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model
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


IMID.L 25%JPGL.L 20%XDEM.DE 15%ZPRX.DE 13%ZPRV.DE 7%NTSX 20%EquityEquityMulti-AssetMulti-Asset
PositionCategory/SectorWeight
IMID.L
SPDR MSCI ACWI IMI
Global Equities

25%

JPGL.L
JPM Global Equity Multi-Factor UCITS ETF USD Acc
Global Equities

20%

NTSX
WisdomTree U.S. Efficient Core Fund
Diversified Portfolio, Actively Managed

20%

XDEM.DE
Xtrackers MSCI World Momentum Factor UCITS ETF 1C
Global Equities

15%

ZPRV.DE
SPDR MSCI USA Small Cap Value Weighted UCITS ETF
Small Cap Value Equities

7%

ZPRX.DE
SPDR MSCI Europe Small Cap Value Weighted UCITS ETF
Europe Equities

13%

S&P 500

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in model, 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%NovemberDecember2024FebruaryMarchApril
20.79%
19.37%
model
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jul 16, 2019, corresponding to the inception date of JPGL.L

Returns By Period


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
6.30%-3.13%19.37%22.56%11.65%10.55%
model4.74%-2.70%20.79%16.35%N/AN/A
JPGL.L
JPM Global Equity Multi-Factor UCITS ETF USD Acc
4.20%-1.83%17.87%12.50%N/AN/A
XDEM.DE
Xtrackers MSCI World Momentum Factor UCITS ETF 1C
15.62%-4.28%30.31%26.27%12.15%N/A
ZPRX.DE
SPDR MSCI Europe Small Cap Value Weighted UCITS ETF
-0.55%0.16%20.25%6.22%6.38%N/A
ZPRV.DE
SPDR MSCI USA Small Cap Value Weighted UCITS ETF
-2.54%-2.32%21.03%18.60%11.39%N/A
NTSX
WisdomTree U.S. Efficient Core Fund
3.79%-4.24%19.14%16.89%10.30%N/A
IMID.L
SPDR MSCI ACWI IMI
4.06%-2.66%18.48%17.37%9.35%8.32%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
20240.84%3.30%3.77%
2023-4.28%-3.80%9.33%6.40%

Expense Ratio

The model has a high expense ratio of 0.28%, indicating higher-than-average management fees. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


Expense ratio chart for IMID.L: 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%
Expense ratio chart for ZPRX.DE: 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%
Expense ratio chart for ZPRV.DE: 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%
Expense ratio chart for XDEM.DE: 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%
Expense ratio chart for NTSX: 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%
Expense ratio chart for JPGL.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%

Risk-Adjusted Performance

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.


model
Sharpe ratio
The chart of Sharpe ratio for model, currently valued at 1.62, compared to the broader market-1.000.001.002.003.004.005.001.62
Sortino ratio
The chart of Sortino ratio for model, currently valued at 2.44, compared to the broader market0.002.004.006.002.44
Omega ratio
The chart of Omega ratio for model, currently valued at 1.30, compared to the broader market0.801.001.201.401.601.801.30
Calmar ratio
The chart of Calmar ratio for model, currently valued at 1.03, compared to the broader market0.002.004.006.008.001.03
Martin ratio
The chart of Martin ratio for model, currently valued at 5.13, compared to the broader market0.0010.0020.0030.0040.0050.005.13
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.92, compared to the broader market-1.000.001.002.003.004.005.001.92
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.78, compared to the broader market0.002.004.006.002.78
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.33, compared to the broader market0.801.001.201.401.601.801.33
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.47, compared to the broader market0.002.004.006.008.001.47
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 7.64, compared to the broader market0.0010.0020.0030.0040.0050.007.64

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
JPGL.L
JPM Global Equity Multi-Factor UCITS ETF USD Acc
1.352.011.251.204.41
XDEM.DE
Xtrackers MSCI World Momentum Factor UCITS ETF 1C
2.213.211.391.2711.56
ZPRX.DE
SPDR MSCI Europe Small Cap Value Weighted UCITS ETF
0.450.791.090.291.21
ZPRV.DE
SPDR MSCI USA Small Cap Value Weighted UCITS ETF
1.191.901.231.294.21
NTSX
WisdomTree U.S. Efficient Core Fund
1.372.001.240.714.33
IMID.L
SPDR MSCI ACWI IMI
1.612.391.311.295.43

Sharpe Ratio

The current model Sharpe ratio is 1.62. A Sharpe ratio greater than 1.0 is considered acceptable.

-1.000.001.002.003.004.005.001.62

The Sharpe ratio of model lies between the 25th and 75th percentiles. It indicates that the portfolio's 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.


Rolling 12-month Sharpe Ratio0.501.001.502.002.503.00NovemberDecember2024FebruaryMarchApril
1.62
1.92
model
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

model granted a 0.24% dividend yield in the last twelve months.


TTM2023202220212020201920182017201620152014
model0.24%0.24%0.27%0.16%0.18%0.31%0.12%0.00%0.00%0.00%0.09%
JPGL.L
JPM Global Equity Multi-Factor 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%
XDEM.DE
Xtrackers MSCI World Momentum Factor UCITS ETF 1C
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.63%
ZPRX.DE
SPDR MSCI Europe Small Cap Value Weighted UCITS ETF
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
ZPRV.DE
SPDR MSCI USA Small Cap Value Weighted UCITS ETF
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
NTSX
WisdomTree U.S. Efficient Core Fund
1.18%1.21%1.36%0.82%0.92%1.53%0.62%0.00%0.00%0.00%0.00%
IMID.L
SPDR MSCI ACWI IMI
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.


-15.00%-10.00%-5.00%0.00%NovemberDecember2024FebruaryMarchApril
-3.13%
-3.50%
model
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the model. 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 model was 35.04%, occurring on Mar 23, 2020. Recovery took 113 trading sessions.

The current model drawdown is 3.13%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-35.04%Feb 20, 202023Mar 23, 2020113Aug 28, 2020136
-26.86%Nov 9, 2021241Oct 12, 2022348Feb 16, 2024589
-7.16%Sep 3, 202016Sep 24, 202012Oct 12, 202028
-7.15%Oct 13, 202014Oct 30, 20206Nov 9, 202020
-5.59%Jul 29, 201914Aug 15, 201921Sep 13, 201935

Volatility

Volatility Chart

The current model volatility is 3.01%, 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%4.50%5.00%NovemberDecember2024FebruaryMarchApril
3.01%
3.58%
model
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.

NTSXZPRV.DEXDEM.DEZPRX.DEJPGL.LIMID.L
NTSX1.000.420.530.460.460.52
ZPRV.DE0.421.000.610.770.780.74
XDEM.DE0.530.611.000.660.730.81
ZPRX.DE0.460.770.661.000.760.77
JPGL.L0.460.780.730.761.000.91
IMID.L0.520.740.810.770.911.00