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

Oil & Gas

Last updated Mar 2, 2024

Asset Allocation


XOM 20%CVX 20%SHEL 15%BP 15%TTE 10%EQNR 10%E 10%EquityEquity
PositionCategory/SectorWeight
XOM
Exxon Mobil Corporation
Energy

20%

CVX
Chevron Corporation
Energy

20%

SHEL
Shell plc
Energy

15%

BP
BP p.l.c.
Energy

15%

TTE
TotalEnergies SE
Energy

10%

EQNR
Equinor ASA
Energy

10%

E
Eni S.p.A.
Energy

10%

S&P 500

Performance

The chart shows the growth of an initial investment of $10,000 in Oil & Gas, 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


250.00%300.00%350.00%400.00%450.00%OctoberNovemberDecember2024FebruaryMarch
426.31%
325.10%
Oil & Gas
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jun 18, 2001, corresponding to the inception date of EQNR

Returns

As of Mar 2, 2024, the Oil & Gas returned -1.33% Year-To-Date and 5.26% 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%
Oil & Gas-1.33%1.03%-3.20%-0.27%8.08%5.34%
XOM
Exxon Mobil Corporation
6.84%4.76%-5.04%-2.82%11.51%5.57%
CVX
Chevron Corporation
3.56%1.47%-4.99%-3.53%9.09%7.33%
SHEL
Shell plc
-2.35%1.51%3.28%6.31%4.93%3.61%
BP
BP p.l.c.
1.92%4.16%-4.18%-7.08%1.88%2.83%
TTE
TotalEnergies SE
-4.27%0.20%3.42%8.12%8.96%5.55%
EQNR
Equinor ASA
-19.79%-10.45%-18.97%-15.61%7.09%3.62%
E
Eni S.p.A.
-9.11%-1.72%1.36%15.62%4.40%1.59%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
2024-2.33%-0.09%
20231.64%5.05%-4.86%0.12%0.05%

Sharpe Ratio

The current Oil & Gas Sharpe ratio is 0.04. A Sharpe ratio between 0 and 1.0 is considered sub-optimal.

0.002.004.000.04

The Sharpe ratio of Oil & Gas 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 Ratio0.000.501.001.502.002.50OctoberNovemberDecember2024FebruaryMarch
0.04
2.44
Oil & Gas
Benchmark (^GSPC)
Portfolio components

Dividend yield

Oil & Gas granted a 4.53% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
Oil & Gas4.53%4.44%4.06%4.75%7.02%5.13%4.86%4.26%4.59%5.59%5.08%3.81%
XOM
Exxon Mobil Corporation
3.51%3.68%3.22%5.70%8.44%4.92%4.74%3.66%3.30%3.69%2.92%2.43%
CVX
Chevron Corporation
4.03%4.05%3.16%4.52%6.11%3.95%4.12%3.45%3.64%4.76%3.75%3.12%
SHEL
Shell plc
4.07%3.76%3.48%3.78%5.44%6.14%5.48%4.79%5.88%6.98%4.72%4.25%
BP
BP p.l.c.
4.78%4.71%3.94%4.83%9.21%6.52%6.41%5.71%6.42%7.67%6.14%4.50%
TTE
TotalEnergies SE
4.88%4.67%6.21%6.10%8.97%3.64%4.75%4.29%4.47%5.06%5.21%4.31%
EQNR
Equinor ASA
5.76%5.83%4.13%2.24%4.21%4.85%3.13%2.99%3.54%4.85%7.34%3.56%
E
Eni S.p.A.
6.31%5.74%6.39%5.80%5.90%6.11%5.15%5.38%5.55%7.13%8.58%5.96%

Expense Ratio

The Oil & Gas has an expense ratio of 0.00%, indicating no management fees are charged. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


The portfolio doesn't hold funds that charge fees

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
Oil & Gas
0.04
XOM
Exxon Mobil Corporation
-0.05
CVX
Chevron Corporation
-0.08
SHEL
Shell plc
0.33
BP
BP p.l.c.
-0.27
TTE
TotalEnergies SE
0.40
EQNR
Equinor ASA
-0.48
E
Eni S.p.A.
0.76

Asset Correlations Table

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

EQNRXOMCVXEBPTTESHEL
EQNR1.000.600.640.660.670.680.67
XOM0.601.000.820.630.690.670.70
CVX0.640.821.000.640.700.690.70
E0.660.630.641.000.710.810.75
BP0.670.690.700.711.000.770.81
TTE0.680.670.690.810.771.000.81
SHEL0.670.700.700.750.810.811.00

Drawdowns Chart

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


-15.00%-10.00%-5.00%0.00%OctoberNovemberDecember2024FebruaryMarch
-7.85%
0
Oil & Gas
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Oil & Gas. 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 Oil & Gas was 60.20%, occurring on Mar 18, 2020. Recovery took 459 trading sessions.

The current Oil & Gas drawdown is 7.85%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-60.2%Sep 26, 2018371Mar 18, 2020459Jan 11, 2022830
-48.38%May 22, 2008198Mar 5, 2009982Jan 29, 20131180
-41.77%Jun 24, 2014397Jan 20, 2016500Jan 12, 2018897
-24.01%Jul 9, 2002140Jan 27, 2003222Dec 11, 2003362
-23.39%Jun 9, 202224Jul 14, 202280Nov 4, 2022104

Volatility Chart

The current Oil & Gas volatility is 4.07%, 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%OctoberNovemberDecember2024FebruaryMarch
4.07%
3.47%
Oil & Gas
Benchmark (^GSPC)
Portfolio components
0 comments