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75 SXR8 + 25 QDVE
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


SXR8.DE 75%QDVE.DE 25%EquityEquity
PositionCategory/SectorWeight
SXR8.DE
iShares Core S&P 500 UCITS ETF USD (Acc)
Large Cap Blend Equities

75%

QDVE.DE
iShares S&P 500 Information Technology Sector UCITS ETF
Technology Equities

25%

S&P 500

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in 75 SXR8 + 25 QDVE , 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


-5.00%0.00%5.00%10.00%15.00%20.00%NovemberDecember2024FebruaryMarchApril
19.61%
15.74%
75 SXR8 + 25 QDVE
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Nov 30, 2015, corresponding to the inception date of QDVE.DE

Returns By Period


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
6.12%-1.08%15.73%22.34%11.82%10.53%
75 SXR8 + 25 QDVE 8.68%0.42%19.61%30.75%16.02%N/A
SXR8.DE
iShares Core S&P 500 UCITS ETF USD (Acc)
7.71%0.41%17.80%25.60%13.52%15.30%
QDVE.DE
iShares S&P 500 Information Technology Sector UCITS ETF
11.61%0.47%25.08%47.07%23.32%N/A

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
20242.48%4.64%3.30%
2023-5.08%-2.66%9.87%5.21%

Expense Ratio

The 75 SXR8 + 25 QDVE features an expense ratio of 0.13%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


0.50%1.00%1.50%2.00%0.15%
0.50%1.00%1.50%2.00%0.12%

Risk-Adjusted Performance

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.


75 SXR8 + 25 QDVE
Sharpe ratio
The chart of Sharpe ratio for 75 SXR8 + 25 QDVE , currently valued at 2.63, compared to the broader market-1.000.001.002.003.004.005.002.63
Sortino ratio
The chart of Sortino ratio for 75 SXR8 + 25 QDVE , currently valued at 3.79, compared to the broader market-2.000.002.004.006.003.79
Omega ratio
The chart of Omega ratio for 75 SXR8 + 25 QDVE , currently valued at 1.47, compared to the broader market0.801.001.201.401.601.801.47
Calmar ratio
The chart of Calmar ratio for 75 SXR8 + 25 QDVE , currently valued at 2.16, compared to the broader market0.002.004.006.008.0010.002.16
Martin ratio
The chart of Martin ratio for 75 SXR8 + 25 QDVE , currently valued at 10.65, compared to the broader market0.0010.0020.0030.0040.0050.0010.65
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.89, compared to the broader market-1.000.001.002.003.004.005.001.89
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.74, compared to the broader market-2.000.002.004.006.002.74
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.33, compared to the broader market0.801.001.201.401.601.801.33
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.43, compared to the broader market0.002.004.006.008.0010.001.43
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 7.65, compared to the broader market0.0010.0020.0030.0040.0050.007.65

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
SXR8.DE
iShares Core S&P 500 UCITS ETF USD (Acc)
2.463.581.441.849.60
QDVE.DE
iShares S&P 500 Information Technology Sector UCITS ETF
2.673.691.452.7211.80

Sharpe Ratio

The current 75 SXR8 + 25 QDVE Sharpe ratio is 2.63. A Sharpe ratio higher than 2.0 is considered very good.

-1.000.001.002.003.004.005.002.63

The Sharpe ratio of 75 SXR8 + 25 QDVE is in the top 25%, it signifies superior risk-adjusted performance. This means that for the level of risk undertaken, the portfolio is generating impressive returns compared to most others.


Rolling 12-month Sharpe Ratio0.001.002.003.004.00NovemberDecember2024FebruaryMarchApril
2.63
1.89
75 SXR8 + 25 QDVE
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield


75 SXR8 + 25 QDVE doesn't pay dividends

Drawdowns

Drawdowns Chart

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


-15.00%-10.00%-5.00%0.00%NovemberDecember2024FebruaryMarchApril
-2.49%
-3.66%
75 SXR8 + 25 QDVE
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the 75 SXR8 + 25 QDVE . 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 75 SXR8 + 25 QDVE was 33.68%, occurring on Mar 23, 2020. Recovery took 91 trading sessions.

The current 75 SXR8 + 25 QDVE drawdown is 2.49%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-33.68%Feb 20, 202023Mar 23, 202091Aug 3, 2020114
-26.74%Jan 3, 2022201Oct 12, 2022286Nov 22, 2023487
-17.57%Oct 2, 201859Dec 27, 201874Apr 12, 2019133
-13.76%Dec 2, 201548Feb 11, 201674May 30, 2016122
-9.62%Jan 30, 20189Feb 9, 201884Jun 13, 201893

Volatility

Volatility Chart

The current 75 SXR8 + 25 QDVE volatility is 2.75%, 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.


1.50%2.00%2.50%3.00%3.50%4.00%4.50%5.00%NovemberDecember2024FebruaryMarchApril
2.75%
3.44%
75 SXR8 + 25 QDVE
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.

QDVE.DESXR8.DE
QDVE.DE1.000.84
SXR8.DE0.841.00