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90 VWCE - 10 ZPRV
Performance
Return for Risk
Dividends
Drawdowns
Volatility
Diversification

90 VWCE - 10 ZPRV

Currency in USD · Last updated Jun 5, 2026

Asset Allocation

VT 90.00%ZPRV.DE 10.00%EquityEquity
PositionCategory/SectorTarget Weight
VT
Vanguard Total World Stock ETF		Global Equities
90%
ZPRV.DE
SPDR MSCI USA Small Cap Value Weighted UCITS ETF		Small Cap Value Equities
10%

S&P 500 Index

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Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in 90 VWCE - 10 ZPRV, 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 Every 3 months.

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Returns By Period

As of Jun 5, 2026, the 90 VWCE - 10 ZPRV returned 9.64% Year-To-Date and 12.35% of annualized return in the last 10 years.

Position1D1MYTD6M1Y3Y*5Y*10Y*
Benchmark
S&P 500 Index
-2.64%0.25%7.86%7.47%————
Portfolio
90 VWCE - 10 ZPRV
-2.78%-0.76%9.64%10.12%26.88%19.68%10.34%12.35%
Portfolio components:
VT
Vanguard Total World Stock ETF		-3.07%-0.89%9.20%9.69%25.79%19.73%10.38%12.30%
ZPRV.DE
SPDR MSCI USA Small Cap Value Weighted UCITS ETF		0.88%0.50%13.25%13.72%36.64%19.74%9.64%11.88%
*Multi-year figures are annualized to reflect compound growth (CAGR)

Monthly Returns

Based on dividend-adjusted daily data since Feb 23, 2015, 90 VWCE - 10 ZPRV's average daily return is +0.04%, while the average monthly return is +0.93%. At this rate, an investment would double in approximately 6.2 years.

Historically, 67% of months were positive and 33% were negative. The best month was Nov 2020 with a return of +13.4%, while the worst month was Mar 2020 at -15.8%. The longest winning streak lasted 15 consecutive months, and the longest losing streak was 3 months.

On a daily basis, 90 VWCE - 10 ZPRV closed higher 55% of trading days. The best single day was Mar 24, 2020 with a return of +9.2%, while the worst single day was Mar 16, 2020 at -11.0%.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20263.17%1.83%-6.01%9.25%4.22%-2.48%9.64%
20253.26%-0.91%-3.70%0.03%5.86%4.72%1.17%3.34%3.11%1.83%0.58%0.99%21.83%
2024-0.37%4.18%3.37%-3.82%4.49%1.24%2.89%1.87%2.20%-1.99%4.66%-3.61%15.64%
20237.97%-2.92%1.73%1.17%-1.43%6.27%4.04%-2.86%-4.34%-3.30%9.04%6.01%22.13%
2022-4.67%-2.16%1.85%-7.80%0.41%-8.33%7.26%-3.82%-9.47%6.75%7.76%-4.48%-17.27%
20210.64%3.26%3.22%4.09%1.71%0.95%0.36%2.25%-3.81%4.99%-2.64%3.83%20.12%

Benchmark Metrics

90 VWCE - 10 ZPRV has an annualized alpha of 2.54%, beta of 1.00, and R2 of 0.92 versus S&P 500 Index. Calculated based on daily prices since February 23, 2015.

  • This portfolio participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (98.47%) than losses (70.32%) - typical of diversified or defensive assets.
  • This portfolio generated an annualized alpha of 2.54% versus S&P 500 Index - delivering returns beyond what market exposure alone would predict.
  • With beta of 1.00 and R2 of 0.92, this portfolio moves broadly in line with S&P 500 Index - much of its variation is explained by market exposure rather than independent behavior.
Alpha
2.54%
Beta
1.00
R²
0.92
Upside Capture
98.47%
Downside Capture
70.32%

Expense Ratio

90 VWCE - 10 ZPRV has an expense ratio of 0.08%, which is considered low. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.

ZPRV.DE
SPDR MSCI USA Small Cap Value Weighted UCITS ETF
VT
Vanguard Total World Stock ETF

Return for Risk

Risk / Return Rank

90 VWCE - 10 ZPRV ranks 53 for risk / return — on par with similar Portfolios. You're getting a typical balance of risk and reward. Not a standout, but not a red flag either — a reasonable choice if other factors align with your goals.

90 VWCE - 10 ZPRV Risk / Return Rank: 5353
Overall Rank
90 VWCE - 10 ZPRV Sharpe Ratio Rank: 5252
Sharpe Ratio Rank
90 VWCE - 10 ZPRV Sortino Ratio Rank: 5353
Sortino Ratio Rank
90 VWCE - 10 ZPRV Omega Ratio Rank: 5353
Omega Ratio Rank
90 VWCE - 10 ZPRV Calmar Ratio Rank: 5151
Calmar Ratio Rank
90 VWCE - 10 ZPRV Martin Ratio Rank: 5858
Martin Ratio Rank
The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

Return / Risk — by metrics

The table below presents risk-adjusted performance metrics for 90 VWCE - 10 ZPRV and compares them with S&P 500 Index.

PortfolioBenchmarkDifference
Sharpe ratioReturn per unit of total volatility

2.08

—

—

Sortino ratioReturn per unit of downside risk

2.86

—

—

Omega ratioGain probability vs. loss probability

1.38

—

—

Calmar ratioReturn relative to maximum drawdown

2.86

—

—

Martin ratioReturn relative to average drawdown

12.53

—

—

Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

How much return does each position deliver for the risk it carries? Higher values mean better reward for the risk taken.

