PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
Kate D
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


USD=X 7.32%PPSIX 26.72%CRBN 22.18%ANWPX 15.49%JMF.L 14.96%VNQ 13.33%CurrencyCurrencyEquityEquityReal EstateReal Estate
PositionCategory/SectorWeight
ANWPX
American Funds New Perspective Fund Class A
Large Cap Growth Equities, Global Equities
15.49%
CRBN
iShares MSCI ACWI Low Carbon Target ETF
Large Cap Growth Equities
22.18%
JMF.L
JPMorgan Mid Cap Investment Trust
Financial Services
14.96%
PPSIX
Principal Spectrum Preferred and Capital Securities Income Fund
Preferred Stock/Convertible Bonds
26.72%
USD=X
USD Cash
7.32%
VNQ
Vanguard Real Estate ETF
REIT
13.33%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Kate D, 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%MayJuneJulyAugustSeptemberOctober
9.71%
15.83%
Kate D
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Dec 9, 2014, corresponding to the inception date of CRBN

Returns By Period


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
22.29%1.65%15.83%39.98%13.99%11.23%
Kate D8.68%-0.40%9.71%24.63%5.82%N/A
CRBN
iShares MSCI ACWI Low Carbon Target ETF
19.42%-0.04%14.44%37.20%11.31%N/A
ANWPX
American Funds New Perspective Fund Class A
17.44%-0.55%12.22%35.46%12.31%11.41%
PPSIX
Principal Spectrum Preferred and Capital Securities Income Fund
9.62%-0.45%6.62%17.71%2.71%4.32%
JMF.L
JPMorgan Mid Cap Investment Trust
-14.88%0.00%0.00%7.03%-3.44%N/A
VNQ
Vanguard Real Estate ETF
11.11%-1.36%22.28%38.62%3.95%6.10%
USD=X
USD Cash
0.00%0.00%0.00%0.00%0.00%0.00%

Monthly Returns

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


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-0.21%0.26%1.74%-2.68%2.69%1.27%1.89%2.23%1.75%8.68%
20237.10%-2.27%-0.62%1.41%-1.56%3.45%2.65%-2.27%-3.36%-3.07%8.13%5.53%15.19%
2022-5.54%-3.80%0.99%-6.04%-1.47%-7.39%6.75%-4.88%-8.42%4.12%7.48%-2.78%-20.40%
2021-0.51%2.12%2.21%4.67%1.48%0.42%1.70%2.17%-3.56%3.40%-2.36%3.70%16.19%
2020-0.15%-5.84%-15.38%9.42%3.56%1.67%4.54%4.86%-2.44%-1.23%8.93%4.32%10.02%
20197.55%1.81%1.47%2.79%-3.26%3.60%0.17%-0.28%1.87%2.70%1.92%3.20%25.83%
20182.31%-3.39%-0.29%0.62%0.58%0.41%1.03%0.56%-0.81%-5.26%0.07%-4.42%-8.55%
20172.43%2.16%1.33%2.56%1.55%0.33%2.16%0.17%1.32%1.73%0.68%1.15%19.00%
2016-4.68%-1.37%5.31%0.21%1.48%-2.34%3.67%0.20%0.07%-2.40%-0.13%1.38%1.00%
20150.21%2.95%-0.59%1.70%0.44%-1.39%1.72%-3.79%-1.19%5.29%0.04%-0.10%5.11%
20140.67%0.67%

Expense Ratio

Kate D features an expense ratio of 0.38%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


Expense ratio chart for PPSIX: current value at 0.79% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.79%
Expense ratio chart for ANWPX: current value at 0.72% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.72%
Expense ratio chart for CRBN: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%
Expense ratio chart for VNQ: current value at 0.12% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.12%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Kate D is 35, 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 Kate D is 3535
Combined Rank
The Sharpe Ratio Rank of Kate D is 3030Sharpe Ratio Rank
The Sortino Ratio Rank of Kate D is 3838Sortino Ratio Rank
The Omega Ratio Rank of Kate D is 4848Omega Ratio Rank
The Calmar Ratio Rank of Kate D is 1212Calmar Ratio Rank
The Martin Ratio Rank of Kate D is 4747Martin 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.


