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lzyXbnav_EUR
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

lzyXbnav_EUR

Last updated Sep 21, 2024

Asset Allocation

TLT 15%BTC-USD 15%ETH-USD 10%MC.PA 9.17%SSUN.F 9.17%ASML 9.17%LIN 9.17%SAP 9.17%PHG 9.17%VNQ 5%BondBondCryptocurrencyCryptocurrencyEquityEquityReal EstateReal Estate
PositionCategory/SectorWeight
ASML
ASML Holding N.V.		Technology
9.17%
BTC-USD
Bitcoin
15%
ETH-USD
Ethereum
10%
LIN
Linde plc		Basic Materials
9.17%
MC.PA
LVMH Moët Hennessy - Louis Vuitton, Société Européenne		Consumer Cyclical
9.17%
PHG
Koninklijke Philips N.V.		Healthcare
9.17%
SAP
SAP SE		Technology
9.17%
SSUN.F
Samsung Electronics Co., Ltd.		Technology
9.17%
TLT
iShares 20+ Year Treasury Bond ETF		Government Bonds
15%
VNQ
Vanguard Real Estate ETF		REIT
5%

Performance

Performance Chart

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

-5.00%0.00%5.00%10.00%AprilMayJuneJulyAugustSeptember
0.72%
8.95%
lzyXbnav_EUR
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Aug 7, 2015, corresponding to the inception date of ETH-USD

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		19.55%1.45%8.95%31.70%13.79%11.17%
lzyXbnav_EUR18.91%-1.45%0.72%46.66%27.23%N/A
Portfolio components:
MC.PA
LVMH Moët Hennessy - Louis Vuitton, Société Européenne		-17.64%-12.34%-25.52%-13.84%11.97%19.23%
SSUN.F
Samsung Electronics Co., Ltd.		-15.22%-15.08%-18.86%-1.81%6.97%13.89%
ASML
ASML Holding N.V.		5.67%-12.39%-18.53%36.58%27.41%24.47%
LIN
Linde plc		15.95%2.51%1.40%28.09%21.31%15.79%
SAP
SAP SE		49.87%5.32%18.60%74.66%16.03%13.87%
PHG
Koninklijke Philips N.V.		35.55%2.41%58.12%53.59%-5.09%3.20%
BTC-USD
Bitcoin		49.52%4.66%-1.36%137.75%45.41%64.49%
ETH-USD
Ethereum		12.26%-2.36%-23.24%60.74%66.25%N/A
TLT
iShares 20+ Year Treasury Bond ETF		2.67%1.48%7.34%12.49%-4.69%0.93%
VNQ
Vanguard Real Estate ETF		13.01%5.45%17.07%31.80%4.77%7.29%

Monthly Returns

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

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20240.62%14.71%5.62%-5.64%5.15%-0.86%1.87%-1.65%18.91%
202318.43%-2.94%10.47%3.32%-2.12%5.97%-1.80%-4.91%-5.08%3.75%10.88%8.12%50.02%
2022-10.89%-0.70%0.27%-11.24%-4.10%-15.90%13.25%-9.47%-9.34%5.90%7.19%-4.85%-36.24%
20218.83%6.98%14.03%8.25%-3.37%-3.51%5.72%6.78%-7.16%14.55%-3.40%-3.10%50.58%
20207.22%-0.44%-14.15%15.43%6.92%3.45%13.37%4.16%-4.32%0.46%24.38%18.47%95.71%
20193.07%5.14%4.36%9.35%15.91%15.19%-3.86%-1.25%0.39%4.33%-2.78%0.91%61.09%
20183.12%-7.41%-9.31%14.78%-4.55%-5.15%4.77%-4.71%-3.01%-8.19%-10.51%-1.65%-29.59%
20176.39%9.62%39.84%13.06%40.05%10.61%1.94%17.46%-0.95%9.99%16.43%17.31%408.86%
201613.38%41.04%41.24%-2.50%7.85%4.13%4.66%-0.07%2.34%-0.84%-2.68%7.58%174.80%
2015-12.36%-2.11%16.30%1.15%1.34%2.27%

Expense Ratio

lzyXbnav_EUR has an expense ratio of 0.03%, 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.

TLT
iShares 20+ Year Treasury Bond ETF
Expense ratio chart for TLT: 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%
VNQ
Vanguard Real Estate ETF
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 lzyXbnav_EUR is 12, indicating that it is in the bottom 12% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.

The Risk-Adjusted Performance Rank of lzyXbnav_EUR is 1212
lzyXbnav_EUR
The Sharpe Ratio Rank of lzyXbnav_EUR is 1515Sharpe Ratio Rank
The Sortino Ratio Rank of lzyXbnav_EUR is 1616Sortino Ratio Rank
The Omega Ratio Rank of lzyXbnav_EUR is 1111Omega Ratio Rank
The Calmar Ratio Rank of lzyXbnav_EUR is 66Calmar Ratio Rank
The Martin Ratio Rank of lzyXbnav_EUR is 1313Martin 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.

