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indexa
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


VOO 44.3%IEUR 25.3%EEM 12.6%VB 8.9%EWJ 8.9%EquityEquity
PositionCategory/SectorWeight
EEM
iShares MSCI Emerging Markets ETF
Asia Pacific Equities
12.60%
EWJ
iShares MSCI Japan ETF
Japan Equities
8.90%
IEUR
iShares Core MSCI Europe ETF
Europe Equities
25.30%
VB
Vanguard Small-Cap ETF
Small Cap Growth Equities
8.90%
VOO
Vanguard S&P 500 ETF
Large Cap Growth Equities
44.30%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in indexa, 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%MayJuneJulyAugustSeptemberOctober
11.45%
15.83%
indexa
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jun 12, 2014, corresponding to the inception date of IEUR

Returns By Period

As of Oct 30, 2024, the indexa returned 15.98% Year-To-Date and 9.11% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
22.29%1.65%15.83%39.98%13.99%11.23%
indexa15.98%-1.18%11.45%33.31%10.79%9.11%
IEUR
iShares Core MSCI Europe ETF
8.10%-5.20%5.40%25.36%7.23%5.71%
VOO
Vanguard S&P 500 ETF
23.64%1.79%16.67%42.02%15.81%13.26%
EEM
iShares MSCI Emerging Markets ETF
13.14%-3.07%10.98%25.58%3.52%2.92%
VB
Vanguard Small-Cap ETF
13.13%0.80%12.55%37.41%10.51%9.26%
EWJ
iShares MSCI Japan ETF
7.37%-3.83%2.37%19.88%4.87%5.22%

Monthly Returns

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


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-0.06%4.32%3.44%-3.51%4.65%0.95%2.24%2.23%1.96%15.98%
20237.91%-3.05%2.71%1.57%-1.57%5.77%3.56%-3.13%-4.30%-2.91%8.87%5.12%21.20%
2022-4.29%-3.30%1.26%-7.74%0.90%-8.33%6.84%-4.54%-9.55%6.58%9.10%-3.89%-17.56%
2021-0.19%2.75%2.96%3.93%1.75%0.79%0.53%2.31%-3.97%4.72%-2.66%4.03%17.87%
2020-1.97%-7.62%-14.19%9.92%5.25%2.82%4.83%5.56%-2.74%-2.18%12.43%4.99%14.87%
20198.16%2.52%1.17%3.53%-6.26%6.53%-0.32%-2.03%2.33%2.91%2.39%3.71%26.66%
20185.64%-4.53%-1.08%0.34%0.48%-0.68%3.16%0.68%0.30%-7.82%1.58%-7.34%-9.71%
20172.83%2.40%1.64%1.81%2.38%0.55%2.65%0.33%2.23%2.11%1.88%1.50%24.68%
2016-5.45%-1.37%7.55%1.18%0.65%-0.51%4.04%0.50%0.79%-2.03%1.20%2.18%8.49%
2015-1.19%5.74%-1.24%2.50%0.38%-2.23%0.83%-6.57%-3.38%7.11%-0.01%-2.43%-1.26%
20141.09%-1.88%2.50%-3.13%1.29%1.33%-1.73%-0.66%

Expense Ratio

indexa has an expense ratio of 0.17%, 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.


Expense ratio chart for EEM: current value at 0.68% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.68%
Expense ratio chart for EWJ: current value at 0.49% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.49%
Expense ratio chart for IEUR: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%
Expense ratio chart for VB: current value at 0.05% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.05%
Expense ratio chart for VOO: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of indexa is 47, 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 indexa is 4747
Combined Rank
The Sharpe Ratio Rank of indexa is 4545Sharpe Ratio Rank
The Sortino Ratio Rank of indexa is 4848Sortino Ratio Rank
The Omega Ratio Rank of indexa is 4747Omega Ratio Rank
The Calmar Ratio Rank of indexa is 4040Calmar Ratio Rank
The Martin Ratio Rank of indexa is 5757Martin 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.


