PortfoliosLab logo
Tools
Performance Analysis
Risk Analysis
Optimization
Factor Model
See All Tools
Portfolio Analysis
Portfolios
Lazy PortfoliosUser Portfolios
Discussions

ET

Last updated Mar 2, 2024

test

Asset Allocation


UBSG.SW 33.33%NVS 33.33%CNDX.L 33.33%EquityEquity
PositionCategory/SectorWeight
UBSG.SW
UBS Group AG
Financial Services

33.33%

NVS
Novartis AG
Healthcare

33.33%

CNDX.L
iShares NASDAQ 100 UCITS ETF
Large Cap Blend Equities

33.33%

S&P 500

Performance

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


300.00%350.00%400.00%OctoberNovemberDecember2024FebruaryMarch
393.65%
356.60%
ET
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Sep 15, 2010, corresponding to the inception date of CNDX.L

Returns

As of Mar 2, 2024, the ET returned 0.55% Year-To-Date and 11.26% of annualized return in the last 10 years.


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%
ET0.55%-0.34%11.40%39.40%18.03%11.12%
UBSG.SW
UBS Group AG
-6.97%-3.03%9.10%32.30%20.98%6.07%
NVS
Novartis AG
1.08%-1.60%7.08%33.23%9.71%7.35%
CNDX.L
iShares NASDAQ 100 UCITS ETF
7.64%3.44%17.69%49.86%20.47%17.38%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
20240.57%-1.26%
20235.27%-3.72%-4.03%12.00%6.79%

Sharpe Ratio

The current ET Sharpe ratio is 2.66. A Sharpe ratio higher than 2.0 is considered very good.

0.002.004.002.66

The Sharpe ratio of ET 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 Ratio0.501.001.502.002.503.00OctoberNovemberDecember2024FebruaryMarch
2.66
2.44
ET
Benchmark (^GSPC)
Portfolio components

Dividend yield

ET granted a 1.47% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
ET1.47%1.48%1.77%1.72%2.54%2.89%3.03%2.38%2.66%2.50%1.92%1.47%
UBSG.SW
UBS Group AG
0.97%0.95%1.35%1.04%4.16%5.73%5.31%3.34%3.76%3.84%1.46%0.89%
NVS
Novartis AG
3.40%3.44%3.91%4.08%3.40%2.87%3.72%3.50%4.06%3.51%3.14%3.37%
CNDX.L
iShares NASDAQ 100 UCITS ETF
0.04%0.04%0.06%0.03%0.04%0.07%0.06%0.30%0.16%0.16%1.16%0.16%

Expense Ratio

The ET features an expense ratio of 0.11%, falling within the medium range. 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%0.33%

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
ET
2.66
UBSG.SW
UBS Group AG
1.11
NVS
Novartis AG
1.85
CNDX.L
iShares NASDAQ 100 UCITS ETF
3.11

Asset Correlations Table

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

NVSCNDX.LUBSG.SW
NVS1.000.220.31
CNDX.L0.221.000.39
UBSG.SW0.310.391.00

Drawdowns Chart

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


-15.00%-10.00%-5.00%0.00%OctoberNovemberDecember2024FebruaryMarch
-1.97%
0
ET
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the ET. 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 ET was 31.37%, occurring on Mar 23, 2020. Recovery took 101 trading sessions.

The current ET drawdown is 1.97%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-31.37%Feb 13, 202028Mar 23, 2020101Aug 12, 2020129
-28.11%Jul 21, 2015146Feb 11, 2016370Jul 19, 2017516
-24.08%Jan 14, 2022193Oct 12, 2022119Mar 30, 2023312
-24.05%Jun 2, 2011127Nov 25, 2011243Nov 6, 2012370
-20.79%Jan 29, 2018235Dec 24, 2018251Dec 13, 2019486

Volatility Chart

The current ET volatility is 3.55%, 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
3.55%
3.47%
ET
Benchmark (^GSPC)
Portfolio components
0 comments