Futura
Asset Allocation
| Position | Category/Sector | Weight |
|---|---|---|
EMIM.L iShares Core MSCI Emerging Markets IMI UCITS ETF (Acc) | Emerging Markets Equities | 15% |
IPRP.L iShares European Property Yield UCITS ETF | REIT | 20% |
MEUD.L Lyxor Core STOXX Europe 600 (DR) - UCITS ETF Acc | Europe Equities | 25% |
SWDA.L iShares Core MSCI World UCITS ETF USD (Acc) | Global Equities | 40% |
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Futura, 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
The earliest data available for this chart is Jun 9, 2014, corresponding to the inception date of EMIM.L
Returns By Period
As of Aug 27, 2024, the Futura returned 11.61% Year-To-Date and 6.14% of annualized return in the last 10 years.
| Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 17.76% | 2.89% | 10.80% | 27.49% | 14.28% | 10.89% |
| Futura | 11.61% | 4.02% | 11.34% | 25.60% | 8.17% | 6.14% |
| Portfolio components: | ||||||
SWDA.L iShares Core MSCI World UCITS ETF USD (Acc) | 15.15% | 2.75% | 9.68% | 26.50% | 13.00% | 9.53% |
IPRP.L iShares European Property Yield UCITS ETF | 5.64% | 8.46% | 19.33% | 33.54% | -2.67% | 1.56% |
EMIM.L iShares Core MSCI Emerging Markets IMI UCITS ETF (Acc) | 9.97% | 2.47% | 8.71% | 16.73% | 5.94% | 2.77% |
MEUD.L Lyxor Core STOXX Europe 600 (DR) - UCITS ETF Acc | 10.83% | 3.30% | 9.26% | 21.25% | 9.55% | 5.36% |
Monthly Returns
The table below presents the monthly returns of Futura, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | -1.40% | 0.74% | 4.35% | -1.64% | 3.67% | 0.35% | 2.34% | 11.61% | |||||
| 2023 | 7.60% | -3.51% | 0.27% | 3.35% | -4.27% | 5.07% | 5.08% | -2.83% | -4.26% | -3.51% | 10.56% | 7.03% | 20.80% |
| 2022 | -4.69% | -2.61% | 0.43% | -7.49% | -0.81% | -10.49% | 5.69% | -5.14% | -10.20% | 3.92% | 9.71% | -0.78% | -22.01% |
| 2021 | -1.36% | 1.07% | 2.02% | 4.82% | 3.43% | -0.22% | 1.48% | 1.79% | -5.33% | 4.19% | -2.72% | 3.45% | 12.83% |
| 2020 | -1.61% | -8.07% | -15.09% | 6.86% | 4.12% | 4.29% | 4.97% | 5.71% | -3.21% | -3.91% | 13.64% | 5.87% | 10.66% |
| 2019 | 7.40% | 1.47% | 1.96% | 2.11% | -4.10% | 4.44% | -0.52% | -1.97% | 2.70% | 3.33% | 1.79% | 4.25% | 24.79% |
| 2018 | 4.80% | -4.94% | -0.78% | 1.84% | -1.78% | -0.38% | 2.85% | -1.10% | -0.16% | -7.50% | 0.50% | -4.79% | -11.47% |
| 2017 | 1.94% | 1.92% | 2.87% | 2.60% | 3.81% | 0.49% | 3.13% | 1.06% | 1.07% | 1.70% | 1.58% | 2.32% | 27.37% |
| 2016 | -5.62% | -0.60% | 8.32% | 0.87% | -0.49% | -0.53% | 4.55% | 1.00% | 0.13% | -2.90% | -2.14% | 3.30% | 5.29% |
| 2015 | 0.62% | 4.92% | -2.42% | 3.57% | -1.62% | -2.91% | 1.82% | -5.39% | -3.56% | 7.12% | -1.85% | -1.50% | -1.96% |
| 2014 | -0.04% | -2.20% | 1.36% | -4.22% | -0.46% | 2.06% | -2.13% | -5.64% |
Expense Ratio
Futura has an expense ratio of 0.22%, 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.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of Futura is 44, suggesting that the investment has average results relative to other portfolios in terms of risk-adjusted performance. This ranking is determined by the cumulative values of the indicators listed below.
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.
| Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|
SWDA.L iShares Core MSCI World UCITS ETF USD (Acc) | 2.21 | 3.13 | 1.41 | 2.04 | 9.76 |
IPRP.L iShares European Property Yield UCITS ETF | 1.39 | 2.18 | 1.25 | 0.64 | 4.78 |
EMIM.L iShares Core MSCI Emerging Markets IMI UCITS ETF (Acc) | 1.15 | 1.77 | 1.20 | 0.56 | 5.38 |
MEUD.L Lyxor Core STOXX Europe 600 (DR) - UCITS ETF Acc | 1.59 | 2.36 | 1.28 | 1.44 | 6.58 |
Dividends
Dividend yield
Futura granted a 0.59% dividend yield in the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Futura | 0.59% | 0.61% | 0.98% | 0.49% | 0.59% | 0.69% | 0.74% | 0.64% | 0.61% | 0.72% | 0.76% | 0.72% |
| 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% |
IPRP.L iShares European Property Yield UCITS ETF | 2.97% | 3.05% | 4.90% | 2.47% | 2.96% | 3.46% | 3.70% | 3.20% | 3.07% | 3.60% | 3.78% | 3.62% |
EMIM.L iShares Core MSCI Emerging Markets IMI 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% |
MEUD.L Lyxor Core STOXX Europe 600 (DR) - 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.
Worst Drawdowns
The table below displays the maximum drawdowns of the Futura. 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 Futura was 34.68%, occurring on Oct 11, 2022. Recovery took 402 trading sessions.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -34.68% | Sep 7, 2021 | 276 | Oct 11, 2022 | 402 | May 16, 2024 | 678 |
| -34.47% | Feb 17, 2020 | 23 | Mar 18, 2020 | 163 | Nov 9, 2020 | 186 |
| -19.53% | Apr 28, 2015 | 186 | Jan 20, 2016 | 292 | Mar 15, 2017 | 478 |
| -18.63% | Jan 29, 2018 | 232 | Dec 27, 2018 | 232 | Nov 26, 2019 | 464 |
| -11.98% | Jul 4, 2014 | 73 | Oct 15, 2014 | 132 | Apr 24, 2015 | 205 |
Volatility
Volatility Chart
The current Futura volatility is 3.94%, 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.
Diversification
Asset Correlations Table
| IPRP.L | EMIM.L | SWDA.L | MEUD.L | |
|---|---|---|---|---|
| IPRP.L | 1.00 | 0.48 | 0.57 | 0.67 |
| EMIM.L | 0.48 | 1.00 | 0.75 | 0.73 |
| SWDA.L | 0.57 | 0.75 | 1.00 | 0.88 |
| MEUD.L | 0.67 | 0.73 | 0.88 | 1.00 |