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Correlation 3 2.65
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Correlation 3 2.65

Last updated Sep 21, 2024

Asset Allocation

SGLN.L 8%XDEQ.L 50%MVUS.L 15%FRIN.L 7%IITU.L 7%CSJP.L 4%XREP.L 9%CommodityCommodityEquityEquityReal EstateReal Estate
PositionCategory/SectorWeight
CSJP.L
iShares MSCI Japan UCITS ETF USD (Acc)		Japan Equities
4%
FRIN.L
Franklin FTSE India UCITS ETF		Asia Pacific Equities
7%
IITU.L
iShares S&P 500 USD Information Technology Sector UCITS		Technology Equities
7%
MVUS.L
iShares Edge S&P 500 Minimum Volatility UCITS ETF		Large Cap Blend Equities
15%
SGLN.L
iShares Physical Gold ETC		Precious Metals, Commodities
8%
XDEQ.L
Xtrackers MSCI World Quality Factor UCITS ETF 1C		Global Equities
50%
XREP.L
Invesco Real Estate S&P US Select Sector UCITS ETF GBP		REIT
9%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Correlation 3 2.65, 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
10.31%
8.95%
Correlation 3 2.65
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Oct 17, 2022, corresponding to the inception date of XREP.L

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%
Correlation 3 2.6519.70%1.91%10.31%33.07%N/AN/A
Portfolio components:
FRIN.L
Franklin FTSE India UCITS ETF		23.08%3.40%17.48%36.39%13.78%N/A
XDEQ.L
Xtrackers MSCI World Quality Factor UCITS ETF 1C		18.47%0.51%7.14%32.39%11.85%N/A
IITU.L
iShares S&P 500 USD Information Technology Sector UCITS		28.14%-0.27%11.88%49.11%24.04%N/A
SGLN.L
iShares Physical Gold ETC		26.85%5.80%20.35%35.99%10.17%9.93%
CSJP.L
iShares MSCI Japan UCITS ETF USD (Acc)		12.08%0.75%-0.31%17.75%5.02%8.10%
MVUS.L
iShares Edge S&P 500 Minimum Volatility UCITS ETF		20.06%2.70%10.46%28.36%9.25%13.40%
XREP.L
Invesco Real Estate S&P US Select Sector UCITS ETF GBP		11.64%5.54%16.07%31.05%N/AN/A

Monthly Returns

The table below presents the monthly returns of Correlation 3 2.65, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20241.46%3.56%3.21%-2.47%3.11%3.93%1.41%2.55%19.70%
20234.62%-3.32%3.77%2.20%0.11%4.53%2.73%-1.17%-4.39%-1.51%8.12%5.52%22.44%
20224.65%6.24%-2.15%8.78%

Expense Ratio

Correlation 3 2.65 has an expense ratio of 0.21%, 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.

CSJP.L
iShares MSCI Japan UCITS ETF USD (Acc)
Expense ratio chart for CSJP.L: current value at 0.48% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.48%
XDEQ.L
Xtrackers MSCI World Quality Factor UCITS ETF 1C
Expense ratio chart for XDEQ.L: 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%
MVUS.L
iShares Edge S&P 500 Minimum Volatility UCITS ETF
Expense ratio chart for MVUS.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%
FRIN.L
Franklin FTSE India UCITS ETF
Expense ratio chart for FRIN.L: current value at 0.19% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.19%
IITU.L
iShares S&P 500 USD Information Technology Sector UCITS
Expense ratio chart for IITU.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%
XREP.L
Invesco Real Estate S&P US Select Sector UCITS ETF GBP
Expense ratio chart for XREP.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%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current risk-adjusted rank of Correlation 3 2.65 is 90, placing it in the top 10% 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 Correlation 3 2.65 is 9090
Correlation 3 2.65
The Sharpe Ratio Rank of Correlation 3 2.65 is 9090Sharpe Ratio Rank
The Sortino Ratio Rank of Correlation 3 2.65 is 9393Sortino Ratio Rank
The Omega Ratio Rank of Correlation 3 2.65 is 8989Omega Ratio Rank
The Calmar Ratio Rank of Correlation 3 2.65 is 9090Calmar Ratio Rank
The Martin Ratio Rank of Correlation 3 2.65 is 8888Martin 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.

