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Liber Portfolio

Last updated Mar 2, 2024

Asset Allocation


AGG 10.16%BND 10.12%USD=X 1.82%PBR 17.49%XLE 12.53%PFE 11.02%QCOM 10.62%SQM 9.78%VALE 6.38%BABA 5.04%BIDU 5.04%BondBondCurrencyCurrencyEquityEquity
PositionCategory/SectorWeight
AGG
iShares Core U.S. Aggregate Bond ETF
Total Bond Market

10.16%

BND
Vanguard Total Bond Market ETF
Total Bond Market

10.12%

USD=X
USD Cash

1.82%

PBR
Petróleo Brasileiro S.A. - Petrobras
Energy

17.49%

XLE
Energy Select Sector SPDR Fund
Energy Equities

12.53%

PFE
Pfizer Inc.
Healthcare

11.02%

QCOM
QUALCOMM Incorporated
Technology

10.62%

SQM
Sociedad Química y Minera de Chile S.A.
Basic Materials

9.78%

VALE
Vale S.A.
Basic Materials

6.38%

BABA
Alibaba Group Holding Limited
Consumer Cyclical

5.04%

BIDU
Baidu, Inc.
Communication Services

5.04%

S&P 500

Performance

The chart shows the growth of an initial investment of $10,000 in Liber Portfolio, 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


100.00%110.00%120.00%130.00%140.00%150.00%160.00%170.00%OctoberNovemberDecember2024FebruaryMarch
164.23%
155.53%
Liber Portfolio
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Sep 19, 2014, corresponding to the inception date of BABA

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%
Liber Portfolio-1.22%3.97%1.15%7.46%13.77%N/A
PBR
Petróleo Brasileiro S.A. - Petrobras
4.45%-1.94%19.24%88.76%22.54%15.24%
AGG
iShares Core U.S. Aggregate Bond ETF
-1.15%-0.65%3.33%3.84%0.58%1.48%
XLE
Energy Select Sector SPDR Fund
3.94%4.33%-2.33%3.56%10.77%3.79%
BND
Vanguard Total Bond Market ETF
-1.11%-0.65%3.31%3.94%0.57%1.44%
VALE
Vale S.A.
-14.94%1.50%-0.64%-14.31%9.79%5.62%
QCOM
QUALCOMM Incorporated
13.34%15.69%42.97%35.34%26.43%11.15%
BABA
Alibaba Group Holding Limited
-3.73%3.86%-20.41%-15.69%-15.83%N/A
PFE
Pfizer Inc.
-6.25%-1.26%-23.55%-32.06%-3.84%2.27%
SQM
Sociedad Química y Minera de Chile S.A.
-14.60%26.55%-16.72%-38.05%11.60%10.28%
BIDU
Baidu, Inc.
-12.65%1.20%-28.98%-32.22%-9.09%-4.94%
USD=X
USD Cash
0.00%0.00%0.00%0.00%0.00%0.00%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
2024-3.80%1.38%
2023-4.60%-0.86%-5.17%5.47%5.00%

Sharpe Ratio

The current Liber Portfolio Sharpe ratio is 1.12. A Sharpe ratio greater than 1.0 is considered acceptable.

0.002.004.001.12

The Sharpe ratio of Liber Portfolio 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.


