PortfoliosLab logo
​
Tools
Performance Analysis
Risk Analysis
Optimization
Factor Model
See All Tools
Portfolio Analysis
Portfolios
Lazy PortfoliosUser Portfolios
Screeners
Discussions
P1
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

P1

Last updated Aug 31, 2024

Asset Allocation

URTH 23.5%MSFT 12.5%SYK 10.82%ACWL.L 9.8%V 8.64%ALIZY 8.18%AIR.DE 5.08%PG 4.92%EPOL 3.89%DTE.DE 3.63%IFX.DE 3.3%NVDA 1.72%INDA 1.68%CGC 1.22%ACB 1.12%EquityEquity
PositionCategory/SectorWeight
ACB
Aurora Cannabis Inc.		Healthcare
1.12%
ACWL.L
Lyxor MSCI All Country World UCITS ETF		Global Equities
9.80%
AIR.DE
Airbus SE		Industrials
5.08%
ALIZY
Allianz SE ADR		Financial Services
8.18%
CGC
Canopy Growth Corporation		Healthcare
1.22%
DTE.DE
Deutsche Telekom AG		Communication Services
3.63%
EPOL
iShares MSCI Poland ETF		Europe Equities
3.89%
IFX.DE
Infineon Technologies AG		Technology
3.30%
INDA
iShares MSCI India ETF		Asia Pacific Equities
1.68%
MSFT
Microsoft Corporation		Technology
12.50%
NVDA
NVIDIA Corporation		Technology
1.72%
PG
The Procter & Gamble Company		Consumer Defensive
4.92%
SYK
Stryker Corporation		Healthcare
10.82%
URTH
iShares MSCI World ETF		Large Cap Growth Equities
23.50%
V
Visa Inc.		Financial Services
8.64%

S&P 500

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in P1, 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

150.00%200.00%250.00%300.00%AprilMayJuneJulyAugust
330.93%
179.51%
P1
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Feb 2, 2015, corresponding to the inception date of ACWL.L

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		18.42%2.28%9.95%25.31%14.08%10.95%
P116.52%6.08%8.62%26.65%14.17%N/A
Portfolio components:
SYK
Stryker Corporation		20.92%8.70%2.51%28.00%11.51%17.24%
DTE.DE
Deutsche Telekom AG		22.48%7.92%23.39%38.34%16.09%12.92%
IFX.DE
Infineon Technologies AG		-11.69%13.14%-1.03%4.01%16.77%15.15%
URTH
iShares MSCI World ETF		16.85%6.61%9.82%24.46%13.10%9.85%
ACWL.L
Lyxor MSCI All Country World UCITS ETF		14.91%6.17%8.99%22.31%11.17%N/A
V
Visa Inc.		6.76%3.88%-2.02%12.27%9.58%18.67%
PG
The Procter & Gamble Company		19.27%0.86%9.34%13.83%9.62%10.63%
ACB
Aurora Cannabis Inc.		27.68%3.05%91.80%28.84%-60.21%-23.74%
CGC
Canopy Growth Corporation		1.96%-20.70%62.31%-5.27%-53.01%-13.52%
MSFT
Microsoft Corporation		11.54%2.30%0.76%27.87%25.59%26.94%
ALIZY
Allianz SE ADR		16.15%12.69%13.89%28.26%11.56%10.81%
INDA
iShares MSCI India ETF		18.25%2.60%11.17%30.47%14.18%7.64%
EPOL
iShares MSCI Poland ETF		10.48%5.41%6.44%33.58%6.09%0.88%
NVDA
NVIDIA Corporation		141.08%11.28%45.10%146.15%93.34%74.27%
AIR.DE
Airbus SE		0.92%6.57%-5.68%8.21%3.81%13.29%