Correlation 3 2.65
Sharpe ratio
The chart of Sharpe ratio for Correlation 3 2.65, currently valued at 2.94, compared to the broader market-1.000.001.002.003.004.002.94
Sortino ratio
The chart of Sortino ratio for Correlation 3 2.65, currently valued at 4.28, compared to the broader market-2.000.002.004.006.004.28
Omega ratio
The chart of Omega ratio for Correlation 3 2.65, currently valued at 1.52, compared to the broader market0.801.001.201.401.601.801.52
Calmar ratio
The chart of Calmar ratio for Correlation 3 2.65, currently valued at 4.08, compared to the broader market0.002.004.006.008.0010.004.08
Martin ratio
The chart of Martin ratio for Correlation 3 2.65, currently valued at 18.15, compared to the broader market0.0010.0020.0030.0040.0018.15
^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
FRIN.L
Franklin FTSE India UCITS ETF		2.413.051.466.0422.59
XDEQ.L
Xtrackers MSCI World Quality Factor UCITS ETF 1C		2.513.561.443.8413.91
IITU.L
iShares S&P 500 USD Information Technology Sector UCITS		2.302.941.393.2810.55
SGLN.L
iShares Physical Gold ETC		2.463.361.423.2114.68
CSJP.L
iShares MSCI Japan UCITS ETF USD (Acc)		0.981.411.191.354.36
MVUS.L
iShares Edge S&P 500 Minimum Volatility UCITS ETF		2.753.931.503.0618.08
XREP.L
Invesco Real Estate S&P US Select Sector UCITS ETF GBP		1.722.621.321.436.99

Sharpe Ratio

The current Correlation 3 2.65 Sharpe ratio is 2.94. 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 is in the top 25%, it signifies superior risk-adjusted performance. This means that for the level of risk undertaken, the portfolio is generating impressive returns compared to most others.

Use the chart below to compare the Sharpe ratio of Correlation 3 2.65 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 Ratio1.502.002.503.00AprilMayJuneJulyAugustSeptember
2.94
2.32
Correlation 3 2.65
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Correlation 3 2.65 granted a 0.00% dividend yield in the last twelve months.

TTM2023202220212020201920182017201620152014
Correlation 3 2.650.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.26%
Portfolio components:
FRIN.L
Franklin FTSE India UCITS ETF		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
XDEQ.L
Xtrackers MSCI World Quality Factor UCITS ETF 1C		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.51%
IITU.L
iShares S&P 500 USD Information Technology Sector UCITS		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
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%
CSJP.L
iShares MSCI Japan UCITS ETF USD (Acc)		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
MVUS.L
iShares Edge S&P 500 Minimum Volatility UCITS ETF		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
XREP.L
Invesco Real Estate S&P US Select Sector UCITS ETF GBP		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.

-8.00%-6.00%-4.00%-2.00%0.00%AprilMayJuneJulyAugustSeptember
-0.13%
-0.19%
Correlation 3 2.65
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Correlation 3 2.65. 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 Correlation 3 2.65 was 8.10%, occurring on Oct 27, 2023. Recovery took 18 trading sessions.

The current Correlation 3 2.65 drawdown is 0.13%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-8.1%Jul 26, 202367Oct 27, 202318Nov 22, 202385
-6.45%Feb 3, 202329Mar 15, 202322Apr 18, 202351
-5.94%Jul 17, 202414Aug 5, 202411Aug 20, 202425
-5.31%Mar 22, 202423Apr 25, 202414May 16, 202437
-5.15%Dec 15, 20228Dec 28, 202213Jan 17, 202321

Volatility

Volatility Chart

The current Correlation 3 2.65 volatility is 3.59%, 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%AprilMayJuneJulyAugustSeptember
3.59%
4.31%
Correlation 3 2.65
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.
SGLN.LFRIN.LXREP.LIITU.LCSJP.LMVUS.LXDEQ.L
SGLN.L1.000.330.230.120.360.240.24
FRIN.L0.331.000.340.330.470.450.47
XREP.L0.230.341.000.390.420.650.57
IITU.L0.120.330.391.000.480.610.84
CSJP.L0.360.470.420.481.000.480.63
MVUS.L0.240.450.650.610.481.000.82
XDEQ.L0.240.470.570.840.630.821.00
The correlation results are calculated based on daily price changes starting from Oct 18, 2022