Portfolio Volatility
1.7%
Annualized from monthly returns
Max Drawdown
-0.5%
Peak-to-trough (36M)
Diversification Benefit
42.5%
42.5%Vol reduction from diversification
Highest Risk Fund
Healthcare & Life
3.6% annualized vol
Risk Contribution by Fund
Risk contribution (NAV-weighted 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 | 29.7% | 2.9% | -1.7% | 28.8% | 0.17 | Core |
Sustainable Cities COIMA SGR | 26.0% | 2.8% | -1.1% | 24.6% | 0.09 | Core |
Healthcare & Life Colliers Global Investors Italy | 17.8% | 3.6% | -1.6% | 21.6% | 0.12 | Value-Add |
Gateway South EU DeA Capital Real Estate SGR | 14.4% | 2.8% | -1.3% | 13.4% | 0.24 | Value-Add |
Industrial CE Colliers Global Investors Italy | 7.8% | 3.5% | -2.0% | 9.2% | 0.10 | Value-Add |
Digital & Logistics Kryalos SGR | 4.3% | 1.6% | -0.4% | 2.4% | 0.10 | Opportunistic |
Cross-Fund Correlation Matrix
Monthly return correlations (36-month lookback)
| Core Diversified | Healthcare & Life | Industrial CE | Sustainable Cities | Gateway South EU | Digital & Logistics | |
|---|---|---|---|---|---|---|
| Core Diversified | 1.00 | 0.32 | -0.02 | -0.06 | 0.26 | 0.33 |
| Healthcare & Life | 0.32 | 1.00 | 0.07 | 0.12 | 0.20 | -0.11 |
| Industrial CE | -0.02 | 0.07 | 1.00 | 0.05 | 0.29 | 0.13 |
| Sustainable Cities | -0.06 | 0.12 | 0.05 | 1.00 | 0.33 | 0.03 |
| Gateway South EU | 0.26 | 0.20 | 0.29 | 0.33 | 1.00 | 0.11 |
| Digital & Logistics | 0.33 | -0.11 | 0.13 | 0.03 | 0.11 | 1.00 |
Low to High Correlation
Key insight: highly correlated fund pairs move together and add little diversification — low-correlation funds provide the diversification benefit