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A quiet trip..
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

A quiet trip..

Last updated Dec 3, 2024

Asset Allocation

CRPA.L 14%VWOB 14%IUS5.DE 7%IAU 15%VWCE.DE 50%BondBondCommodityCommodityEquityEquity
PositionCategory/SectorWeight
CRPA.L
iShares Global Corporate Bond UCITS ETF USD (Acc)		Global Corporate Bonds
14%
IAU
iShares Gold Trust		Precious Metals, Gold
15%
IUS5.DE
iShares Global Inflation Linked Government Bond UCITS ETF USD (Acc)		Inflation-Protected Bonds
7%
VWCE.DE
Vanguard FTSE All-World UCITS ETF		Global Equities
50%
VWOB
Vanguard Emerging Markets Government Bond ETF		Emerging Markets Bonds
14%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in A quiet trip.., 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

0.00%5.00%10.00%15.00%JulyAugustSeptemberOctoberNovemberDecember
8.76%
14.29%
A quiet trip..
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jul 25, 2019, corresponding to the inception date of VWCE.DE

Returns By Period

YTD1M6M1Y5Y (annualized)10Y (annualized)
^GSPC
S&P 500		26.78%5.56%14.46%31.61%14.25%11.32%
A quiet trip..15.57%1.42%8.76%20.29%7.66%N/A
Portfolio components:
IAU
iShares Gold Trust		27.57%-3.55%13.21%29.76%11.82%8.06%
IUS5.DE
iShares Global Inflation Linked Government Bond UCITS ETF USD (Acc)		0.01%-0.03%0.97%4.03%-0.94%2.05%
CRPA.L
iShares Global Corporate Bond UCITS ETF USD (Acc)		2.80%0.63%3.54%7.09%0.13%N/A
VWOB
Vanguard Emerging Markets Government Bond ETF		6.90%1.52%4.99%11.08%0.75%3.00%
VWCE.DE
Vanguard FTSE All-World UCITS ETF		20.60%3.38%11.07%26.44%11.21%N/A

Monthly Returns

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

JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-0.21%1.70%3.50%-1.75%2.36%1.81%2.25%1.88%2.72%-1.00%1.61%15.57%
20235.43%-3.22%3.55%1.13%-1.21%3.10%2.37%-1.83%-3.82%-1.05%6.74%4.35%15.94%
2022-3.95%-1.12%0.82%-5.89%-1.22%-5.98%4.14%-3.28%-6.92%1.93%6.95%-1.17%-15.47%
2021-1.10%-0.65%1.06%3.09%2.47%-0.45%1.34%1.18%-3.08%2.57%-1.20%2.54%7.83%
20200.49%-4.70%-8.19%6.70%3.21%3.08%5.28%3.44%-2.46%-1.42%6.11%4.36%15.73%
2019-0.36%0.44%0.42%1.83%0.78%3.09%6.33%

Expense Ratio

A quiet trip.. 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.

IAU
iShares Gold Trust
Expense ratio chart for IAU: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%
VWCE.DE
Vanguard FTSE All-World UCITS ETF
Expense ratio chart for VWCE.DE: current value at 0.22% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.22%
IUS5.DE
iShares Global Inflation Linked Government Bond UCITS ETF USD (Acc)
Expense ratio chart for IUS5.DE: 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%
CRPA.L
iShares Global Corporate Bond UCITS ETF USD (Acc)
Expense ratio chart for CRPA.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%
VWOB
Vanguard Emerging Markets Government Bond ETF
Expense ratio chart for VWOB: 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%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of A quiet trip.. is 72, 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.

The Risk-Adjusted Performance Rank of A quiet trip.. is 7272
Overall Rank
The Sharpe Ratio Rank of A quiet trip.. is 6969
Sharpe Ratio Rank
The Sortino Ratio Rank of A quiet trip.. is 8181
Sortino Ratio Rank
The Omega Ratio Rank of A quiet trip.. is 7676
Omega Ratio Rank
The Calmar Ratio Rank of A quiet trip.. is 5252
Calmar Ratio Rank
The Martin Ratio Rank of A quiet trip.. is 7979
Martin 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.

