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Portfolio table

Color	Name	Start Date	End Date	Year Mean	Year Volatility	Year VaR	Monthly Mean	Monthly Volatility	Monthly VaR	Maximum Drawdown	Sharpe	Sortino	Calmar	Market correlation	Alpha	Beta	Edit	Excel	Optimize
	Portfolio 1	30-04-2017	22-12-2023	15.02%	20.08%	-24.29%	1.28%	5.3%	-10.43%	-23.09%	0.63	1.20	0.68	0.58	7.02%	0.60		Excel	Optimize

Note: The time period was constrained by the available data for: 0NZM.UK - 17-03-2017

Portfolio balance (hypothetical growth of $10,000)

Available history data for this portfolio is in the range from 30-04-2017 to 22-12-2023. That counts as total 6.645 years of data or as a total 79.739 months of data.

This portfolio on average gained 15.02% per year, with a standard deviation (volatility) of 20.08%.

Returns correlation with general US market is .585.

This portfolio had a maximum drawdown of -23.09% that occurred at the following date 31-10-2022.

The asset that had the most impact on returns in this portfolio is: 0NZM.UK - L`Oreal. It carries 100.% of returns in this portfolio. Monthly 0NZM.UK returned on average 1.28% with standard deviation of 5.23%.

The asset that had the least impact on returns in this portfolio is: 0NZM.UK - L`Oreal. It carries 100.% of returns in this portfolio. Monthly 0NZM.UK returned on average 1.28% with standard deviation of 5.23%.

Value at risk (VaR) is a statistic that quantifies the extent of possible financial losses within a firm, portfolio, or position over a specific time frame. VaR for this portfolio is -24.29% at 99% confidence level.

Using normal (Gaussian) distribution assumption, we can estimate with 99% confidence that in one year period returns fall within the following range -36.59% and 66.63%.

Using Chebyshev's inequality we can give a more conservative estimate with 87.5% confidence that in one year period returns fall within the following range -65.31% and 95.35%.

In this portfolio the most risky (volatile) asset is: 0NZM.UK - L`Oreal. It carries 100.% of the total portfolio risk.

In this portfolio the least risky (volatile) asset is: 0NZM.UK - L`Oreal. It carries 100.% of the total portfolio risk.

Portfolio constituents

L`Oreal - 0NZM.UK

Table of asset allocation

Symbol	Full Name	Industry	Sector	Allocation	Start year
0NZM.UK	L`Oreal			100.%	17-03-2017

Symbol	Allocation	Monthly return	Monthly volatility	Return contribution	Risk contribution
0NZM.UK	100.%	1.28%	5.23%	100.%	100.%

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Portfolio table

Portfolio balance (hypothetical growth of $10,000)

Portfolio summary

Risk summary

L`Oreal - 0NZM.UK

Table of asset allocation

Pie chart of asset allocation

Box plot of monthly returns

Portfolio monthly returns heatmap

Portfolio monthly returns histogram

Portfolio monthly returns dot plot

Portfolio Returns

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