Kate D
Sharpe ratio
The chart of Sharpe ratio for Kate D, currently valued at 2.58, compared to the broader market0.002.004.006.002.58
Sortino ratio
The chart of Sortino ratio for Kate D, currently valued at 3.70, compared to the broader market-2.000.002.004.006.003.70
Omega ratio
The chart of Omega ratio for Kate D, currently valued at 1.53, compared to the broader market0.801.001.201.401.601.802.001.53
Calmar ratio
The chart of Calmar ratio for Kate D, currently valued at 1.16, compared to the broader market0.005.0010.001.16
Martin ratio
The chart of Martin ratio for Kate D, currently valued at 17.75, compared to the broader market0.0010.0020.0030.0040.0050.0060.0017.75
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 3.43, compared to the broader market0.002.004.006.003.43
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 4.52, compared to the broader market-2.000.002.004.006.004.52
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.64, compared to the broader market0.801.001.201.401.601.802.001.64
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 3.17, compared to the broader market0.005.0010.003.17
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 22.22, compared to the broader market0.0010.0020.0030.0040.0050.0060.0022.22

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
CRBN
iShares MSCI ACWI Low Carbon Target ETF
2.623.571.493.1416.51
ANWPX
American Funds New Perspective Fund Class A
2.333.221.441.6114.90
PPSIX
Principal Spectrum Preferred and Capital Securities Income Fund
6.4711.763.091.4845.66
JMF.L
JPMorgan Mid Cap Investment Trust
-0.020.141.05-0.01-0.03
VNQ
Vanguard Real Estate ETF
1.902.761.361.027.04
USD=X
USD Cash

Sharpe Ratio

The current Kate D Sharpe ratio is 2.58. 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 2.49 to 3.44, 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 Kate D 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 Ratio1.001.502.002.503.003.50MayJuneJulyAugustSeptemberOctober
2.58
3.43
Kate D
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Kate D provided a 2.64% dividend yield over the last twelve months.


TTM20232022202120202019201820172016201520142013
Kate D2.64%2.98%3.02%2.21%2.40%2.73%3.33%2.74%3.22%3.05%3.86%3.97%
CRBN
iShares MSCI ACWI Low Carbon Target ETF
1.70%2.01%1.95%1.57%1.41%2.27%2.51%2.05%2.27%2.01%0.00%0.00%
ANWPX
American Funds New Perspective Fund Class A
0.80%0.94%0.84%0.33%0.13%1.01%1.18%0.45%0.82%0.72%7.58%6.26%
PPSIX
Principal Spectrum Preferred and Capital Securities Income Fund
5.23%5.33%5.54%4.39%4.44%4.87%5.79%5.04%5.86%6.09%7.11%8.65%
JMF.L
JPMorgan Mid Cap Investment Trust
1.54%2.94%3.02%1.97%2.40%2.14%2.75%2.02%2.52%2.28%2.03%0.78%
VNQ
Vanguard Real Estate ETF
3.82%3.95%3.91%2.56%3.93%3.39%4.74%4.23%4.82%3.92%3.60%4.32%
USD=X
USD Cash
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.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%MayJuneJulyAugustSeptemberOctober
-0.79%
-0.54%
Kate D
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Kate D. 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 Kate D was 32.28%, occurring on Mar 23, 2020. Recovery took 166 trading sessions.

The current Kate D drawdown is 0.79%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-32.28%Feb 17, 202026Mar 23, 2020166Nov 10, 2020192
-28.09%Jan 5, 2022201Oct 12, 2022527Oct 18, 2024728
-13.8%Jan 29, 2018236Dec 24, 201877Apr 10, 2019313
-10.85%May 18, 2015195Feb 11, 201683Jun 7, 2016278
-7.55%Jun 24, 20162Jun 27, 201631Aug 9, 201633

Volatility

Volatility Chart

The current Kate D volatility is 1.17%, 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%MayJuneJulyAugustSeptemberOctober
1.17%
2.71%
Kate D
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.

USD=XPPSIXJMF.LVNQANWPXCRBN
USD=X0.000.000.000.000.000.00
PPSIX0.001.000.380.310.380.39
JMF.L0.000.381.000.300.510.52
VNQ0.000.310.301.000.540.56
ANWPX0.000.380.510.541.000.92
CRBN0.000.390.520.560.921.00
The correlation results are calculated based on daily price changes starting from Dec 10, 2014