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70 VWCE - 10 ZPRV - 20 VUAA

Last updated May 27, 2023

Asset Allocation


Performance

The chart shows the growth of an initial investment of $10,000 in 70 VWCE - 10 ZPRV - 20 VUAA, 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


75.00%80.00%85.00%90.00%95.00%100.00%December2023FebruaryMarchAprilMay
88.69%
99.28%
70 VWCE - 10 ZPRV - 20 VUAA
Benchmark (^GSPC)
Portfolio components

Returns

As of May 27, 2023, the 70 VWCE - 10 ZPRV - 20 VUAA returned 7.92% Year-To-Date and 7.81% of annualized return in the last 10 years.


1 monthYear-To-Date6 months1 year5 years (annualized)10 years (annualized)
Benchmark0.86%9.53%6.09%1.14%8.86%8.50%
70 VWCE - 10 ZPRV - 20 VUAA-0.06%7.92%5.58%0.95%7.51%7.81%
VT
Vanguard Total World Stock ETF
-0.12%8.59%6.82%1.48%6.66%7.09%
ZPRV.DE
SPDR MSCI USA Small Cap Value Weighted UCITS ETF
-1.77%-1.28%-5.42%-6.53%5.56%6.35%
VOO
Vanguard S&P 500 ETF
1.00%10.28%6.97%2.84%10.70%10.48%

Asset Correlations Table

The table below shows the correlation coefficients between the assets in the portfolio.

ZPRV.DEVOOVT
ZPRV.DE1.000.430.47
VOO0.431.000.95
VT0.470.951.00

Sharpe Ratio Chart

The Sharpe ratio shows whether the portfolio's excess returns are due to smart investment decisions or a result of taking a higher risk. The higher a portfolio's Sharpe ratio, the better its risk-adjusted performance.

The current 70 VWCE - 10 ZPRV - 20 VUAA Sharpe ratio is 0.07. A Sharpe ratio between 0 and 1.0 is considered sub-optimal.

The chart below displays rolling 12-month Sharpe Ratio.


-0.80-0.60-0.40-0.200.000.200.40December2023FebruaryMarchAprilMay
0.07
0.10
70 VWCE - 10 ZPRV - 20 VUAA
Benchmark (^GSPC)
Portfolio components

Dividend yield

70 VWCE - 10 ZPRV - 20 VUAA granted a 2.02% dividend yield in the last twelve months.


TTM20222021202020192018201720162015201420132012
70 VWCE - 10 ZPRV - 20 VUAA2.02%1.88%1.56%1.53%2.13%2.38%2.04%2.36%2.49%2.48%2.21%2.56%
VT
Vanguard Total World Stock ETF
2.34%2.21%1.87%1.73%2.47%2.77%2.36%2.73%2.88%2.92%2.53%2.90%
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%
VOO
Vanguard S&P 500 ETF
1.93%1.70%1.27%1.60%1.99%2.22%1.95%2.25%2.40%2.16%2.18%2.64%

Expense Ratio

The 70 VWCE - 10 ZPRV - 20 VUAA has an expense ratio of 0.08% which is considered to be low. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


Risk-Adjusted Performance

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 ratioSortino ratioOmega ratioCalmar ratioUlcer Index
VT
Vanguard Total World Stock ETF
0.27
ZPRV.DE
SPDR MSCI USA Small Cap Value Weighted UCITS ETF
-0.30
VOO
Vanguard S&P 500 ETF
0.36

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.


-22.00%-20.00%-18.00%-16.00%-14.00%-12.00%-10.00%December2023FebruaryMarchAprilMay
-11.42%
-12.32%
70 VWCE - 10 ZPRV - 20 VUAA
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below shows the maximum drawdowns of the 70 VWCE - 10 ZPRV - 20 VUAA. A maximum drawdown is an indicator of risk. It shows a reduction in portfolio value from its maximum due to a series of losing trades.

The maximum drawdown since January 2010 for the 70 VWCE - 10 ZPRV - 20 VUAA is 35.27%, recorded on Mar 23, 2020. It took 111 trading sessions for the portfolio to recover.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-35.27%Feb 13, 202028Mar 23, 2020111Aug 26, 2020139
-25.09%Jan 5, 2022200Oct 12, 2022
-19.2%Jan 29, 2018235Dec 24, 2018134Jul 3, 2019369
-18.75%May 22, 2015185Feb 11, 2016146Sep 6, 2016331
-7.95%Sep 3, 202016Sep 24, 202012Oct 12, 202028

Volatility Chart

The current 70 VWCE - 10 ZPRV - 20 VUAA volatility is 3.70%, 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%7.00%8.00%December2023FebruaryMarchAprilMay
3.70%
3.82%
70 VWCE - 10 ZPRV - 20 VUAA
Benchmark (^GSPC)
Portfolio components