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1
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


GPSA.L 50%SAEU.L 40%SEGM.L 10%EquityEquity
PositionCategory/SectorWeight
GPSA.L
iShares MSCI USA ESG Screened UCITS ETF USD (Acc)
Large Cap Blend Equities
50%
SAEU.L
iShares MSCI Europe ESG Screened UCITS ETF EUR (Acc)
Europe Equities
40%
SEGM.L
iShares MSCI EM IMI ESG Screened UCITS ETF USD (Acc)
Emerging Markets Equities
10%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in 1, 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%MayJuneJulyAugustSeptemberOctober
11.68%
15.83%
1
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Oct 23, 2018, corresponding to the inception date of SAEU.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%
116.65%-1.17%11.69%35.83%8.46%N/A
GPSA.L
iShares MSCI USA ESG Screened UCITS ETF USD (Acc)
23.74%2.05%16.62%44.79%10.38%N/A
SAEU.L
iShares MSCI Europe ESG Screened UCITS ETF EUR (Acc)
8.68%-4.70%5.87%27.18%7.69%N/A
SEGM.L
iShares MSCI EM IMI ESG Screened UCITS ETF USD (Acc)
13.92%-3.10%10.65%26.86%-0.38%N/A

Monthly Returns

The table below presents the monthly returns of 1, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20240.28%3.55%3.40%-2.74%3.68%2.61%1.26%2.03%2.03%16.65%
20236.90%-2.19%3.15%2.43%-1.21%5.63%3.36%-2.67%-4.16%-3.59%9.79%5.75%24.41%
2022-5.92%-2.81%1.93%-6.98%-1.22%-8.46%6.15%-4.29%-8.08%4.70%8.46%-2.18%-18.67%
2021-0.53%2.03%2.99%4.83%2.26%0.86%1.40%2.21%-4.08%4.74%-2.01%4.16%20.09%
2020-2.05%-8.68%-11.59%8.61%4.14%4.18%5.00%6.82%-3.21%-3.57%12.48%5.35%15.59%
20198.99%3.76%0.25%3.86%-7.81%6.96%-2.83%-2.37%3.04%6.34%-11.71%3.90%10.74%
2018-1.32%1.20%-6.51%-6.63%

Expense Ratio

1 has an expense ratio of 0.10%, 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.


Expense ratio chart for SEGM.L: current value at 0.18% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.18%
Expense ratio chart for SAEU.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%
Expense ratio chart for GPSA.L: 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 1 is 18, indicating that it is in the bottom 18% 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 1 is 1818
Combined Rank
The Sharpe Ratio Rank of 1 is 77Sharpe Ratio Rank
The Sortino Ratio Rank of 1 is 77Sortino Ratio Rank
The Omega Ratio Rank of 1 is 3939Omega Ratio Rank
The Calmar Ratio Rank of 1 is 3131Calmar Ratio Rank
The Martin Ratio Rank of 1 is 77Martin 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.


1
Sharpe ratio
The chart of Sharpe ratio for 1, currently valued at 1.27, compared to the broader market0.002.004.006.001.27
Sortino ratio
The chart of Sortino ratio for 1, currently valued at 1.96, compared to the broader market-2.000.002.004.006.001.96
Omega ratio
The chart of Omega ratio for 1, currently valued at 1.50, compared to the broader market0.801.001.201.401.601.802.001.50
Calmar ratio
The chart of Calmar ratio for 1, currently valued at 2.21, compared to the broader market0.005.0010.002.21
Martin ratio
The chart of Martin ratio for 1, currently valued at 5.12, compared to the broader market0.0010.0020.0030.0040.0050.0060.005.12
^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 market0.005.0010.003.17
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
GPSA.L
iShares MSCI USA ESG Screened UCITS ETF USD (Acc)
1.332.031.582.295.23
SAEU.L
iShares MSCI Europe ESG Screened UCITS ETF EUR (Acc)
1.251.941.332.036.27
SEGM.L
iShares MSCI EM IMI ESG Screened UCITS ETF USD (Acc)
0.861.431.320.932.21

Sharpe Ratio

The current 1 Sharpe ratio is 1.27. 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 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 1 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 Ratio0.001.002.003.004.00MayJuneJulyAugustSeptemberOctober
1.27
3.43
1
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield


1 doesn't pay dividends

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%MayJuneJulyAugustSeptemberOctober
-1.17%
-0.54%
1
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the 1. 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 1 was 37.96%, occurring on Mar 18, 2020. Recovery took 179 trading sessions.

The current 1 drawdown is 1.17%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-37.96%Nov 19, 201984Mar 18, 2020179Dec 1, 2020263
-29.08%Jan 6, 2022192Oct 11, 2022282Nov 16, 2023474
-16.01%Nov 17, 20231Nov 17, 2023156Jul 3, 2024157
-13.44%Nov 8, 201833Dec 24, 201838Feb 19, 201971
-10.01%May 7, 201972Aug 15, 201944Oct 17, 2019116

Volatility

Volatility Chart

The current 1 volatility is 2.14%, 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%MayJuneJulyAugustSeptemberOctober
2.14%
2.71%
1
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.

SEGM.LGPSA.LSAEU.L
SEGM.L1.000.670.68
GPSA.L0.671.000.72
SAEU.L0.680.721.00
The correlation results are calculated based on daily price changes starting from Oct 24, 2018