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

Patxi

Last updated Jul 22, 2024

Mi portfolio en Enero 2024

Asset Allocation

IGLO.L 24%CMR.TO 12.6%SGLN.L 15%CMFP.L 9.6%PHPP.L 5%VT 9.6%VEURX 9.6%VDPG.L 9.6%IEUS 5%BondBondCommodityCommodityEquityEquity
PositionCategory/SectorWeight
CMFP.L
L&G Longer Dated All Commodities UCITS ETF		Commodities

9.60%

CMR.TO
iShares Premium Money Market ETF		Money Market

12.60%

IEUS
iShares MSCI Europe Small-Cap ETF		Europe Equities

5%

IGLO.L
iShares Global Government Bond UCITS		Global Bonds

24%

PHPP.L
WisdomTree Physical Precious Metals		Precious Metals

5%

SGLN.L
iShares Physical Gold ETC		Precious Metals, Commodities

15%

VDPG.L
Vanguard FTSE Developed Asia Pacific ex Japan UCITS ETF Acc		Asia Pacific Equities

9.60%

VEURX
Vanguard European Stock Index Fund		Europe Equities

9.60%

VT
Vanguard Total World Stock ETF		Large Cap Growth Equities

9.60%

S&P 500

Performance

Performance Chart

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

20.00%40.00%60.00%80.00%100.00%FebruaryMarchAprilMayJuneJuly
29.20%
86.58%
Patxi
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Sep 26, 2019, corresponding to the inception date of VDPG.L

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		16.48%1.67%14.21%21.98%13.13%10.91%
Patxi4.69%0.82%7.33%6.83%N/AN/A
Portfolio components:
VT
Vanguard Total World Stock ETF		11.87%1.34%11.60%16.70%10.86%8.58%
VEURX
Vanguard European Stock Index Fund		7.72%0.80%10.23%11.00%7.74%4.58%
VDPG.L
Vanguard FTSE Developed Asia Pacific ex Japan UCITS ETF Acc		1.75%1.28%7.47%3.64%N/AN/A
IEUS
iShares MSCI Europe Small-Cap ETF		5.80%1.78%10.42%9.62%5.90%5.22%
SGLN.L
iShares Physical Gold ETC		16.35%3.29%19.47%21.91%10.22%9.07%
PHPP.L
WisdomTree Physical Precious Metals		10.39%0.25%16.36%9.97%5.33%6.29%
CMFP.L
L&G Longer Dated All Commodities UCITS ETF		2.75%-3.53%3.58%-3.12%9.28%3.87%
CMR.TO
iShares Premium Money Market ETF		-1.21%-0.56%0.54%0.38%2.08%1.45%
IGLO.L
iShares Global Government Bond UCITS		-2.66%1.29%-0.16%-0.54%-3.02%-1.12%

Monthly Returns

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

JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-1.67%0.24%3.42%-0.72%2.54%-0.30%4.69%
20234.72%-4.09%3.44%1.04%-2.42%1.28%2.47%-2.35%-3.17%-0.57%4.77%3.82%8.71%
2022-1.63%0.78%1.18%-3.93%-0.12%-5.73%2.39%-3.77%-6.33%1.27%7.70%-0.28%-8.91%
2021-0.71%-0.29%0.19%3.64%3.17%-2.17%1.46%-0.09%-2.76%2.09%-2.43%2.46%4.38%
2020-0.50%-2.60%-6.62%4.21%2.18%2.89%4.99%2.88%-2.22%-1.27%5.15%4.97%14.09%
2019-0.48%2.20%-0.50%3.41%4.64%

Expense Ratio

Patxi has an expense ratio of 0.18%, 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.

PHPP.L
WisdomTree Physical Precious Metals
Expense ratio chart for PHPP.L: current value at 0.44% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.44%
IEUS
iShares MSCI Europe Small-Cap ETF
Expense ratio chart for IEUS: current value at 0.40% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.40%
CMFP.L
L&G Longer Dated All Commodities UCITS ETF
Expense ratio chart for CMFP.L: current value at 0.30% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.30%
VEURX
Vanguard European Stock Index Fund
Expense ratio chart for VEURX: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%
IGLO.L
iShares Global Government Bond UCITS
Expense ratio chart for IGLO.L: 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%
VDPG.L
Vanguard FTSE Developed Asia Pacific ex Japan UCITS ETF Acc
Expense ratio chart for VDPG.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%
CMR.TO
iShares Premium Money Market ETF
Expense ratio chart for CMR.TO: 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%
VT
Vanguard Total World Stock ETF
Expense ratio chart for VT: current value at 0.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.07%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Patxi is 16, indicating that it is in the bottom 16% 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 Patxi is 1616
Patxi
The Sharpe Ratio Rank of Patxi is 1616Sharpe Ratio Rank
The Sortino Ratio Rank of Patxi is 1515Sortino Ratio Rank
The Omega Ratio Rank of Patxi is 1616Omega Ratio Rank
The Calmar Ratio Rank of Patxi is 1616Calmar Ratio Rank
The Martin Ratio Rank of Patxi is 1414Martin 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.