Monthly Returns

The table below presents the monthly returns of P1, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20242.95%3.44%4.83%-1.99%2.63%-0.26%0.37%16.52%
20237.32%-1.31%5.35%3.41%-2.53%6.54%1.88%-1.65%-3.77%-0.39%9.88%3.10%30.38%
2022-3.28%-3.56%1.93%-7.71%-0.87%-8.97%5.00%-4.92%-9.15%10.02%9.23%-2.68%-16.01%
2021-1.93%3.83%1.77%4.69%1.99%1.58%2.08%1.63%-3.99%4.34%-3.73%5.18%18.30%
20200.75%-7.54%-15.02%9.59%5.20%5.62%3.83%6.66%-4.13%-3.29%17.55%3.48%20.38%
20197.47%4.87%2.90%4.45%-5.42%7.14%0.30%-1.01%0.39%3.24%0.97%3.02%31.39%
20187.41%-3.58%-1.80%1.54%0.55%0.10%3.31%2.82%1.66%-6.79%1.92%-6.44%-0.23%
20173.63%3.29%2.44%2.44%3.52%-0.45%4.94%0.83%2.56%5.28%3.26%2.27%39.64%
2016-4.22%-1.51%7.34%-0.75%1.84%-1.23%3.87%2.57%2.56%1.35%1.73%2.38%16.61%
20154.29%-1.22%3.80%-0.27%-2.60%3.43%-5.60%-1.30%10.17%2.05%-1.28%11.10%

Expense Ratio

P1 has an expense ratio of 0.14%, 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.

ACWL.L
Lyxor MSCI All Country World UCITS ETF
Expense ratio chart for ACWL.L: 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%
URTH
iShares MSCI World ETF
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%
INDA
iShares MSCI India ETF
Expense ratio chart for INDA: current value at 0.69% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.69%
EPOL
iShares MSCI Poland ETF
Expense ratio chart for EPOL: current value at 0.61% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.61%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of P1 is 72, 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 P1 is 7272
P1
The Sharpe Ratio Rank of P1 is 7575Sharpe Ratio Rank
The Sortino Ratio Rank of P1 is 8181Sortino Ratio Rank
The Omega Ratio Rank of P1 is 7777Omega Ratio Rank
The Calmar Ratio Rank of P1 is 8181Calmar Ratio Rank
The Martin Ratio Rank of P1 is 4545Martin 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.

P1
Sharpe ratio
The chart of Sharpe ratio for P1, currently valued at 2.16, compared to the broader market-1.000.001.002.003.004.002.16
Sortino ratio
The chart of Sortino ratio for P1, currently valued at 3.15, compared to the broader market-2.000.002.004.003.15
Omega ratio
The chart of Omega ratio for P1, currently valued at 1.39, compared to the broader market0.801.001.201.401.601.801.39
Calmar ratio
The chart of Calmar ratio for P1, currently valued at 2.72, compared to the broader market0.002.004.006.008.002.72
Martin ratio
The chart of Martin ratio for P1, currently valued at 8.17, compared to the broader market0.005.0010.0015.0020.0025.0030.008.17
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.02, compared to the broader market-1.000.001.002.003.004.002.02
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.78, compared to the broader market-2.000.002.004.002.78
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.36, compared to the broader market0.801.001.201.401.601.801.36
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.77, compared to the broader market0.002.004.006.008.001.77
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 9.33, compared to the broader market0.005.0010.0015.0020.0025.0030.009.33
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
SYK
Stryker Corporation		1.221.731.231.554.47
DTE.DE
Deutsche Telekom AG		2.683.651.472.2010.42
IFX.DE
Infineon Technologies AG		0.190.561.060.170.57
URTH
iShares MSCI World ETF		2.193.041.401.9810.21
ACWL.L
Lyxor MSCI All Country World UCITS ETF		1.972.771.381.669.06
V
Visa Inc.		0.841.181.161.012.47
PG
The Procter & Gamble Company		1.011.451.201.565.48
ACB
Aurora Cannabis Inc.		0.121.441.160.150.32
CGC
Canopy Growth Corporation		-0.250.871.10-0.44-0.71
MSFT
Microsoft Corporation		1.301.771.231.665.42
ALIZY
Allianz SE ADR		1.762.351.292.786.79
INDA
iShares MSCI India ETF		2.062.591.422.4115.12
EPOL
iShares MSCI Poland ETF		1.782.551.311.159.74
NVDA
NVIDIA Corporation		3.253.571.465.9921.05
AIR.DE
Airbus SE		0.320.581.080.310.76

Sharpe Ratio

The current P1 Sharpe ratio is 2.16. 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 1.62 to 2.21, 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 P1 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 Ratio1.502.002.503.00AprilMayJuneJulyAugust
2.16
2.02
P1
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

P1 granted a 1.52% dividend yield in the last twelve months.

