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STRONG
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

STRONG

Last updated Sep 21, 2024

Public equity ETFs with balanced risk, slightly diversified among World, US and Emerging markets stocks.

Asset Allocation

SWDA.L 60%SPHD 20%SEMA.L 10%IWFM.L 10%EquityEquity
PositionCategory/SectorWeight
IWFM.L
iShares Edge MSCI World Momentum Factor UCITS ETF (Acc)		Global Equities
10%
SEMA.L
iShares MSCI EM UCITS ETF (Acc)		Emerging Markets Equities
10%
SPHD
Invesco S&P 500® High Dividend Low Volatility ETF		Volatility Hedged Equity, Dividend
20%
SWDA.L
iShares Core MSCI World UCITS ETF USD (Acc)		Global Equities
60%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in STRONG, 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%AprilMayJuneJulyAugustSeptember
9.23%
8.95%
STRONG
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Oct 7, 2014, corresponding to the inception date of IWFM.L

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		19.55%2.37%8.95%32.00%13.81%11.08%
STRONG18.37%1.76%9.23%29.58%10.82%N/A
Portfolio components:
SWDA.L
iShares Core MSCI World UCITS ETF USD (Acc)		16.96%1.44%7.54%28.89%12.41%12.16%
SEMA.L
iShares MSCI EM UCITS ETF (Acc)		10.61%1.05%8.08%17.66%4.15%4.92%
SPHD
Invesco S&P 500® High Dividend Low Volatility ETF		21.18%3.43%16.83%30.92%7.60%9.26%
IWFM.L
iShares Edge MSCI World Momentum Factor UCITS ETF (Acc)		27.85%0.75%5.40%42.04%12.40%N/A

Monthly Returns

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

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20240.69%3.64%3.93%-2.20%2.80%2.87%2.07%2.20%18.37%
20235.38%-3.55%1.97%1.66%-2.48%5.76%3.44%-2.51%-4.06%-3.10%8.45%5.28%16.32%
2022-4.64%-1.60%3.33%-6.31%-0.68%-7.78%5.23%-2.80%-8.53%5.46%7.00%-2.84%-14.65%
20210.40%2.07%3.86%4.26%1.57%0.55%0.55%2.15%-3.67%4.16%-1.95%4.45%19.62%
2020-1.49%-8.75%-13.16%9.22%3.33%3.03%4.58%6.02%-2.83%-2.50%11.83%4.81%11.77%
20197.52%2.76%1.47%2.64%-5.25%5.79%0.55%-2.87%2.99%1.88%2.59%3.36%25.31%
20184.27%-4.01%-2.27%1.60%0.31%0.29%2.40%0.56%0.72%-6.82%1.40%-6.51%-8.41%
20172.03%2.73%1.60%0.84%1.88%0.77%2.53%0.40%1.65%2.33%2.17%1.59%22.53%
2016-4.87%0.91%7.22%0.50%0.27%1.08%4.03%0.08%0.36%-1.64%1.05%2.18%11.26%
2015-1.26%4.34%-1.20%2.30%-0.26%-2.45%1.60%-5.65%-3.57%7.42%-0.32%-1.46%-1.19%
20142.93%2.02%-1.01%3.95%

Expense Ratio

STRONG has an expense ratio of 0.23%, which is considered low compared to other funds. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.

SPHD
Invesco S&P 500® High Dividend Low Volatility ETF
Expense ratio chart for SPHD: current value at 0.30% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.30%
IWFM.L
iShares Edge MSCI World Momentum Factor UCITS ETF (Acc)
Expense ratio chart for IWFM.L: current value at 0.30% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.30%
SWDA.L
iShares Core MSCI World UCITS ETF USD (Acc)
Expense ratio chart for SWDA.L: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%
SEMA.L
iShares MSCI EM UCITS ETF (Acc)
Expense ratio chart for SEMA.L: current value at 0.18% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.18%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current risk-adjusted rank of STRONG is 83, placing it in the top 17% 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 STRONG is 8383
STRONG
The Sharpe Ratio Rank of STRONG is 8989Sharpe Ratio Rank
The Sortino Ratio Rank of STRONG is 9191Sortino Ratio Rank
The Omega Ratio Rank of STRONG is 9090Omega Ratio Rank
The Calmar Ratio Rank of STRONG is 5555Calmar Ratio Rank
The Martin Ratio Rank of STRONG is 8989Martin 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.

