Asset Allocation
| Position | Category/Sector | Target Weight |
|---|---|---|
VT Vanguard Total World Stock ETF | Global Equities | 70% |
VOO Vanguard S&P 500 ETF | S&P 500 | 20% |
ZPRV.DE SPDR MSCI USA Small Cap Value Weighted UCITS ETF | Small Cap Value Equities | 10% |
Find the right asset allocation for 70 VWCE - 10 ZPRV - 20 VUAA
Add portfolio to the optimizer to find optimal allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.
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Performance Chart
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 Every 3 months.
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Returns By Period
As of Jun 5, 2026, the 70 VWCE - 10 ZPRV - 20 VUAA returned 9.50% Year-To-Date and 12.95% of annualized return in the last 10 years.
| Position | 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | -2.64% | 0.25% | 7.86% | 7.47% | — | — | — | — |
Portfolio 70 VWCE - 10 ZPRV - 20 VUAA | -2.68% | -0.48% | 9.50% | 9.83% | 26.91% | 20.06% | 10.96% | 12.95% |
| Portfolio components: | ||||||||
VOO Vanguard S&P 500 ETF | -2.59% | 0.50% | 8.45% | 8.18% | 25.87% | 21.52% | 13.39% | 15.23% |
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% |
Monthly Returns
Based on dividend-adjusted daily data since Feb 23, 2015, 70 VWCE - 10 ZPRV - 20 VUAA's average daily return is +0.05%, while the average monthly return is +0.98%. At this rate, an investment would double in approximately 5.9 years.
Historically, 66% of months were positive and 34% were negative. The best month was Nov 2020 with a return of +13.2%, while the worst month was Mar 2020 at -15.3%. The longest winning streak lasted 15 consecutive months, and the longest losing streak was 3 months.
On a daily basis, 70 VWCE - 10 ZPRV - 20 VUAA closed higher 55% of trading days. The best single day was Mar 24, 2020 with a return of +9.3%, while the worst single day was Mar 16, 2020 at -11.0%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 2.84% | 1.35% | -5.78% | 9.50% | 4.37% | -2.43% | 9.50% | ||||||
| 2025 | 3.19% | -1.08% | -4.11% | -0.24% | 5.96% | 4.82% | 1.40% | 3.16% | 3.14% | 1.90% | 0.58% | 0.82% | 20.91% |
| 2024 | -0.05% | 4.32% | 3.39% | -3.90% | 4.58% | 1.64% | 2.73% | 1.88% | 2.20% | -1.74% | 5.01% | -3.48% | 17.31% |
| 2023 | 7.70% | -2.78% | 1.90% | 1.21% | -1.08% | 6.41% | 3.95% | -2.62% | -4.43% | -3.15% | 9.08% | 5.89% | 22.99% |
| 2022 | -4.81% | -2.20% | 2.22% | -7.94% | 0.37% | -8.36% | 7.70% | -3.84% | -9.40% | 7.09% | 7.21% | -4.74% | -17.29% |
| 2021 | 0.48% | 3.28% | 3.56% | 4.32% | 1.53% | 1.16% | 0.73% | 2.39% | -3.92% | 5.36% | -2.26% | 3.99% | 22.21% |
Benchmark Metrics
70 VWCE - 10 ZPRV - 20 VUAA has an annualized alpha of 2.68%, beta of 0.99, and R2 of 0.94 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 (99.75%) than losses (73.91%) - typical of diversified or defensive assets.
- This portfolio generated an annualized alpha of 2.68% versus S&P 500 Index - delivering returns beyond what market exposure alone would predict.
- With beta of 0.99 and R2 of 0.94, 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
- 2.68%
- Beta
- 0.99
- R²
- 0.94
- Upside Capture
- 99.75%
- Downside Capture
- 73.91%
Expense Ratio
70 VWCE - 10 ZPRV - 20 VUAA 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.
Return for Risk
Risk / Return Rank
70 VWCE - 10 ZPRV - 20 VUAA ranks 56 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.
Return / Risk — by metrics
The table below presents risk-adjusted performance metrics for 70 VWCE - 10 ZPRV - 20 VUAA and compares them with S&P 500 Index.
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | 2.13 | — | — |
| Sortino ratioReturn per unit of downside risk | 2.92 | — | — |
| Omega ratioGain probability vs. loss probability | 1.39 | — | — |
| Calmar ratioReturn relative to maximum drawdown | 2.93 | — | — |
| Martin ratioReturn relative to average drawdown | 13.04 | — | — |
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.
| Position | Risk / Return Rank | Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio |
|---|---|---|---|---|---|---|
VOO Vanguard S&P 500 ETF | 66 | 2.15 | 2.89 | 1.39 | 2.92 | 13.53 |
VT Vanguard Total World Stock ETF | 60 | 1.98 | 2.70 | 1.36 | 2.68 | 11.87 |
ZPRV.DE SPDR MSCI USA Small Cap Value Weighted UCITS ETF | 78 | 2.28 | 3.28 | 1.39 | 4.55 | 14.35 |
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Dividends
Dividend yield
70 VWCE - 10 ZPRV - 20 VUAA provided a 1.36% dividend yield over the last twelve months.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 1.36% | 1.50% | 1.62% | 1.75% | 1.88% | 1.52% | 1.47% | 2.00% | 2.19% | 1.83% | 2.07% | 2.14% |
| Portfolio components: | ||||||||||||
VOO Vanguard S&P 500 ETF | 1.05% | 1.13% | 1.24% | 1.46% | 1.69% | 1.25% | 1.54% | 1.88% | 2.06% | 1.78% | 2.02% | 2.10% |
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 70 VWCE - 10 ZPRV - 20 VUAA. 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 70 VWCE - 10 ZPRV - 20 VUAA was 35.27%, occurring on Mar 23, 2020. Recovery took 111 trading sessions.
The current 70 VWCE - 10 ZPRV - 20 VUAA drawdown is 0.39%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
COVID crash2020 | -35.27%Mar 2020 | 1mo 9d | 5mo 6d | 6mo 15dFeb 2020 - Aug 2020 |
Bear market2022 | -25.08%Oct 2022 | 9mo 10d | 1y 2mo | 1y 11moJan 2022 - Dec 2023 |
Rate-hike selloffLate 2018 | -19.21%Dec 2018 | 10mo 29d | 6mo 11d | 1y 5moJan 2018 - Jul 2019 |
2016 correction2016 | -18.75%Feb 2016 | 8mo 25d | 6mo 28d | 1y 3moMay 2015 - Sep 2016 |
2025 selloff2025 | -17.07%Apr 2025 | 1mo 18d | 1mo 29d | 3mo 17dFeb 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 3 assets, with an effective number of assets of 1.85, 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 | 1.08 | 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.
70 VWCE - 10 ZPRV - 20 VUAA correlation to the S&P 500 Index
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.96 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.96 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.96 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.96 |
Correlation (All Time) Calculated using the full available price history since Feb 23, 2015 | 0.96 |
Benchmark Correlations
Correlation vs. S&P 500 Index. VOO has the highest benchmark correlation at 1.00, while ZPRV.DE has the lowest at 0.55.
Asset Correlations Table
Find what 70 VWCE - 10 ZPRV - 20 VUAA is missing
See which holdings overlap, where 70 VWCE - 10 ZPRV - 20 VUAA is concentrated, and which low-correlation assets could fill the gaps.
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