indexa
Sharpe ratio
The chart of Sharpe ratio for indexa, currently valued at 2.90, compared to the broader market0.002.004.006.002.90
Sortino ratio
The chart of Sortino ratio for indexa, currently valued at 3.98, compared to the broader market-2.000.002.004.006.003.98
Omega ratio
The chart of Omega ratio for indexa, currently valued at 1.53, compared to the broader market0.801.001.201.401.601.802.001.53
Calmar ratio
The chart of Calmar ratio for indexa, currently valued at 2.53, compared to the broader market0.005.0010.002.53
Martin ratio
The chart of Martin ratio for indexa, currently valued at 19.49, compared to the broader market0.0010.0020.0030.0040.0050.0060.0019.49
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 3.43, compared to the broader market0.002.004.006.003.43
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 4.52, compared to the broader market-2.000.002.004.006.004.52
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.64, compared to the broader market0.801.001.201.401.601.802.001.64
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 3.17, compared to the broader market0.005.0010.003.17
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 22.22, compared to the broader market0.0010.0020.0030.0040.0050.0060.0022.22

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
IEUR
iShares Core MSCI Europe ETF
2.072.921.351.8512.26
VOO
Vanguard S&P 500 ETF
3.624.771.684.1423.93
EEM
iShares MSCI Emerging Markets ETF
1.742.481.310.819.46
VB
Vanguard Small-Cap ETF
2.213.051.381.6112.44
EWJ
iShares MSCI Japan ETF
1.181.641.211.105.63

Sharpe Ratio

The current indexa Sharpe ratio is 2.90. 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 2.49 to 3.44, 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 indexa 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 Ratio1.001.502.002.503.003.50MayJuneJulyAugustSeptemberOctober
2.90
3.43
indexa
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

indexa provided a 1.92% dividend yield over the last twelve months.


TTM20232022202120202019201820172016201520142013
indexa1.92%2.10%2.09%1.83%1.60%2.31%2.45%1.92%2.24%2.19%1.51%1.29%
IEUR
iShares Core MSCI Europe ETF
3.02%3.17%3.05%2.88%2.13%3.26%3.76%2.64%3.19%2.79%0.64%0.00%
VOO
Vanguard S&P 500 ETF
1.27%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%
EEM
iShares MSCI Emerging Markets ETF
2.30%2.63%2.50%1.99%1.45%2.76%2.22%1.87%1.88%2.48%2.22%2.04%
VB
Vanguard Small-Cap ETF
1.38%1.55%1.59%1.24%1.14%1.39%1.67%1.35%1.50%1.48%1.43%1.31%
EWJ
iShares MSCI Japan ETF
2.02%2.03%1.23%2.08%1.04%2.03%1.71%1.25%1.95%1.27%1.32%1.11%

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%MayJuneJulyAugustSeptemberOctober
-1.55%
-0.54%
indexa
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the indexa. 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 indexa was 34.13%, occurring on Mar 23, 2020. Recovery took 109 trading sessions.

The current indexa drawdown is 1.55%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-34.13%Feb 13, 202027Mar 23, 2020109Aug 26, 2020136
-27.02%Nov 9, 2021233Oct 12, 2022324Jan 29, 2024557
-20.07%Jan 29, 2018229Dec 24, 2018212Oct 28, 2019441
-19.35%May 22, 2015183Feb 11, 2016212Dec 13, 2016395
-9.59%Jul 7, 201473Oct 16, 201482Feb 13, 2015155

Volatility

Volatility Chart

The current indexa volatility is 2.61%, 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%MayJuneJulyAugustSeptemberOctober
2.61%
2.71%
indexa
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.

EWJEEMVBIEURVOO
EWJ1.000.650.640.690.69
EEM0.651.000.650.740.69
VB0.640.651.000.720.86
IEUR0.690.740.721.000.76
VOO0.690.690.860.761.00
The correlation results are calculated based on daily price changes starting from Jun 13, 2014