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November_Option_2
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

November_Option_2

Last updated Oct 30, 2024

Asset Allocation

SGLP.L 25%ROM 25%XLKQ.L 25%IUIT.L 25%CommodityCommodityEquityEquity
PositionCategory/SectorWeight
IUIT.L
iShares S&P 500 Information Technology Sector UCITS ETF		Technology Equities
25%
ROM
ProShares Ultra Technology		Leveraged Equities, Leveraged
25%
SGLP.L
Invesco Physical Gold A		Precious Metals
25%
XLKQ.L
Invesco US Technology Sector UCITS ETF		Technology Equities
25%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in November_Option_2, 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%20.00%25.00%MayJuneJulyAugustSeptemberOctober
26.15%
15.83%
November_Option_2
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Nov 23, 2015, corresponding to the inception date of IUIT.L

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%
November_Option_235.82%5.05%27.85%61.91%25.88%N/A
Portfolio components:
ROM
ProShares Ultra Technology		34.28%6.10%36.08%83.30%32.55%32.06%
XLKQ.L
Invesco US Technology Sector UCITS ETF		38.65%4.51%28.60%65.31%26.34%24.50%
SGLP.L
Invesco Physical Gold A		34.03%5.46%19.57%38.71%12.49%11.06%
IUIT.L
iShares S&P 500 Information Technology Sector UCITS ETF		34.63%4.13%27.66%59.88%25.44%N/A

Monthly Returns

The table below presents the monthly returns of November_Option_2, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20242.99%5.25%3.61%-4.14%7.07%9.83%-2.62%1.14%3.69%35.82%
202311.23%-1.09%13.57%-0.09%10.05%5.24%3.29%-1.58%-7.81%0.83%13.41%5.11%62.87%
2022-9.15%-2.62%3.81%-11.88%-4.02%-8.95%11.05%-6.27%-11.88%3.67%5.67%-6.36%-33.44%
2021-0.54%-0.42%0.80%6.88%0.90%5.47%4.38%4.36%-6.63%7.94%4.05%3.52%34.27%
20205.36%-7.94%-8.38%14.38%7.08%8.12%7.91%12.67%-6.72%-4.21%8.85%7.49%49.58%
20198.54%6.18%4.14%6.26%-8.46%9.82%4.99%-1.71%0.76%4.51%4.92%5.32%53.95%
20187.62%-0.01%-4.72%0.56%6.71%-1.56%1.25%6.55%-0.75%-7.73%-2.48%-5.83%-1.76%
20174.40%6.08%2.62%2.42%4.18%-3.19%4.39%4.18%-0.42%7.47%1.09%0.82%39.24%
2016-4.50%2.86%7.65%-4.59%3.38%0.16%8.74%1.36%2.37%-0.95%-1.83%1.66%16.52%
2015-0.19%-2.12%-2.30%

Expense Ratio

November_Option_2 features an expense ratio of 0.34%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.

ROM
ProShares Ultra Technology
Expense ratio chart for ROM: current value at 0.95% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.95%
IUIT.L
iShares S&P 500 Information Technology Sector UCITS ETF
Expense ratio chart for IUIT.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%
XLKQ.L
Invesco US Technology Sector UCITS ETF
Expense ratio chart for XLKQ.L: current value at 0.14% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.14%
SGLP.L
Invesco Physical Gold A
Expense ratio chart for SGLP.L: 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 November_Option_2 is 37, 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 November_Option_2 is 3737
Combined Rank
The Sharpe Ratio Rank of November_Option_2 is 3737Sharpe Ratio Rank
The Sortino Ratio Rank of November_Option_2 is 2929Sortino Ratio Rank
The Omega Ratio Rank of November_Option_2 is 3434Omega Ratio Rank
The Calmar Ratio Rank of November_Option_2 is 5959Calmar Ratio Rank
The Martin Ratio Rank of November_Option_2 is 2626Martin 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.

November_Option_2
Sharpe ratio
The chart of Sharpe ratio for November_Option_2, currently valued at 2.75, compared to the broader market0.002.004.006.002.75
Sortino ratio
The chart of Sortino ratio for November_Option_2, currently valued at 3.42, compared to the broader market-2.000.002.004.006.003.42
Omega ratio
The chart of Omega ratio for November_Option_2, currently valued at 1.48, compared to the broader market0.801.001.201.401.601.802.001.48
Calmar ratio
The chart of Calmar ratio for November_Option_2, currently valued at 3.50, compared to the broader market0.005.0010.0015.003.50
Martin ratio
The chart of Martin ratio for November_Option_2, currently valued at 12.89, compared to the broader market0.0010.0020.0030.0040.0050.0060.0012.89
^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 market0.005.0010.0015.003.17
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
ROM
ProShares Ultra Technology		1.522.001.271.946.22
XLKQ.L
Invesco US Technology Sector UCITS ETF		2.753.481.473.8412.94
SGLP.L
Invesco Physical Gold A		2.963.871.516.9018.50
IUIT.L
iShares S&P 500 Information Technology Sector UCITS ETF		2.513.251.443.4311.49

Sharpe Ratio

The current November_Option_2 Sharpe ratio is 2.75. 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 November_Option_2 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 Ratio1.502.002.503.003.50MayJuneJulyAugustSeptemberOctober
2.75
3.43
November_Option_2
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

November_Option_2 provided a 0.04% dividend yield over the last twelve months.

TTM20232022202120202019201820172016201520142013
November_Option_20.04%0.00%0.00%0.00%0.01%0.04%0.07%0.02%0.05%0.03%0.06%0.01%
Portfolio components:
ROM
ProShares Ultra Technology		0.16%0.01%0.00%0.00%0.05%0.16%0.30%0.08%0.20%0.12%0.24%0.03%
XLKQ.L
Invesco US Technology Sector 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%
SGLP.L
Invesco Physical Gold A		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
IUIT.L
iShares S&P 500 Information Technology Sector 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.

-15.00%-10.00%-5.00%0.00%MayJuneJulyAugustSeptemberOctober0
-0.54%
November_Option_2
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the November_Option_2. 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 November_Option_2 was 37.70%, occurring on Nov 3, 2022. Recovery took 180 trading sessions.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-37.7%Jan 4, 2022217Nov 3, 2022180Jul 19, 2023397
-31.36%Feb 20, 202023Mar 23, 202053Jun 8, 202076
-20.67%Aug 30, 201883Dec 24, 201857Mar 15, 2019140
-15.29%Jul 11, 202418Aug 5, 202450Oct 14, 202468
-14.1%Sep 3, 202013Sep 21, 202063Dec 17, 202076

Volatility

Volatility Chart

The current November_Option_2 volatility is 4.13%, 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%4.00%6.00%8.00%10.00%MayJuneJulyAugustSeptemberOctober
4.13%
2.71%
November_Option_2
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.
SGLP.LROMIUIT.LXLKQ.L
SGLP.L1.000.04-0.030.04
ROM0.041.000.600.61
IUIT.L-0.030.601.000.94
XLKQ.L0.040.610.941.00
The correlation results are calculated based on daily price changes starting from Nov 24, 2015