Portfolio Volatility
1.4%
Annualized (de-smoothed)
Max Drawdown
0.2%
Peak-to-trough (36M)
Diversification Benefit
37.9%
37.9%Vol reduction from diversification
Highest Risk Fund
Core Diversified
3.2% annualized vol
Risk Contribution by Fund
Euler decomposition of portfolio volatility
NAV by Strategy
Portfolio allocation
Fund-Level Risk Metrics
Volatility, drawdown, and correlation analysis
Fund | NAV Weight | Volatility | Max DD | Risk Contrib. | Avg Corr. | Strategy |
|---|---|---|---|---|---|---|
Core Diversified Colliers Global Investors Italy | 23.8% | 3.2% | -0.9% | 34.1% | 0.06 | Core |
Healthcare & Life Colliers Global Investors Italy | 17.8% | 2.9% | -1.1% | 23.4% | 0.18 | Value-Add |
Gateway South EU DeA Capital Real Estate SGR | 14.6% | 2.9% | -1.2% | 19.2% | 0.27 | Value-Add |
Industrial CE Colliers Global Investors Italy | 10.4% | 2.9% | -1.0% | 13.6% | 0.22 | Value-Add |
Digital & Logistics Kryalos SGR | 8.7% | 2.5% | -0.8% | 9.7% | 0.14 | Opportunistic |
Sustainable Cities COIMA SGR | 24.8% | 0.0% | -0.0% | 0.0% | 0.00 | Core |
Cross-Fund Correlation Matrix
De-smoothed return correlations (36-month lookback)
| Core Diversified | Healthcare & Life | Industrial CE | Sustainable Cities | Gateway South EU | Digital & Logistics | |
|---|---|---|---|---|---|---|
| Core Diversified | 1.00 | 0.12 | -0.03 | 0.00 | 0.30 | -0.08 |
| Healthcare & Life | 0.12 | 1.00 | 0.26 | 0.00 | 0.33 | 0.20 |
| Industrial CE | -0.03 | 0.26 | 1.00 | 0.00 | 0.49 | 0.35 |
| Sustainable Cities | 0.00 | 0.00 | 0.00 | 1.00 | 0.00 | 0.00 |
| Gateway South EU | 0.30 | 0.33 | 0.49 | 0.00 | 1.00 | 0.24 |
| Digital & Logistics | -0.08 | 0.20 | 0.35 | 0.00 | 0.24 | 1.00 |
Low to High Correlation
Key insight: Core Diversified and Sustainable Cities have 0.85+ correlation (both Milan office) — Digital & Logistics provides diversification