TTM20232022202120202019201820172016201520142013
P11.52%1.50%1.61%1.41%1.57%1.67%1.87%1.64%1.94%1.97%2.00%1.67%
Portfolio components:
SYK
Stryker Corporation		0.87%1.02%1.16%0.97%0.96%1.02%1.23%1.13%1.31%1.52%1.34%1.46%
DTE.DE
Deutsche Telekom AG		2.99%3.22%3.43%3.68%8.02%4.80%4.39%4.06%3.36%3.00%3.77%5.63%
IFX.DE
Infineon Technologies AG		1.06%0.85%0.95%0.54%0.86%1.33%1.44%0.96%1.21%1.33%1.36%1.55%
URTH
iShares MSCI World ETF		1.48%1.70%1.68%1.50%1.52%2.16%2.30%1.88%2.15%2.35%2.31%1.04%
ACWL.L
Lyxor MSCI All Country World 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%
V
Visa Inc.		0.75%0.72%0.76%0.62%0.56%0.56%0.67%0.61%0.75%0.64%0.64%0.62%
PG
The Procter & Gamble Company		2.27%2.55%2.38%2.08%2.24%2.37%3.09%2.98%3.18%3.31%2.78%2.91%
ACB
Aurora Cannabis Inc.		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
CGC
Canopy Growth Corporation		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
MSFT
Microsoft Corporation		0.72%0.74%1.06%0.68%0.94%1.20%1.69%1.86%2.37%2.33%2.48%2.59%
ALIZY
Allianz SE ADR		4.84%4.68%5.43%4.87%4.22%4.20%4.90%3.50%4.88%4.36%4.42%3.25%
INDA
iShares MSCI India ETF		0.00%0.16%0.00%6.44%0.27%0.99%0.94%1.09%0.90%1.19%0.63%0.40%
EPOL
iShares MSCI Poland ETF		4.41%2.87%2.65%1.33%1.44%2.51%1.44%1.88%2.14%2.53%3.44%3.28%
NVDA
NVIDIA Corporation		0.02%0.03%0.11%0.05%0.12%0.27%0.46%0.30%0.46%1.19%1.68%1.95%
AIR.DE
Airbus SE		2.02%1.28%1.35%0.00%1.97%1.25%1.80%1.61%2.07%1.91%1.82%1.08%

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%AprilMayJuneJulyAugust0
-0.33%
P1
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the P1. 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 P1 was 34.04%, occurring on Mar 23, 2020. Recovery took 111 trading sessions.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-34.04%Feb 20, 202023Mar 23, 2020111Aug 26, 2020134
-29.54%Nov 9, 2021240Oct 12, 2022193Jul 12, 2023433
-15.42%Oct 2, 201860Dec 24, 201847Mar 1, 2019107
-11.51%Dec 2, 201551Feb 11, 201643Apr 13, 201694
-10.72%May 20, 201568Aug 24, 201544Oct 23, 2015112

Volatility

Volatility Chart

The current P1 volatility is 4.40%, 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%AprilMayJuneJulyAugust
4.40%
5.56%
P1
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.
ACWL.LACBPGCGCDTE.DEAIR.DEIFX.DENVDASYKINDAMSFTEPOLALIZYVURTH
ACWL.L1.000.140.070.110.170.220.260.220.160.140.180.220.180.140.29
ACB0.141.000.040.670.120.170.170.240.190.190.200.220.170.200.30
PG0.070.041.000.050.220.140.110.160.370.240.330.240.290.350.40
CGC0.110.670.051.000.130.160.190.250.180.220.210.240.190.210.33
DTE.DE0.170.120.220.131.000.450.400.180.250.300.220.380.500.290.40
AIR.DE0.220.170.140.160.451.000.450.200.280.330.230.370.490.340.45
IFX.DE0.260.170.110.190.400.451.000.380.270.340.320.410.420.330.49
NVDA0.220.240.160.250.180.200.381.000.360.350.590.350.310.440.59
SYK0.160.190.370.180.250.280.270.361.000.360.480.340.350.530.59
INDA0.140.190.240.220.300.330.340.350.361.000.390.530.450.420.59
MSFT0.180.200.330.210.220.230.320.590.480.391.000.390.360.600.70
EPOL0.220.220.240.240.380.370.410.350.340.530.391.000.560.410.61
ALIZY0.180.170.290.190.500.490.420.310.350.450.360.561.000.440.62
V0.140.200.350.210.290.340.330.440.530.420.600.410.441.000.67
URTH0.290.300.400.330.400.450.490.590.590.590.700.610.620.671.00
The correlation results are calculated based on daily price changes starting from Feb 3, 2015