.160.230.740.280.380.541.000.520.580.630.580.60
JPGL.L0.150.100.190.150.380.250.370.560.521.000.780.770.760.75
WLDS.L0.190.140.230.250.410.330.420.640.580.781.000.780.810.78
XDEQ.L0.210.110.210.240.460.320.400.640.630.770.781.000.760.80
IWFV.L0.170.150.250.240.420.350.420.640.580.760.810.761.000.82
MEUD.L0.200.200.270.350.390.440.520.660.600.750.780.800.821.00