Patxi
Sharpe ratio
The chart of Sharpe ratio for Patxi, currently valued at 1.02, compared to the broader market-1.000.001.002.003.004.001.02
Sortino ratio
The chart of Sortino ratio for Patxi, currently valued at 1.52, compared to the broader market-2.000.002.004.006.001.52
Omega ratio
The chart of Omega ratio for Patxi, currently valued at 1.19, compared to the broader market0.801.001.201.401.601.801.19
Calmar ratio
The chart of Calmar ratio for Patxi, currently valued at 0.66, compared to the broader market0.002.004.006.008.0010.000.66
Martin ratio
The chart of Martin ratio for Patxi, currently valued at 3.71, compared to the broader market0.0010.0020.0030.0040.003.71
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.99, compared to the broader market-1.000.001.002.003.004.001.99
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.81, compared to the broader market-2.000.002.004.006.002.81
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.35, compared to the broader market0.801.001.201.401.601.801.35
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.59, compared to the broader market0.002.004.006.008.0010.001.59
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 7.44, compared to the broader market0.0010.0020.0030.0040.007.44
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
VT
Vanguard Total World Stock ETF		1.512.191.271.116.29
VEURX
Vanguard European Stock Index Fund		0.951.431.170.753.37
VDPG.L
Vanguard FTSE Developed Asia Pacific ex Japan UCITS ETF Acc		0.260.491.060.160.88
IEUS
iShares MSCI Europe Small-Cap ETF		0.651.041.120.312.08
SGLN.L
iShares Physical Gold ETC		1.702.471.311.969.11
PHPP.L
WisdomTree Physical Precious Metals		0.721.141.140.402.82
CMFP.L
L&G Longer Dated All Commodities UCITS ETF		-0.14-0.120.99-0.07-0.37
CMR.TO
iShares Premium Money Market ETF		0.230.361.040.130.81
IGLO.L
iShares Global Government Bond UCITS		0.150.271.030.040.31

Sharpe Ratio

The current Patxi Sharpe ratio is 0.92. 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 1.33 to 2.10, 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 Patxi 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 Ratio0.000.501.001.502.002.503.00FebruaryMarchAprilMayJuneJuly
1.02
1.99
Patxi
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Patxi granted a 1.84% dividend yield in the last twelve months.

TTM20232022202120202019201820172016201520142013
Patxi1.84%1.57%1.05%0.74%0.71%1.22%1.19%0.85%0.99%0.84%1.24%1.01%
Portfolio components:
VT
Vanguard Total World Stock ETF		1.93%2.08%2.20%1.82%1.66%2.32%2.53%2.11%2.39%2.45%2.44%2.06%
VEURX
Vanguard European Stock Index Fund		2.97%3.00%3.07%2.90%1.97%3.14%3.77%2.55%3.35%3.09%4.46%2.65%
VDPG.L
Vanguard FTSE Developed Asia Pacific ex Japan UCITS ETF Acc		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
IEUS
iShares MSCI Europe Small-Cap ETF		3.10%2.97%3.00%2.62%1.21%4.03%3.20%2.12%2.47%2.06%2.37%2.50%
SGLN.L
iShares Physical Gold ETC		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
PHPP.L
WisdomTree Physical Precious Metals		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
CMFP.L
L&G Longer Dated All Commodities 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%
CMR.TO
iShares Premium Money Market ETF		4.89%4.64%1.62%0.00%0.47%1.60%1.33%0.61%0.43%0.48%0.77%0.81%
IGLO.L
iShares Global Government Bond UCITS		2.49%1.47%0.78%0.63%0.99%1.21%1.07%0.93%1.09%0.60%1.52%1.39%

Drawdowns

Drawdowns Chart

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

-6.00%-5.00%-4.00%-3.00%-2.00%-1.00%0.00%FebruaryMarchAprilMayJuneJuly
-1.52%
-1.97%
Patxi
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Patxi. 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 Patxi was 19.08%, occurring on Sep 27, 2022. Recovery took 394 trading sessions.

The current Patxi drawdown is 1.50%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-19.08%Jun 11, 2021337Sep 27, 2022394Apr 9, 2024731
-18.01%Jan 21, 202042Mar 18, 202084Jul 15, 2020126
-3.98%Sep 3, 202016Sep 24, 202030Nov 5, 202046
-2.86%Feb 25, 20218Mar 8, 202126Apr 14, 202134
-2.46%May 22, 202426Jun 26, 202411Jul 11, 202437

Volatility

Volatility Chart

The current Patxi volatility is 2.23%, 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.

1.50%2.00%2.50%3.00%3.50%4.00%FebruaryMarchAprilMayJuneJuly
2.23%
2.94%
Patxi
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.
IGLO.LSGLN.LCMFP.LPHPP.LCMR.TOVTVDPG.LIEUSVEURX
IGLO.L1.000.420.060.330.170.110.180.180.17
SGLN.L0.421.000.430.720.280.150.250.200.19
CMFP.L0.060.431.000.510.420.300.430.310.32
PHPP.L0.330.720.511.000.360.250.390.300.29
CMR.TO0.170.280.420.361.000.600.580.620.62
VT0.110.150.300.250.601.000.660.820.87
VDPG.L0.180.250.430.390.580.661.000.660.70
IEUS0.180.200.310.300.620.820.661.000.92
VEURX0.170.190.320.290.620.870.700.921.00
The correlation results are calculated based on daily price changes starting from Sep 27, 2019