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Equity Asset Allocation Sleeve

Last updated Mar 2, 2024

Asset Allocation


HDGYX 13.3%SEEGX 10.8%MVCAX 9.8%NMCIX 8.7%GSITX 8.5%FSSAX 8.5%GSINX 5.7%CGIAX 5.7%DLDRX 5%QUSIX 4.5%RIPIX 4.5%MELIX 10%PURZX 5%EquityEquityMulti-AssetMulti-AssetReal EstateReal Estate
PositionCategory/SectorWeight
HDGYX
The Hartford Dividend and Growth Fund
Large Cap Value Equities

13.30%

SEEGX
JPMorgan Large Cap Growth Fund
Large Cap Growth Equities

10.80%

MVCAX
MFS Mid Cap Value Fund
Mid Cap Value Equities

9.80%

NMCIX
Voya MidCap Opportunities Fund
Mid Cap Growth Equities

8.70%

GSITX
Goldman Sachs Small Cap Value Insights Fund
Small Cap Value Equities

8.50%

FSSAX
Franklin Small Cap Growth Fund
Small Cap Growth Equities

8.50%

GSINX
Goldman Sachs GQG Partners International Opportunities Fund
Foreign Large Cap Equities

5.70%

CGIAX
American Funds International Growth and Income Fund
Foreign Large Cap Equities

5.70%

DLDRX
BNY Mellon Natural Resources Fund
Energy Equities

5%

QUSIX
Pear Tree Polaris Foreign Value Small Cap Fund
Foreign Small & Mid Cap Equities

4.50%

RIPIX
Royce International Premier Fund Institutional Class
Mid Cap Growth Equities, Foreign Small & Mid Cap Equities

4.50%

MELIX
Morgan Stanley Institutional Fund, Inc. Emerging Markets Leaders Portfolio
Emerging Markets Diversified

10%

PURZX
PGIM Global Real Estate Fund
REIT

5%

S&P 500

Performance

The chart shows the growth of an initial investment of $10,000 in Equity Asset Allocation Sleeve, 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


40.00%50.00%60.00%70.00%80.00%90.00%OctoberNovemberDecember2024FebruaryMarch
72.04%
93.50%
Equity Asset Allocation Sleeve
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is May 1, 2018, corresponding to the inception date of RIPIX

Returns


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
7.70%6.01%13.76%29.03%12.89%10.63%
Equity Asset Allocation Sleeve4.25%5.46%11.01%17.37%10.96%N/A
DLDRX
BNY Mellon Natural Resources Fund
-1.44%2.56%-6.71%-5.29%15.90%7.32%
GSINX
Goldman Sachs GQG Partners International Opportunities Fund
11.85%8.50%22.35%33.80%13.30%N/A
HDGYX
The Hartford Dividend and Growth Fund
2.92%3.02%8.88%16.90%11.99%9.69%
GSITX
Goldman Sachs Small Cap Value Insights Fund
0.59%5.27%10.87%10.68%7.88%7.82%
CGIAX
American Funds International Growth and Income Fund
2.79%4.13%8.45%11.40%6.40%3.87%
MVCAX
MFS Mid Cap Value Fund
4.02%5.80%9.94%11.59%10.39%8.67%
MELIX
Morgan Stanley Institutional Fund, Inc. Emerging Markets Leaders Portfolio
-0.61%4.27%5.85%7.64%7.23%N/A
NMCIX
Voya MidCap Opportunities Fund
9.43%8.57%15.25%26.27%12.18%10.28%
PURZX
PGIM Global Real Estate Fund
-2.74%2.17%4.40%4.43%2.54%3.96%
QUSIX
Pear Tree Polaris Foreign Value Small Cap Fund
-2.42%-0.58%5.67%11.14%5.98%4.95%
RIPIX
Royce International Premier Fund Institutional Class
-0.76%1.24%5.05%1.56%3.13%N/A
SEEGX
JPMorgan Large Cap Growth Fund
14.85%10.58%22.88%49.61%20.39%16.48%
FSSAX
Franklin Small Cap Growth Fund
6.93%8.32%16.55%23.24%8.43%8.17%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
2024-1.15%4.44%
2023-2.87%-4.14%-4.08%8.87%7.03%

Sharpe Ratio

The current Equity Asset Allocation Sleeve Sharpe ratio is 1.38. A Sharpe ratio greater than 1.0 is considered acceptable.

