PortfoliosLab logo
​
Tools
Performance Analysis
Risk Analysis
Optimization
Factor Model
See All Tools
Portfolio Analysis
Portfolios
Lazy PortfoliosUser Portfolios
Screeners
Discussions
Carbon Credits
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Carbon Credits

Last updated May 18, 2024

Asset Allocation

KRBN 50%GRN 50%CommodityCommodity
PositionCategory/SectorWeight
GRN
iPath Series B Carbon ETN		Commodities

50%

KRBN
KraneShares Global Carbon ETF		Commodities

50%

S&P 500

Performance

Performance Chart

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

20.00%30.00%40.00%50.00%60.00%December2024FebruaryMarchAprilMay
46.57%
63.37%
Carbon Credits
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jul 30, 2020, corresponding to the inception date of KRBN

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		11.18%5.60%17.48%26.33%13.16%10.99%
Carbon Credits-8.79%0.51%-7.22%-13.67%N/AN/A
Portfolio components:
KRBN
KraneShares Global Carbon ETF		-7.32%2.36%-4.61%-5.76%N/AN/A
GRN
iPath Series B Carbon ETN		-10.37%-1.20%-9.98%-21.26%N/AN/A

Monthly Returns

The table below presents the monthly returns of Carbon Credits, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-16.24%-9.08%6.99%9.09%-8.79%
202311.03%4.89%-4.84%-3.44%-6.84%10.36%-0.14%-1.12%-5.22%-0.97%-7.13%8.27%2.52%
20226.76%-7.18%-5.80%5.35%2.01%3.35%-11.17%0.96%-16.51%19.18%6.19%-4.80%-6.47%
20211.72%10.87%9.65%14.59%5.63%-35.27%-5.33%12.88%2.28%-2.69%22.94%6.56%35.02%
20202.05%8.41%-5.61%-9.61%19.40%10.14%24.12%

Expense Ratio

Carbon Credits has a high expense ratio of 0.77%, 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.

KRBN
KraneShares Global Carbon ETF
Expense ratio chart for KRBN: current value at 0.79% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.79%
GRN
iPath Series B Carbon ETN
Expense ratio chart for GRN: current value at 0.75% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.75%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Carbon Credits is 1, indicating that it is in the bottom 1% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.

The Risk-Adjusted Performance Rank of Carbon Credits is 11
Carbon Credits
The Sharpe Ratio Rank of Carbon Credits is 11Sharpe Ratio Rank
The Sortino Ratio Rank of Carbon Credits is 11Sortino Ratio Rank
The Omega Ratio Rank of Carbon Credits is 11Omega Ratio Rank
The Calmar Ratio Rank of Carbon Credits is 11Calmar Ratio Rank
The Martin Ratio Rank of Carbon Credits is 11Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

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.

Carbon Credits
Sharpe ratio
The chart of Sharpe ratio for Carbon Credits, currently valued at -0.44, compared to the broader market0.002.004.006.00-0.44
Sortino ratio
The chart of Sortino ratio for Carbon Credits, currently valued at -0.47, compared to the broader market-2.000.002.004.006.00-0.47
Omega ratio
The chart of Omega ratio for Carbon Credits, currently valued at 0.95, compared to the broader market0.801.001.201.401.601.800.95
Calmar ratio
The chart of Calmar ratio for Carbon Credits, currently valued at -0.30, compared to the broader market0.002.004.006.008.0010.00-0.30
Martin ratio
The chart of Martin ratio for Carbon Credits, currently valued at -0.71, compared to the broader market0.0010.0020.0030.0040.0050.00-0.71
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.38, compared to the broader market0.002.004.006.002.38
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.37, compared to the broader market-2.000.002.004.006.003.37
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.42, compared to the broader market0.801.001.201.401.601.801.42
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.94, compared to the broader market0.002.004.006.008.0010.001.94
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 9.12, compared to the broader market0.0010.0020.0030.0040.0050.009.12
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
KRBN
KraneShares Global Carbon ETF		-0.21-0.150.98-0.15-0.39
GRN
iPath Series B Carbon ETN		-0.55-0.640.93-0.25-0.87

Sharpe Ratio

The current Carbon Credits Sharpe ratio is -0.44. This value is calculated based on the past 12 months of trading data and takes into account price changes and dividends.

Compared to the broad market, where average Sharpe ratios range from 1.76 to 2.59, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests that it may not be performing as well in terms of risk-adjusted returns compared to many other portfolios. The lower performance could be due to either lower returns, higher volatility, or a combination of both. This might indicate that the portfolio requires some fine-tuning. You can use the Portfolio Optimization tool to find an allocation that maximizes the Sharpe ratio.

Use the chart below to compare the Sharpe ratio of Carbon Credits with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.

Rolling 12-month Sharpe Ratio-1.000.001.002.003.00December2024FebruaryMarchAprilMay
-0.44
2.38
Carbon Credits
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Carbon Credits granted a 4.10% dividend yield in the last twelve months.

TTM202320222021
Carbon Credits4.10%3.80%11.45%0.24%
Portfolio components:
KRBN
KraneShares Global Carbon ETF		8.20%7.60%22.91%0.49%
GRN
iPath Series B Carbon ETN		0.00%0.00%0.00%0.00%

Drawdowns

Drawdowns Chart

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

-40.00%-30.00%-20.00%-10.00%0.00%December2024FebruaryMarchAprilMay
-27.23%
-0.09%
Carbon Credits
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Carbon Credits. 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 Carbon Credits was 46.53%, occurring on Jul 22, 2021. The portfolio has not yet recovered.

The current Carbon Credits drawdown is 27.23%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-46.53%May 17, 202147Jul 22, 2021———
-20.75%Sep 15, 202032Oct 28, 202026Dec 4, 202058
-8.69%Jan 8, 20216Jan 15, 202112Feb 3, 202118
-7.77%Aug 31, 20206Sep 8, 20204Sep 14, 202010
-6.7%Feb 16, 202110Mar 1, 20216Mar 9, 202116

Volatility

Volatility Chart

The current Carbon Credits volatility is 11.10%, 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%4.00%6.00%8.00%10.00%12.00%14.00%December2024FebruaryMarchAprilMay
11.10%
3.36%
Carbon Credits
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.
GRNKRBN
GRN1.000.91
KRBN0.911.00