lzyXbnav_EUR
Sharpe ratio
The chart of Sharpe ratio for lzyXbnav_EUR, currently valued at 1.51, compared to the broader market-1.000.001.002.003.004.001.51
Sortino ratio
The chart of Sortino ratio for lzyXbnav_EUR, currently valued at 2.17, compared to the broader market-2.000.002.004.006.002.17
Omega ratio
The chart of Omega ratio for lzyXbnav_EUR, currently valued at 1.23, compared to the broader market0.801.001.201.401.601.801.23
Calmar ratio
The chart of Calmar ratio for lzyXbnav_EUR, currently valued at 0.53, compared to the broader market0.002.004.006.008.0010.000.53
Martin ratio
The chart of Martin ratio for lzyXbnav_EUR, currently valued at 6.45, compared to the broader market0.0010.0020.0030.0040.006.45
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.32, compared to the broader market-1.000.001.002.003.004.002.32
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.11, compared to the broader market-2.000.002.004.006.003.11
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.42, compared to the broader market0.801.001.201.401.601.801.42
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 2.09, compared to the broader market0.002.004.006.008.0010.002.09
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 14.29, compared to the broader market0.0010.0020.0030.0040.0014.29
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
MC.PA
LVMH Moët Hennessy - Louis Vuitton, Société Européenne		-0.46-0.560.94-0.44-0.83
SSUN.F
Samsung Electronics Co., Ltd.		-0.50-0.580.94-0.15-1.71
ASML
ASML Holding N.V.		0.390.841.110.151.40
LIN
Linde plc		1.682.261.330.634.58
SAP
SAP SE		2.813.861.473.0121.30
PHG
Koninklijke Philips N.V.		1.183.031.350.305.28
BTC-USD
Bitcoin		1.382.061.210.826.10
ETH-USD
Ethereum		0.030.531.050.000.10
TLT
iShares 20+ Year Treasury Bond ETF		0.530.821.100.031.59
VNQ
Vanguard Real Estate ETF		1.371.911.250.246.07

Sharpe Ratio

The current lzyXbnav_EUR Sharpe ratio is 1.51. 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 1.91 to 2.59, 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 lzyXbnav_EUR 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 Ratio1.002.003.004.005.00AprilMayJuneJulyAugustSeptember
1.51
2.32
lzyXbnav_EUR
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

lzyXbnav_EUR granted a 1.49% dividend yield in the last twelve months.

TTM20232022202120202019201820172016201520142013
lzyXbnav_EUR1.49%1.41%2.15%1.23%1.42%1.60%2.03%1.55%1.78%1.83%2.07%1.72%
Portfolio components:
MC.PA
LVMH Moët Hennessy - Louis Vuitton, Société Européenne		2.20%1.70%1.76%0.96%0.90%1.50%2.09%1.71%1.98%2.28%3.58%2.26%
SSUN.F
Samsung Electronics Co., Ltd.		3.02%2.51%2.95%2.31%4.82%4.14%5.11%2.37%2.25%2.16%2.38%1.98%
ASML
ASML Holding N.V.		0.83%0.85%1.27%0.50%0.59%1.20%1.10%0.75%1.02%0.91%0.78%0.75%
LIN
Linde plc		1.15%1.24%1.43%1.22%1.46%1.64%2.11%2.04%2.56%2.79%2.01%1.85%
SAP
SAP SE		1.05%1.41%2.58%1.56%1.31%1.27%1.73%1.18%1.52%1.50%3.38%1.27%
PHG
Koninklijke Philips N.V.		0.00%0.00%6.95%3.03%1.87%2.17%3.11%2.52%3.18%3.94%4.17%2.93%
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%
ETH-USD
Ethereum		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
TLT
iShares 20+ Year Treasury Bond ETF		3.66%3.38%2.67%1.50%1.50%2.27%2.63%2.43%2.60%2.61%2.67%3.26%
VNQ
Vanguard Real Estate ETF		3.64%3.95%3.91%2.56%3.93%3.39%4.74%4.23%4.82%3.92%3.60%4.32%

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%AprilMayJuneJulyAugustSeptember
-4.99%
-0.19%
lzyXbnav_EUR
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the lzyXbnav_EUR. 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 lzyXbnav_EUR was 48.75%, occurring on Oct 15, 2022. Recovery took 506 trading sessions.

The current lzyXbnav_EUR drawdown is 4.99%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-48.75%Nov 9, 2021341Oct 15, 2022506Mar 4, 2024847
-40.73%Dec 19, 2017362Dec 15, 2018191Jun 24, 2019553
-35.73%Feb 15, 202033Mar 18, 2020116Jul 12, 2020149
-17.71%Mar 14, 20167Mar 20, 201684Jun 12, 201691
-17.2%May 9, 202173Jul 20, 202143Sep 1, 2021116

Volatility

Volatility Chart

The current lzyXbnav_EUR volatility is 4.98%, 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%7.00%8.00%AprilMayJuneJulyAugustSeptember
4.98%
4.31%
lzyXbnav_EUR
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.
TLTBTC-USDETH-USDSSUN.FVNQMC.PALINPHGASMLSAP
TLT1.00-0.000.00-0.070.08-0.05-0.11-0.08-0.07-0.05
BTC-USD-0.001.000.640.070.100.110.100.090.140.13
ETH-USD0.000.641.000.080.070.100.120.080.140.14
SSUN.F-0.070.070.081.000.190.350.230.270.310.28
VNQ0.080.100.070.191.000.250.370.350.340.36
MC.PA-0.050.110.100.350.251.000.350.410.430.46
LIN-0.110.100.120.230.370.351.000.410.460.45
PHG-0.080.090.080.270.350.410.411.000.440.50
ASML-0.070.140.140.310.340.430.460.441.000.58
SAP-0.050.130.140.280.360.460.450.500.581.00
The correlation results are calculated based on daily price changes starting from Aug 8, 2015