0.002.004.001.38

The Sharpe ratio of Equity Asset Allocation Sleeve is in the bottom 25%, suggesting that this portfolio isn't performing as well in terms of risk-adjusted returns compared to many others. This could be due to lower returns, higher volatility, or both. It might be an indication that the portfolio needs fine-tuning.


Rolling 12-month Sharpe Ratio0.501.001.502.002.50OctoberNovemberDecember2024FebruaryMarch
1.38
2.44
Equity Asset Allocation Sleeve
Benchmark (^GSPC)
Portfolio components

Dividend yield

Equity Asset Allocation Sleeve granted a 1.92% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
Equity Asset Allocation Sleeve1.92%1.94%3.33%10.43%4.46%4.96%9.27%6.20%3.20%3.24%4.61%3.05%
DLDRX
BNY Mellon Natural Resources Fund
12.60%12.42%9.66%5.07%1.11%2.16%1.87%0.63%1.44%1.25%1.86%0.00%
GSINX
Goldman Sachs GQG Partners International Opportunities Fund
2.03%2.27%4.79%2.13%0.08%0.57%0.43%0.12%0.06%0.00%0.00%0.00%
HDGYX
The Hartford Dividend and Growth Fund
1.77%1.82%6.08%5.80%3.61%4.41%12.64%11.68%4.92%1.97%10.73%8.30%
GSITX
Goldman Sachs Small Cap Value Insights Fund
1.34%1.35%1.28%26.49%0.72%0.71%9.14%9.11%3.55%5.63%1.78%0.68%
CGIAX
American Funds International Growth and Income Fund
2.21%2.27%3.99%6.90%1.35%2.36%2.74%1.80%2.29%3.17%7.10%6.89%
MVCAX
MFS Mid Cap Value Fund
2.63%2.73%5.22%5.70%0.80%2.03%6.36%3.36%1.18%4.59%7.08%5.85%
MELIX
Morgan Stanley Institutional Fund, Inc. Emerging Markets Leaders Portfolio
0.00%0.00%0.00%0.08%5.25%3.88%0.47%0.97%0.12%1.30%0.00%0.00%
NMCIX
Voya MidCap Opportunities Fund
0.66%0.72%0.00%21.64%17.74%6.09%19.82%13.64%6.06%8.73%12.39%8.66%
PURZX
PGIM Global Real Estate Fund
2.30%2.25%2.22%16.92%1.71%17.04%4.73%4.66%4.49%3.32%2.79%2.16%
QUSIX
Pear Tree Polaris Foreign Value Small Cap Fund
2.55%2.48%4.90%2.43%3.89%2.96%5.09%3.00%2.06%2.20%1.45%1.28%
RIPIX
Royce International Premier Fund Institutional Class
3.11%3.09%3.87%5.02%0.36%0.58%0.54%0.00%0.00%0.00%0.00%0.00%
SEEGX
JPMorgan Large Cap Growth Fund
0.11%0.12%3.42%14.92%5.27%12.85%15.97%14.79%9.88%4.49%1.79%0.00%
FSSAX
Franklin Small Cap Growth Fund
0.00%0.00%0.54%16.49%9.31%6.09%22.72%1.77%0.00%1.92%4.21%0.00%

Expense Ratio

The Equity Asset Allocation Sleeve has a high expense ratio of 0.89%, 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.


