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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/SectorTarget Weight
AAAU
Goldman Sachs Physical Gold ETF
Precious Metals, Gold
2%
BHMG.L
BH Macro Limited
Financial Services
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%

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 every 3 months.


-5.00%0.00%5.00%10.00%AugustSeptemberOctoberNovemberDecember2025
2.40%
3.48%
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


YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500
-0.93%-3.71%3.77%21.81%12.17%11.26%
BF-1.02%-3.99%2.39%14.97%10.19%N/A
URTH
iShares MSCI World ETF
-0.80%-3.74%1.90%17.79%10.86%10.34%
EMIM.L
iShares Core MSCI Emerging Markets IMI UCITS ETF (Acc)
-2.44%-5.31%-6.10%6.67%1.53%5.90%
XDEP.DE
Xtrackers iBoxx EUR Corporate Bond Yield Plus UCITS ETF
-2.40%-3.79%-3.53%-1.68%-1.82%N/A
SEGA.L
iShares Core Euro Government Bond UCITS ETF (Dist)
-2.95%-4.60%-6.03%-6.69%29.26%16.83%
MEUD.L
Lyxor Core STOXX Europe 600 (DR) - UCITS ETF Acc
-0.44%-3.14%-6.72%3.09%5.01%8.03%
XEON.DE
Xtrackers II EUR Overnight Rate Swap UCITS ETF 1C
-1.47%-2.22%-4.35%-2.97%-0.51%0.36%
XDEQ.L
Xtrackers MSCI World Quality Factor UCITS ETF 1C
-1.20%-3.94%-1.45%15.64%10.25%13.12%
JPGL.L
JPM Global Equity Multi-Factor UCITS ETF USD Acc
0.22%-2.72%1.08%10.84%7.85%N/A
IWFV.L
iShares Edge MSCI World Value Factor UCITS ETF
-1.25%-3.30%-3.99%4.01%5.10%8.07%
AAAU
Goldman Sachs Physical Gold ETF
2.58%1.64%11.11%31.21%11.40%N/A
BTC-USD
Bitcoin
1.22%-6.71%45.78%126.26%60.85%87.29%
PUTW
WisdomTree CBOE S&P 500 PutWrite Strategy Fund
-0.72%-3.20%1.90%15.54%8.08%N/A
BHMG.L
BH Macro Limited
-2.60%-2.21%1.49%8.69%7.54%7.10%
WLDS.L
iShares MSCI World Small Cap UCITS ETF
-1.81%-5.60%-0.44%8.68%5.91%N/A
*Annualized

Monthly Returns

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


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-0.81%4.63%3.72%-3.65%3.89%0.06%2.33%1.17%2.44%-1.26%4.89%-2.90%15.00%
202312.21%-3.13%3.64%1.72%-2.37%4.31%2.27%-2.64%-3.51%-0.46%7.16%5.16%25.77%
2022-3.75%-0.89%1.01%-7.29%-0.83%-8.32%5.86%-4.21%-7.28%3.97%6.92%-1.70%-16.55%
20211.21%3.08%3.17%2.61%-1.16%-0.76%2.51%1.90%-3.60%5.33%-2.49%0.80%12.93%
20200.89%-5.63%-9.53%6.63%3.22%2.74%6.86%4.17%-2.39%-1.04%9.52%5.91%21.48%
2019-0.80%-1.88%0.90%2.75%0.64%2.97%4.58%

Expense Ratio

BF has an expense ratio of 0.19%, 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.


Expense ratio chart for PUTW: current value at 0.44% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.44%
Expense ratio chart for WLDS.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 IWFV.L: current value at 0.30% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.30%
Expense ratio chart for XDEP.DE: 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 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 URTH: current value at 0.24% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.24%
Expense ratio chart for JPGL.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 EMIM.L: current value at 0.18% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.18%
Expense ratio chart for AAAU: current value at 0.18% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.18%
Expense ratio chart for MEUD.L: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%
Expense ratio chart for XEON.DE: 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%
Expense ratio chart for SEGA.L: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of BF is 19, meaning it’s performing worse than 81% of other portfolios on our website when it comes to balancing risk and reward. Below is a breakdown of how it compares using common performance measures.


The Risk-Adjusted Performance Rank of BF is 1919
Overall Rank
The Sharpe Ratio Rank of BF is 2121
Sharpe Ratio Rank
The Sortino Ratio Rank of BF is 2222
Sortino Ratio Rank
The Omega Ratio Rank of BF is 1717
Omega Ratio Rank
The Calmar Ratio Rank of BF is 77
Calmar Ratio Rank
The Martin Ratio Rank of BF is 2929
Martin 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.