Chart placeholderNot enough data

Dividend yield

Liber Portfolio granted a 6.70% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
Liber Portfolio6.70%6.56%13.68%6.24%2.17%2.53%2.51%1.77%1.75%2.18%3.27%2.07%
PBR
Petróleo Brasileiro S.A. - Petrobras
17.69%18.47%60.50%18.59%2.42%1.53%0.98%0.00%0.00%0.00%6.57%1.91%
AGG
iShares Core U.S. Aggregate Bond ETF
3.29%3.13%2.39%1.77%2.14%2.70%2.96%2.32%2.39%2.45%2.40%2.32%
XLE
Energy Select Sector SPDR Fund
3.42%3.55%3.68%4.21%5.62%5.73%3.54%3.03%2.26%3.39%2.35%1.73%
BND
Vanguard Total Bond Market ETF
3.24%3.09%2.60%1.97%2.22%2.72%2.81%2.54%2.51%2.57%2.79%2.78%
VALE
Vale S.A.
9.11%7.75%8.60%19.68%2.73%2.63%4.12%3.36%0.59%8.56%6.69%5.73%
QCOM
QUALCOMM Incorporated
1.96%2.18%2.67%1.47%1.69%2.81%4.27%3.50%3.17%3.72%2.17%1.75%
BABA
Alibaba Group Holding Limited
1.34%1.29%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
PFE
Pfizer Inc.
6.21%5.70%3.12%2.64%0.77%0.72%0.61%0.69%0.72%0.68%0.65%0.61%
SQM
Sociedad Química y Minera de Chile S.A.
9.95%8.50%9.79%3.91%1.65%4.59%5.41%2.38%5.31%2.37%5.80%3.94%
BIDU
Baidu, Inc.
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
USD=X
USD Cash
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Expense Ratio

The Liber Portfolio has an expense ratio of 0.02% which is considered to be low. 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%0.13%
0.50%1.00%1.50%2.00%0.05%
0.50%1.00%1.50%2.00%0.03%

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
Liber Portfolio
PBR
Petróleo Brasileiro S.A. - Petrobras
2.67
AGG
iShares Core U.S. Aggregate Bond ETF
0.61
XLE
Energy Select Sector SPDR Fund
0.27
BND
Vanguard Total Bond Market ETF
0.64
VALE
Vale S.A.
-0.49
QCOM
QUALCOMM Incorporated
1.17
BABA
Alibaba Group Holding Limited
-0.41
PFE
Pfizer Inc.
-1.34
SQM
Sociedad Química y Minera de Chile S.A.
-0.75
BIDU
Baidu, Inc.
-0.67
USD=X
USD Cash

Asset Correlations Table

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

USD=XAGGPFEBNDQCOMBABASQMBIDUPBRVALEXLE
USD=X0.000.000.000.000.000.000.000.000.000.000.00
AGG0.001.00-0.000.97-0.01-0.03-0.03-0.04-0.05-0.05-0.15
PFE0.00-0.001.00-0.010.250.180.170.170.160.220.27
BND0.000.97-0.011.00-0.03-0.05-0.05-0.06-0.07-0.06-0.18
QCOM0.00-0.010.25-0.031.000.380.340.390.240.310.34
BABA0.00-0.030.18-0.050.381.000.290.650.230.330.25
SQM0.00-0.030.17-0.050.340.291.000.330.380.410.43
BIDU0.00-0.040.17-0.060.390.650.331.000.260.330.27
PBR0.00-0.050.16-0.070.240.230.380.261.000.580.56
VALE0.00-0.050.22-0.060.310.330.410.330.581.000.46
XLE0.00-0.150.27-0.180.340.250.430.270.560.461.00

Drawdowns Chart

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


-15.00%-10.00%-5.00%0.00%OctoberNovemberDecember2024FebruaryMarch
-1.89%
0
Liber Portfolio
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Liber Portfolio. 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 Liber Portfolio was 38.93%, occurring on Feb 11, 2016. Recovery took 150 trading sessions.

The current Liber Portfolio drawdown is 1.89%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-38.93%Sep 22, 2014365Feb 11, 2016150Sep 8, 2016515
-37.24%Jan 21, 202042Mar 18, 2020168Nov 9, 2020210
-16.11%Oct 10, 201854Dec 24, 2018275Jan 13, 2020329
-13.23%Aug 26, 202222Sep 26, 202286Jan 24, 2023108
-13.09%Jan 27, 202370May 4, 202350Jul 13, 2023120

Volatility Chart

The current Liber Portfolio volatility is 4.38%, 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%OctoberNovemberDecember2024FebruaryMarch
4.38%
3.47%
Liber Portfolio
Benchmark (^GSPC)
Portfolio components
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