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My Portfolio - Recession (2024)

Last updated Mar 2, 2024

Equity 80%: Of which up to 100% in Europe/ China/ India if in early/ mid cycle, else in Bond; Bond 20%: Of which 90% in Investment grade corporate LT bonds, 10% in UST/ MM Bond

Asset Allocation


IGLB 54%FLOT 6%CNYA 20%MCHI 20%BondBondEquityEquity
PositionCategory/SectorWeight
IGLB
iShares 10+ Year Investment Grade Corporate Bond ETF
Corporate Bonds

54%

FLOT
iShares Floating Rate Bond ETF
Corporate Bonds

6%

CNYA
iShares MSCI China A ETF
China Equities

20%

MCHI
iShares MSCI China ETF
China Equities

20%

S&P 500

Performance

The chart shows the growth of an initial investment of $10,000 in My Portfolio - Recession (2024), 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%50.00%100.00%150.00%OctoberNovemberDecember2024FebruaryMarch
18.84%
147.99%
My Portfolio - Recession (2024)
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jun 15, 2016, corresponding to the inception date of CNYA

Returns


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
7.70%6.01%13.76%29.03%12.89%10.63%
My Portfolio - Recession (2024)-1.56%3.45%0.09%-4.34%-0.20%N/A
CNYA
iShares MSCI China A ETF
1.55%13.65%-5.78%-18.11%-0.15%N/A
MCHI
iShares MSCI China ETF
-2.72%9.96%-11.51%-18.85%-7.17%0.53%
IGLB
iShares 10+ Year Investment Grade Corporate Bond ETF
-2.61%-1.84%6.03%5.37%1.34%2.91%
FLOT
iShares Floating Rate Bond ETF
1.39%0.63%3.40%6.31%2.61%1.94%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
2024-3.94%1.53%
2023-4.78%-3.88%-3.66%6.45%3.19%

Sharpe Ratio

The current My Portfolio - Recession (2024) Sharpe ratio is -0.27. A negative Sharpe ratio means that the risk-free rate is higher than the portfolio's return. This value does not convey any meaningful information.

0.002.004.00-0.27

The Sharpe ratio of My Portfolio - Recession (2024) is in the bottom 25%, suggesting that this portfolio isn't performing as well in terms of risk-adjusted returns compared to many others. This could be due to lower returns, higher volatility, or both. It might be an indication that the portfolio needs fine-tuning.


Rolling 12-month Sharpe Ratio-1.000.001.002.00OctoberNovemberDecember2024FebruaryMarch
-0.27
2.44
My Portfolio - Recession (2024)
Benchmark (^GSPC)
Portfolio components

Dividend yield

My Portfolio - Recession (2024) granted a 4.49% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
My Portfolio - Recession (2024)4.49%4.36%3.55%2.16%2.23%2.71%3.71%2.72%2.94%3.05%2.72%3.24%
CNYA
iShares MSCI China A ETF
4.16%4.23%2.69%1.11%1.06%1.21%3.92%0.97%1.38%0.00%0.00%0.00%
MCHI
iShares MSCI China ETF
3.59%3.49%2.14%1.03%1.03%1.44%1.58%1.54%1.64%2.76%2.35%2.37%
IGLB
iShares 10+ Year Investment Grade Corporate Bond ETF
4.80%4.59%4.56%3.16%3.22%3.73%4.56%3.94%4.21%4.58%4.12%5.08%
FLOT
iShares Floating Rate Bond ETF
5.78%5.66%2.06%0.43%1.25%2.78%2.41%1.46%0.97%0.53%0.44%0.47%

Expense Ratio

The My Portfolio - Recession (2024) 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.


0.50%1.00%1.50%2.00%0.60%
0.50%1.00%1.50%2.00%0.59%
0.50%1.00%1.50%2.00%0.20%

Risk-Adjusted Performance

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.


Sharpe ratioSortino ratioOmega ratioCalmar ratioUlcer Index
^GSPC
S&P 500
2.44
My Portfolio - Recession (2024)
-0.27
CNYA
iShares MSCI China A ETF
-1.03
MCHI
iShares MSCI China ETF
-0.69
IGLB
iShares 10+ Year Investment Grade Corporate Bond ETF
0.55
FLOT
iShares Floating Rate Bond ETF
2.50

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

IGLBFLOTCNYAMCHI
IGLB1.000.110.070.09
FLOT0.111.000.090.11
CNYA0.070.091.000.73
MCHI0.090.110.731.00

Drawdowns Chart

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


-40.00%-30.00%-20.00%-10.00%0.00%OctoberNovemberDecember2024FebruaryMarch
-30.39%
0
My Portfolio - Recession (2024)
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the My Portfolio - Recession (2024). 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 My Portfolio - Recession (2024) was 38.88%, occurring on Oct 24, 2022. The portfolio has not yet recovered.

The current My Portfolio - Recession (2024) drawdown is 30.39%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-38.88%Feb 18, 2021425Oct 24, 2022
-21.54%Mar 9, 20209Mar 19, 202066Jun 23, 202075
-18.36%Jan 29, 2018191Oct 29, 2018254Nov 1, 2019445
-7.51%Sep 7, 201676Dec 22, 201699May 17, 2017175
-4.32%Aug 7, 202035Sep 25, 202028Nov 4, 202063

Volatility Chart

The current My Portfolio - Recession (2024) volatility is 3.96%, 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%OctoberNovemberDecember2024FebruaryMarch
3.96%
3.47%
My Portfolio - Recession (2024)
Benchmark (^GSPC)
Portfolio components
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