Risk ratios
Risk ratios
| 01.01.2023 - 31.03.2023 | Volatility | Sharpe Ratio | Tracking Error Ex post (ex ante) | Information Ratio | Beta-Factor | Jensen-Alpha | Max. Drawdown | Recovery Period (in days) | Modified Duration (in %) |
|---|---|---|---|---|---|---|---|---|---|
| Swiss Shares SBD 100 ESG | 10.23% | 0.63 | 4.13% | 0.45 | 0.86 | 0.03 | -8.40 | 90 | |
| Benchmark | 10.03% | ||||||||
| LOB-Mix | 3.57% | 0.18 | 0.39% | 0.14 | 0.87 | 0.00 | -2.16 | 30 | 6.81 |
| Benchmark | 3.74% | ||||||||
| LOB-Mix Plus 35 | 3.67% | 0.00 | 0.49% | -0.68 | 0.87 | 0.00 | -2.51 | 61 | 6.67 |
| Benchmark | 3.83% | ||||||||
| Swiss real estate | 1.73% | ||||||||
| Benchmark | 0.96% | ||||||||
| Romandie real estate | 1.70% | ||||||||
| Benchmark | 0.96% | ||||||||
| Mortgages Switzerland | 1.26% | ||||||||
| Benchmark | 1.91% |
| 01.04.2021 - 31.03.2024 | Volatility | Sharpe Ratio | Tracking Error Ex post | Information Ratio | Beta-Factor | Jensen-Alpha | Max. Drawdown | Recovery Period (in Days) |
|---|---|---|---|---|---|---|---|---|
| Swiss Shares SBD 100 ESG | 13.18% | 0.02 | 3.81% | -0.36 | 0.96 | -0.01 | -23.54 | n.a. |
| Benchmark | 12.72% | |||||||
| LOB-Mix | 5.97% | -0.98 | 0.41% | -0.35 | 0.98 | 0.00 | -11.76 | n.a. |
| Benchmark | 5.88% | |||||||
| LOB-Mix Plus 35 | 5.75% | -1.01 | 0.76% | -1.26 | 0.95 | -0.01 | -11.29 | n.a. |
| Benchmark | 5.91% | |||||||
| Swiss real estate | 1.82% | |||||||
| Benchmark | 0.81% | |||||||
| Romandie real estate | 1.84% | |||||||
| Benchmark | 0.81% | |||||||
| Mortgages Switzerland | 1.88% | |||||||
| Benchmark | 4.50% |
| 01.04.2019 - 31.03.2024 | Volatility | Sharpe Ratio | Tracking Error Ex post | Information Ratio | Beta-Factor | Jensen-Alpha | Max. Drawdown | Recovery Period (in days) |
|---|---|---|---|---|---|---|---|---|
| Swiss Shares SBD 100 ESG | 14.32% | 0.33 | 4.84% | -0.04 | 1.05 | 0.00 | -23.54 | n.a. |
| Benchmark | 12.61% | |||||||
| LOB-Mix |
6.38% | -0.69 | 0.55% | -0.57 | 1.00 | 0.00 | -11.76 | n.a. |
| Benchmark | 6.24% | |||||||
| LOB-Mix Plus 35 | 6.25% | -0.61 | 1.46% | -0.49 | 1.04 | -0.01 | -11.29 | n.a. |
| Benchmark | 5.77% | |||||||
| Swiss real estate | 1.73% | |||||||
| Benchmark | 0.71% | |||||||
| Romandie real estate | 1.71% | |||||||
| Benchmark | 0.71% | |||||||
| Mortgages Switzerland | 1.72% | |||||||
| Benchmark | 4.37% |
| 01.04.2014 - 31.03.2024 | Volatility | Sharpe Ratio | Tracking Error Ex post | Information Ratio | Beta-Factor | Jensen-Alpha | Max. Drawdown | Recovery Period (in days) |
|---|---|---|---|---|---|---|---|---|
| Swiss Shares SBD 100 ESG | n.a. | |||||||
| Benchmark | n.a. | |||||||
| LOB-Mix | 5.30% | -0.74 | 0.49% | -1.16 | 1.01 | -0.01 | -12.50 | 1309 |
| Benchmark | 5.20% | |||||||
| LOB-Mix Plus 35 | 5.42% | -0.60 | 1.59% | -0.44 | 1.02 | 0.04 | -11.29 | n.a. |
| Benchmark | 5.06% | |||||||
| Swiss real estate | 1.64% | |||||||
| Benchmark | 0.62% | |||||||
| Romandie real estate | n.a. | |||||||
| Benchmark | n.a. | |||||||
| Mortgages Switzerland | n.a. | |||||||
| Benchmark | n.a. |