PortfoliosLab logo
Tools
Performance Analysis
Risk Analysis
Optimization
Factor Model
See All Tools
Portfolio Analysis
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
Kauf 17.02.2024
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


IITU.L 14.29%LYPG.DE 14.29%SXLK.AS 14.29%WTCH.AS 14.29%XDWT.DE 14.29%XLKQ.L 14.29%XSTC.L 14.29%EquityEquity
PositionCategory/SectorWeight
IITU.L
iShares S&P 500 USD Information Technology Sector UCITS
Technology Equities

14.29%

LYPG.DE
Amundi MSCI World Information Technology UCITS ETF EUR Acc
Technology Equities

14.29%

SXLK.AS
SPDR S&P U.S. Technology Select Sector UCITS ETF
Technology Equities

14.29%

WTCH.AS
SPDR MSCI World Technology UCITS ETF
Technology Equities

14.29%

XDWT.DE
Xtrackers MSCI World Information Technology UCITS ETF 1C
Technology Equities

14.29%

XLKQ.L
Invesco US Technology Sector UCITS ETF
Technology Equities

14.29%

XSTC.L
Xtrackers MSCI USA Information Technology UCITS ETF 1D
Technology Equities

14.29%

S&P 500

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Kauf 17.02.2024, 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


50.00%100.00%150.00%200.00%250.00%NovemberDecember2024FebruaryMarchApril
214.21%
88.32%
Kauf 17.02.2024
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Dec 10, 2018, corresponding to the inception date of SXLK.AS

Returns By Period


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
4.14%-4.93%17.59%20.28%11.33%10.22%
Kauf 17.02.20244.41%-8.06%23.26%36.39%20.98%N/A
IITU.L
iShares S&P 500 USD Information Technology Sector UCITS
5.26%-8.09%23.84%39.54%21.28%N/A
LYPG.DE
Amundi MSCI World Information Technology UCITS ETF EUR Acc
3.80%-8.18%22.91%33.59%18.29%23.04%
SXLK.AS
SPDR S&P U.S. Technology Select Sector UCITS ETF
1.42%-7.36%18.74%32.03%26.49%N/A
WTCH.AS
SPDR MSCI World Technology UCITS ETF
4.79%-8.10%23.51%34.27%18.64%N/A
XDWT.DE
Xtrackers MSCI World Information Technology UCITS ETF 1C
4.01%-8.05%23.50%34.42%18.68%N/A
XLKQ.L
Invesco US Technology Sector UCITS ETF
7.16%-8.30%26.88%44.19%21.96%23.89%
XSTC.L
Xtrackers MSCI USA Information Technology UCITS ETF 1D
4.44%-8.32%23.41%36.87%20.20%N/A

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
20243.99%5.29%2.37%
2023-6.43%-1.69%13.09%5.10%

Expense Ratio

The Kauf 17.02.2024 has a high expense ratio of 0.20%, 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%0.30%
0.50%1.00%1.50%2.00%0.30%
0.50%1.00%1.50%2.00%0.15%
0.50%1.00%1.50%2.00%0.14%

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.


Kauf 17.02.2024
Sharpe ratio
The chart of Sharpe ratio for Kauf 17.02.2024, currently valued at 2.21, compared to the broader market-1.000.001.002.003.004.002.21
Sortino ratio
The chart of Sortino ratio for Kauf 17.02.2024, currently valued at 3.05, compared to the broader market-2.000.002.004.006.003.05
Omega ratio
The chart of Omega ratio for Kauf 17.02.2024, currently valued at 1.38, compared to the broader market0.801.001.201.401.601.801.38
Calmar ratio
The chart of Calmar ratio for Kauf 17.02.2024, currently valued at 1.99, compared to the broader market0.002.004.006.008.001.99
Martin ratio
The chart of Martin ratio for Kauf 17.02.2024, currently valued at 9.00, compared to the broader market0.0010.0020.0030.0040.009.00
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.66, compared to the broader market-1.000.001.002.003.004.001.66
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.44, compared to the broader market-2.000.002.004.006.002.44
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.29, compared to the broader market0.801.001.201.401.601.801.29
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.27, compared to the broader market0.002.004.006.008.001.27
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 6.65, compared to the broader market0.0010.0020.0030.0040.006.65

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
IITU.L
iShares S&P 500 USD Information Technology Sector UCITS
2.233.111.392.579.88
LYPG.DE
Amundi MSCI World Information Technology UCITS ETF EUR Acc
2.082.881.351.827.97
SXLK.AS
SPDR S&P U.S. Technology Select Sector UCITS ETF
2.072.901.361.288.70
WTCH.AS
SPDR MSCI World Technology UCITS ETF
2.122.901.361.898.18
XDWT.DE
Xtrackers MSCI World Information Technology UCITS ETF 1C
2.132.971.371.918.24
XLKQ.L
Invesco US Technology Sector UCITS ETF
2.423.361.422.7511.20
XSTC.L
Xtrackers MSCI USA Information Technology UCITS ETF 1D
2.132.961.362.128.95

Sharpe Ratio

The current Kauf 17.02.2024 Sharpe ratio is 2.21. A Sharpe ratio higher than 2.0 is considered very good.

-1.000.001.002.003.004.002.21

The Sharpe ratio of Kauf 17.02.2024 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.


Rolling 12-month Sharpe Ratio0.001.002.003.004.00NovemberDecember2024FebruaryMarchApril
2.21
1.66
Kauf 17.02.2024
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Kauf 17.02.2024 granted a 0.00% dividend yield in the last twelve months.


Kauf 17.02.2024 doesn't pay dividends

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
-8.89%
-5.46%
Kauf 17.02.2024
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Kauf 17.02.2024. 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 Kauf 17.02.2024 was 36.02%, occurring on Oct 11, 2022. Recovery took 281 trading sessions.

The current Kauf 17.02.2024 drawdown is 8.89%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-36.02%Dec 31, 2021201Oct 11, 2022281Nov 14, 2023482
-31.74%Feb 20, 202023Mar 23, 202054Jun 9, 202077
-11.96%Sep 3, 202013Sep 21, 202051Dec 1, 202064
-10.92%Feb 16, 202114Mar 5, 202123Apr 9, 202137
-10.85%Dec 13, 20188Dec 24, 201827Feb 4, 201935

Volatility

Volatility Chart

The current Kauf 17.02.2024 volatility is 4.77%, 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%7.00%NovemberDecember2024FebruaryMarchApril
4.77%
3.15%
Kauf 17.02.2024
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.

SXLK.ASXDWT.DEIITU.LXLKQ.LXSTC.LLYPG.DEWTCH.AS
SXLK.AS1.000.800.770.770.770.800.81
XDWT.DE0.801.000.930.930.930.990.97
IITU.L0.770.931.000.990.990.940.94
XLKQ.L0.770.930.991.000.990.940.94
XSTC.L0.770.930.990.991.000.940.94
LYPG.DE0.800.990.940.940.941.000.97
WTCH.AS0.810.970.940.940.940.971.00