Sharpe ratio
The chart of Sharpe ratio for BF, currently valued at 1.13, compared to the broader market-1.000.001.002.003.004.001.131.77
The chart of Sortino ratio for BF, currently valued at 1.63, compared to the broader market-2.000.002.004.001.632.37
The chart of Omega ratio for BF, currently valued at 1.19, compared to the broader market0.801.001.201.401.601.801.191.32
The chart of Calmar ratio for BF, currently valued at 0.42, compared to the broader market0.002.004.006.008.0010.000.422.65
The chart of Martin ratio for BF, currently valued at 6.36, compared to the broader market0.0010.0020.0030.0040.006.3611.13
BF
^GSPC

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
URTH
iShares MSCI World ETF
1.251.701.230.467.36
EMIM.L
iShares Core MSCI Emerging Markets IMI UCITS ETF (Acc)
-0.09-0.021.000.62-0.27
XDEP.DE
Xtrackers iBoxx EUR Corporate Bond Yield Plus UCITS ETF
-0.18-0.200.980.50-0.43
SEGA.L
iShares Core Euro Government Bond UCITS ETF (Dist)
-0.68-0.890.90-0.35-1.67
MEUD.L
Lyxor Core STOXX Europe 600 (DR) - UCITS ETF Acc
-0.24-0.240.971.21-0.59
XEON.DE
Xtrackers II EUR Overnight Rate Swap UCITS ETF 1C
-0.53-0.680.92130.02-1.12
XDEQ.L
Xtrackers MSCI World Quality Factor UCITS ETF 1C
1.051.521.200.365.20
JPGL.L
JPM Global Equity Multi-Factor UCITS ETF USD Acc
0.861.241.160.273.74
IWFV.L
iShares Edge MSCI World Value Factor UCITS ETF
0.030.121.020.000.10
AAAU
Goldman Sachs Physical Gold ETF
1.612.151.280.937.32
BTC-USD
Bitcoin
1.532.281.221.326.98
PUTW
WisdomTree CBOE S&P 500 PutWrite Strategy Fund
1.381.781.300.438.21
BHMG.L
BH Macro Limited
0.701.121.130.133.64
WLDS.L
iShares MSCI World Small Cap UCITS ETF
0.450.731.090.112.20

The current BF Sharpe ratio is 1.13. 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 1.22 to 1.94, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests that it may not be performing as well in terms of risk-adjusted returns compared to many other portfolios. The lower performance could be due to either lower returns, higher volatility, or a combination of both. This might indicate that the portfolio requires some fine-tuning. You can use the Portfolio Optimization tool to find an allocation that maximizes the Sharpe ratio.

Use the chart below to compare the Sharpe ratio of BF 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 Ratio1.001.502.002.503.003.50AugustSeptemberOctoberNovemberDecember2025
1.13
1.77
BF
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

BF provided a 5.65% dividend yield over the last twelve months.


TTM20242023202220212020201920182017201620152014
Portfolio5.65%9.87%5.63%2.00%1.77%2.84%0.78%0.89%0.67%0.73%0.73%0.80%
URTH
iShares MSCI World ETF
1.49%1.47%1.70%1.68%1.50%1.52%2.16%2.30%1.88%2.14%2.35%2.32%
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
2.28%2.26%1.68%2.51%1.53%1.85%1.40%0.72%0.00%0.00%0.00%0.00%
SEGA.L
iShares Core Euro Government Bond UCITS ETF (Dist)
96.97%181.55%97.13%26.13%24.90%45.31%0.68%0.65%0.69%0.86%0.60%1.74%
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%0.00%0.51%
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
12.08%11.99%8.94%3.27%0.00%1.43%1.47%6.46%3.52%2.27%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. Drawdowns are calculated considering price movements and all distributions paid, if any.


-8.00%-6.00%-4.00%-2.00%0.00%AugustSeptemberOctoberNovemberDecember2025
-4.87%
-4.32%
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 27.58%, occurring on Oct 11, 2022. Recovery took 436 trading sessions.

The current BF drawdown is 4.87%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-27.58%Nov 9, 2021337Oct 11, 2022436Dec 21, 2023773
-24.39%Jan 21, 202063Mar 23, 2020120Jul 21, 2020183
-5.91%Jul 17, 202420Aug 5, 202416Aug 21, 202436
-5.23%Sep 7, 202123Sep 29, 202120Oct 19, 202143
-4.87%Dec 9, 202434Jan 11, 2025

Volatility

Volatility Chart

The current BF volatility is 3.55%, 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.


1.00%2.00%3.00%4.00%5.00%6.00%AugustSeptemberOctoberNovemberDecember2025
3.55%
4.66%
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.LXDEQ.LWLDS.LIWFV.LMEUD.L
BTC-USD1.000.120.060.110.190.150.150.190.260.160.210.200.170.20
AAAU0.121.000.170.350.060.330.340.230.130.110.150.160.170.21
BHMG.L0.060.171.000.250.100.280.280.180.180.200.210.230.240.27
SEGA.L0.110.350.251.000.110.620.740.240.240.170.240.260.250.35
PUTW0.190.060.100.111.000.130.200.360.740.370.470.410.410.39
XEON.DE0.150.330.280.620.131.000.790.350.280.260.320.340.360.45
XDEP.DE0.150.340.280.740.200.791.000.400.380.380.400.430.440.54
EMIM.L0.190.230.180.240.360.350.401.000.540.560.640.630.650.66
URTH0.260.130.180.240.740.280.380.541.000.520.640.590.590.60
JPGL.L0.160.110.200.170.370.260.380.560.521.000.770.780.770.75
XDEQ.L0.210.150.210.240.470.320.400.640.640.771.000.770.750.79
WLDS.L0.200.160.230.260.410.340.430.630.590.780.771.000.810.77
IWFV.L0.170.170.240.250.410.360.440.650.590.770.750.811.000.82
MEUD.L0.200.210.270.350.390.450.540.660.600.750.790.770.821.00
The correlation results are calculated based on daily price changes starting from Jul 17, 2019
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The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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