STRONG
Sharpe ratio
The chart of Sharpe ratio for STRONG, currently valued at 2.83, compared to the broader market-1.000.001.002.003.004.002.83
Sortino ratio
The chart of Sortino ratio for STRONG, currently valued at 4.00, compared to the broader market-2.000.002.004.006.004.00
Omega ratio
The chart of Omega ratio for STRONG, currently valued at 1.52, compared to the broader market0.801.001.201.401.601.801.52
Calmar ratio
The chart of Calmar ratio for STRONG, currently valued at 2.22, compared to the broader market0.002.004.006.008.0010.002.22
Martin ratio
The chart of Martin ratio for STRONG, currently valued at 17.57, compared to the broader market0.0010.0020.0030.0040.0017.57
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.32, compared to the broader market-1.000.001.002.003.004.002.32
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.11, compared to the broader market-2.000.002.004.006.003.11
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 2.09, compared to the broader market0.002.004.006.008.0010.002.09
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 14.29, compared to the broader market0.0010.0020.0030.0040.0014.29
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
SWDA.L
iShares Core MSCI World UCITS ETF USD (Acc)		2.483.471.452.3414.13
SEMA.L
iShares MSCI EM UCITS ETF (Acc)		1.332.031.230.607.18
SPHD
Invesco S&P 500® High Dividend Low Volatility ETF		2.663.851.491.7018.63
IWFM.L
iShares Edge MSCI World Momentum Factor UCITS ETF (Acc)		2.453.171.441.8512.44

Sharpe Ratio

The current STRONG Sharpe ratio is 2.87. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Compared to the broad market, where average Sharpe ratios range from 1.91 to 2.59, this portfolio's current Sharpe ratio 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.

Use the chart below to compare the Sharpe ratio of STRONG 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 Ratio1.502.002.503.00AprilMayJuneJulyAugustSeptember
2.83
2.32
STRONG
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

STRONG granted a 0.64% dividend yield in the last twelve months.

TTM20232022202120202019201820172016201520142013
STRONG0.64%0.90%0.78%0.69%0.98%0.81%0.88%0.63%0.77%0.70%0.65%0.74%
Portfolio components:
SWDA.L
iShares Core MSCI World UCITS ETF USD (Acc)		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SEMA.L
iShares MSCI EM UCITS ETF (Acc)		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SPHD
Invesco S&P 500® High Dividend Low Volatility ETF		3.22%4.48%3.89%3.45%4.89%4.07%4.40%3.14%3.83%3.49%3.24%3.68%
IWFM.L
iShares Edge MSCI World Momentum Factor UCITS ETF (Acc)		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.

-8.00%-6.00%-4.00%-2.00%0.00%AprilMayJuneJulyAugustSeptember0
-0.19%
STRONG
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the STRONG. 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 STRONG was 34.35%, occurring on Mar 23, 2020. Recovery took 161 trading sessions.

The current STRONG drawdown is 0.24%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-34.35%Feb 18, 202025Mar 23, 2020161Nov 5, 2020186
-23.75%Jan 5, 2022199Oct 11, 2022331Jan 25, 2024530
-16.31%Jan 29, 2018234Dec 24, 201891May 3, 2019325
-15.88%Apr 28, 2015189Jan 20, 2016121Jul 11, 2016310
-6.6%Jul 17, 202414Aug 5, 202410Aug 19, 202424

Volatility

Volatility Chart

The current STRONG volatility is 3.81%, 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%3.00%4.00%5.00%6.00%AprilMayJuneJulyAugustSeptember
3.81%
4.31%
STRONG
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.
SPHDSEMA.LIWFM.LSWDA.L
SPHD1.000.390.310.46
SEMA.L0.391.000.650.75
IWFM.L0.310.651.000.84
SWDA.L0.460.750.841.00
The correlation results are calculated based on daily price changes starting from Oct 8, 2014