Sharpe ratio
The chart of Sharpe ratio for A quiet trip.., currently valued at 2.65, compared to the broader market0.002.004.006.002.652.64
The chart of Sortino ratio for A quiet trip.., currently valued at 3.87, compared to the broader market-2.000.002.004.006.003.873.52
The chart of Omega ratio for A quiet trip.., currently valued at 1.50, compared to the broader market0.801.001.201.401.601.802.001.501.49
The chart of Calmar ratio for A quiet trip.., currently valued at 3.44, compared to the broader market0.005.0010.0015.003.443.82
The chart of Martin ratio for A quiet trip.., currently valued at 18.07, compared to the broader market0.0010.0020.0030.0040.0050.0060.0018.0716.94
A quiet trip..
^GSPC
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
IAU
iShares Gold Trust		2.222.931.394.0312.46
IUS5.DE
iShares Global Inflation Linked Government Bond UCITS ETF USD (Acc)		0.520.801.100.161.26
CRPA.L
iShares Global Corporate Bond UCITS ETF USD (Acc)		1.141.711.210.453.87
VWOB
Vanguard Emerging Markets Government Bond ETF		1.542.231.280.807.39
VWCE.DE
Vanguard FTSE All-World UCITS ETF		2.383.301.443.3114.76

The current A quiet trip.. Sharpe ratio is 2.65. 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 2.76, this portfolio's current Sharpe ratio lies between the 25th and 75th percentiles. This indicates that the its risk-adjusted performance is in line with the majority of portfolios. This suggests a balanced approach to risk and return, which might be suitable for a broad range of investors.

Use the chart below to compare the Sharpe ratio of A quiet trip.. 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 Ratio1.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
2.65
2.64
A quiet trip..
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

A quiet trip.. provided a 0.75% dividend yield over the last twelve months.

TTM20232022202120202019201820172016201520142013
Portfolio0.75%0.77%0.74%0.57%0.58%0.64%0.63%0.65%0.66%0.69%0.63%0.33%
Portfolio components:
IAU
iShares Gold Trust		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
IUS5.DE
iShares Global Inflation Linked Government Bond 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%
CRPA.L
iShares Global Corporate Bond 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%
VWOB
Vanguard Emerging Markets Government Bond ETF		5.38%5.50%5.31%4.04%4.18%4.58%4.53%4.61%4.71%4.93%4.49%2.39%
VWCE.DE
Vanguard FTSE All-World UCITS ETF		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%JulyAugustSeptemberOctoberNovemberDecember
-0.18%
0
A quiet trip..
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the A quiet trip... 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 A quiet trip.. was 23.27%, occurring on Oct 14, 2022. Recovery took 357 trading sessions.

The current A quiet trip.. drawdown is 0.18%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-23.27%Nov 10, 2021242Oct 14, 2022357Mar 4, 2024599
-22.7%Feb 20, 202020Mar 18, 202082Jul 13, 2020102
-4.94%Feb 16, 202114Mar 5, 202128Apr 15, 202142
-4.78%Sep 3, 202016Sep 24, 202030Nov 5, 202046
-4.48%Sep 7, 202120Oct 4, 202124Nov 5, 202144

Volatility

Volatility Chart

The current A quiet trip.. volatility is 2.20%, 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.

1.00%2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
2.20%
3.39%
A quiet trip..
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.
VWCE.DEIAUIUS5.DEVWOBCRPA.L
VWCE.DE1.000.170.230.440.31
IAU0.171.000.440.330.34
IUS5.DE0.230.441.000.490.63
VWOB0.440.330.491.000.57
CRPA.L0.310.340.630.571.00
The correlation results are calculated based on daily price changes starting from Jul 26, 2019
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Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio

DrawdownsExpected ShortfallUlcer IndexValue at RiskClose-to-Close VolatilityParkinson VolatilityGarman Klass VolatilityRogers-Satchell VolatilityYang Zhang Volatility

Asset CorrelationsPortfolio OptimizationRisk Parity OptimizationHierarchical Risk Parity (HRP) Optimization

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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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