1.15%
0.00%2.15%
1.05%
0.00%2.15%
1.04%
0.00%2.15%
1.02%
0.00%2.15%
0.93%
0.00%2.15%
0.93%
0.00%2.15%
0.93%
0.00%2.15%
0.91%
0.00%2.15%
0.89%
0.00%2.15%
0.84%
0.00%2.15%
0.78%
0.00%2.15%
0.69%
0.00%2.15%
0.69%
0.00%2.15%

Risk-Adjusted Performance

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 ratioSortino ratioOmega ratioCalmar ratioUlcer Index
^GSPC
S&P 500
2.44
Equity Asset Allocation Sleeve
1.38
DLDRX
BNY Mellon Natural Resources Fund
-0.20
GSINX
Goldman Sachs GQG Partners International Opportunities Fund
2.65
HDGYX
The Hartford Dividend and Growth Fund
1.60
GSITX
Goldman Sachs Small Cap Value Insights Fund
0.52
CGIAX
American Funds International Growth and Income Fund
0.99
MVCAX
MFS Mid Cap Value Fund
0.79
MELIX
Morgan Stanley Institutional Fund, Inc. Emerging Markets Leaders Portfolio
0.53
NMCIX
Voya MidCap Opportunities Fund
1.82
PURZX
PGIM Global Real Estate Fund
0.33
QUSIX
Pear Tree Polaris Foreign Value Small Cap Fund
0.78
RIPIX
Royce International Premier Fund Institutional Class
0.13
SEEGX
JPMorgan Large Cap Growth Fund
3.01
FSSAX
Franklin Small Cap Growth Fund
1.22

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

QUSIXPURZXDLDRXMELIXRIPIXSEEGXGSINXGSITXNMCIXFSSAXMVCAXHDGYXCGIAX
QUSIX1.000.440.440.510.670.340.490.420.370.400.450.440.66
PURZX0.441.000.490.510.600.570.590.670.610.630.720.700.65
DLDRX0.440.491.000.510.550.510.670.730.550.610.760.720.71
MELIX0.510.510.511.000.670.690.700.560.700.680.570.600.76
RIPIX0.670.600.550.671.000.640.740.580.640.630.640.670.84
SEEGX0.340.570.510.690.641.000.740.640.900.810.680.750.70
GSINX0.490.590.670.700.740.741.000.610.710.660.670.730.87
GSITX0.420.670.730.560.580.640.611.000.710.850.920.830.69
NMCIX0.370.610.550.700.640.900.710.711.000.890.750.760.71
FSSAX0.400.630.610.680.630.810.660.850.891.000.810.770.71
MVCAX0.450.720.760.570.640.680.670.920.750.811.000.930.75
HDGYX0.440.700.720.600.670.750.730.830.760.770.931.000.79
CGIAX0.660.650.710.760.840.700.870.690.710.710.750.791.00

Drawdowns Chart

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


-20.00%-15.00%-10.00%-5.00%0.00%OctoberNovemberDecember2024FebruaryMarch
-1.28%
0
Equity Asset Allocation Sleeve
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Equity Asset Allocation Sleeve. 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 Equity Asset Allocation Sleeve was 36.45%, occurring on Mar 23, 2020. Recovery took 99 trading sessions.

The current Equity Asset Allocation Sleeve drawdown is 1.28%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-36.45%Feb 20, 202023Mar 23, 202099Aug 12, 2020122
-26.94%Nov 9, 2021235Oct 14, 2022
-19.25%Aug 30, 201880Dec 24, 201889May 3, 2019169
-7.31%Sep 3, 202014Sep 23, 202012Oct 9, 202026
-6.11%Oct 13, 202014Oct 30, 20204Nov 5, 202018

Volatility Chart

The current Equity Asset Allocation Sleeve volatility is 3.38%, 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%OctoberNovemberDecember2024FebruaryMarch
3.38%
3.47%
Equity Asset Allocation Sleeve
Benchmark (^GSPC)
Portfolio components
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