PositionRisk / Return RankSharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
VT
Vanguard Total World Stock ETF		601.982.701.362.6811.87
ZPRV.DE
SPDR MSCI USA Small Cap Value Weighted UCITS ETF		782.283.281.394.5514.35

Sharpe Ratio

The Sharpe ratio helps investors understand how much return they're getting for the level of risk taken. A higher Sharpe ratio indicates better risk-adjusted performance, meaning more reward for each unit of risk.

90 VWCE - 10 ZPRV Sharpe ratios as of Jun 5, 2026 (values are recalculated daily):

  • 1-Year: 2.08
  • 5-Year: 0.65
  • 10-Year: 0.72
  • All Time: 0.63

These values reflect how efficiently the investment has delivered returns relative to its volatility over different time periods. All figures are annualized and based on daily total returns (including price changes and dividends).

Compared to the broad market, where average Sharpe ratios range from 1.84 to 2.81, this portfolio's current Sharpe ratio falls between the 25th and 75th percentiles. This indicates that its risk-adjusted performance is in line with the majority of portfolios, suggesting a balanced approach to risk and return—likely suitable for a wide range of investors.

The chart below shows the rolling Sharpe ratio of 90 VWCE - 10 ZPRV compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time.

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Dividends

Dividend yield

90 VWCE - 10 ZPRV provided a 1.47% dividend yield over the last twelve months.

PositionTTM20252024202320222021202020192018201720162015
Portfolio1.47%1.64%1.76%1.87%1.98%1.64%1.49%2.09%2.28%1.90%2.15%2.21%
Portfolio components:
VT
Vanguard Total World Stock ETF		1.64%1.82%1.95%2.08%2.20%1.82%1.66%2.32%2.53%2.11%2.39%2.45%
ZPRV.DE
SPDR MSCI USA Small Cap Value Weighted 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.

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Worst Drawdowns

The table below displays the maximum drawdowns of the 90 VWCE - 10 ZPRV. 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 90 VWCE - 10 ZPRV was 35.49%, occurring on Mar 23, 2020. Recovery took 113 trading sessions.

The current 90 VWCE - 10 ZPRV drawdown is 0.43%.

Related event

Drawdown

Fall

Recovery

Underwater

COVID crash2020
-35.49%Mar 2020
2mo 2d5mo 8d
7mo 10dJan 2020 - Aug 2020
Bear market2022
-25.78%Oct 2022
11mo 7d1y 3mo
2y 2moNov 2021 - Jan 2024
2016 bear market2016
-20.09%Feb 2016
8mo 25d10mo
1y 6moMay 2015 - Dec 2016
Rate-hike selloffLate 2018
-19.85%Dec 2018
10mo 29d10mo 8d
1y 9moJan 2018 - Oct 2019
2025 selloff2025
-16.68%Apr 2025
1mo 18d1mo 27d
3mo 15dFeb 2025 - Jun 2025

Volatility

Volatility Chart

The chart below shows the rolling one-month volatility.

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Diversification

Diversification Metrics

Number of Effective Assets

The portfolio contains 2 assets, with an effective number of assets of 1.22, reflecting the diversification based on asset allocation. Your allocation shows noticeable concentration: a few holdings carry significantly more weight than the rest. Rebalancing toward more even weights — or adding less correlated assets — could reduce risk.

Diversification Ratio
1Y
3Y
5Y
10Y
All Time
Diversification Ratio

1.05

1.07

1.06

1.06

1.06

The portfolio has a diversification ratio of 1.06, placing it in the bottom quartile across portfolios — positions are highly correlated. Consider adding assets from different classes or sectors to reduce risk.

90 VWCE - 10 ZPRV correlation to the S&P 500 Index

90 VWCE - 10 ZPRV has a 0.95 correlation to S&P 500 Index over the trailing 12 months. This section compares each holding's correlation to the benchmark and to the portfolio.
Correlation
Correlation (1Y)
Calculated over the trailing 1-year period

0.95

Correlation (3Y)
Calculated over the trailing 3-year period

0.95

Correlation (5Y)
Calculated over the trailing 5-year period

0.95

Correlation (10Y)
Calculated over the trailing 10-year period

0.95

Correlation (All Time)
Calculated using the full available price history since Feb 23, 2015

0.95

Benchmark Correlations

Correlation vs. S&P 500 Index. VT has the highest benchmark correlation at 0.96, while ZPRV.DE has the lowest at 0.55.

ZPRV.DE
0.55
VT
0.96

Portfolio Correlations

Correlation vs. 90 VWCE - 10 ZPRV. VT has the highest portfolio correlation at 0.99, while ZPRV.DE has the lowest at 0.58.

ZPRV.DE
0.58
VT
0.99

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.
ZPRV.DEVT
ZPRV.DE1.000.49
VT0.491.00
The correlation results are calculated based on daily price changes starting from Feb 23, 2015
Diversification Analysis

Find what 90 VWCE - 10 ZPRV is missing

See which holdings overlap, where 90 VWCE - 10 ZPRV is concentrated, and which low-correlation assets could fill the gaps.

Analyze Diversification