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70 VWCE - 10 ZPRV - 20 VUAA
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

70 VWCE - 10 ZPRV - 20 VUAA

Currency in USD · Last updated May 14, 2025

Asset Allocation

VT 70%VOO 20%ZPRV.DE 10%EquityEquity
PositionCategory/SectorTarget Weight
VOO
Vanguard S&P 500 ETF		Large Cap Growth Equities
20%
VT
Vanguard Total World Stock ETF		Large Cap Growth Equities
70%
ZPRV.DE
SPDR MSCI USA Small Cap Value Weighted UCITS ETF		Small Cap Value Equities
10%

Performance

Performance Chart

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The earliest data available for this chart is Feb 20, 2015, corresponding to the inception date of ZPRV.DE

Returns By Period

As of May 14, 2025, the 70 VWCE - 10 ZPRV - 20 VUAA returned 3.03% Year-To-Date and 9.55% of annualized return in the last 10 years.

YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500		0.19%9.00%-1.55%12.31%15.59%10.78%
70 VWCE - 10 ZPRV - 20 VUAA2.96%9.45%0.66%11.57%15.56%9.52%
Portfolio components:
VT
Vanguard Total World Stock ETF		4.47%9.07%2.76%12.12%14.35%8.78%
ZPRV.DE
SPDR MSCI USA Small Cap Value Weighted UCITS ETF		-2.81%13.29%-10.17%2.71%20.55%7.88%
VOO
Vanguard S&P 500 ETF		0.59%9.01%-0.97%13.78%16.82%12.42%
*Annualized

Monthly Returns

The table below presents the monthly returns of 70 VWCE - 10 ZPRV - 20 VUAA, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20253.19%-1.09%-4.11%-0.25%5.45%2.96%
2024-0.06%4.34%3.40%-3.91%4.58%1.65%2.73%1.88%2.20%-1.74%5.01%-3.49%17.31%
20237.69%-2.78%1.90%1.21%-1.08%6.41%3.95%-2.62%-4.43%-3.15%9.08%5.88%23.00%
2022-4.81%-2.20%2.23%-7.94%0.36%-8.37%7.71%-3.85%-9.38%7.10%7.22%-4.75%-17.30%
20210.48%3.29%3.56%4.33%1.50%1.19%0.73%2.39%-3.92%5.36%-2.26%3.99%22.20%
2020-1.71%-7.76%-15.27%11.23%5.03%2.90%5.13%6.31%-3.24%-1.57%13.18%4.79%16.60%
20198.51%3.06%0.83%3.57%-6.39%6.53%0.55%-2.55%2.44%2.53%2.90%3.40%27.51%
20185.08%-4.27%-1.51%0.69%1.31%-0.21%2.92%1.54%-0.03%-7.70%1.65%-8.19%-9.28%
20172.21%2.98%0.93%1.34%1.22%0.96%2.28%0.21%2.47%1.93%2.28%1.53%22.31%
2016-6.44%-0.22%7.82%1.19%0.78%-0.62%4.62%0.52%0.52%-2.09%2.84%2.01%10.77%
2015-0.09%-1.23%1.97%0.55%-1.98%0.59%-6.78%-3.20%7.21%0.39%-2.28%-5.33%

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.

ZPRV.DE
SPDR MSCI USA Small Cap Value Weighted UCITS ETF
VT
Vanguard Total World Stock ETF
VOO
Vanguard S&P 500 ETF

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of 70 VWCE - 10 ZPRV - 20 VUAA is 33, indicating average performance compared to other portfolios on our website. Here’s a breakdown of how it compares using common performance measures.

The Risk-Adjusted Performance Rank of 70 VWCE - 10 ZPRV - 20 VUAA is 3333
Overall Rank
The Sharpe Ratio Rank of 70 VWCE - 10 ZPRV - 20 VUAA is 4444
Sharpe Ratio Rank
The Sortino Ratio Rank of 70 VWCE - 10 ZPRV - 20 VUAA is 2626
Sortino Ratio Rank
The Omega Ratio Rank of 70 VWCE - 10 ZPRV - 20 VUAA is 3030
Omega Ratio Rank
The Calmar Ratio Rank of 70 VWCE - 10 ZPRV - 20 VUAA is 3030
Calmar Ratio Rank
The Martin Ratio Rank of 70 VWCE - 10 ZPRV - 20 VUAA is 3434
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.

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
VT
Vanguard Total World Stock ETF		0.671.021.150.693.02
ZPRV.DE
SPDR MSCI USA Small Cap Value Weighted UCITS ETF		0.110.371.050.130.40
VOO
Vanguard S&P 500 ETF		0.701.021.150.662.54

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.

70 VWCE - 10 ZPRV - 20 VUAA Sharpe ratios as of May 14, 2025 (values are recalculated daily):

  • 1-Year: 0.67
  • 5-Year: 0.95
  • 10-Year: 0.56
  • All Time: 0.57

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 0.58 to 1.09, 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 70 VWCE - 10 ZPRV - 20 VUAA compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time. For deeper analysis or to customize the calculation, use the Sharpe ratio tool.

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Dividends

Dividend yield

70 VWCE - 10 ZPRV - 20 VUAA provided a 1.55% dividend yield over the last twelve months.

TTM20242023202220212020201920182017201620152014
Portfolio1.55%1.62%1.75%1.88%1.52%1.47%2.00%2.19%1.83%2.07%2.14%2.08%
Portfolio components:
VT
Vanguard Total World Stock ETF		1.85%1.95%2.08%2.20%1.82%1.66%2.32%2.53%2.11%2.39%2.45%2.44%
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		1.29%1.24%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%

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 35.31%, occurring on Mar 23, 2020. Recovery took 111 trading sessions.

The current 70 VWCE - 10 ZPRV - 20 VUAA drawdown is 2.03%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-35.31%Feb 13, 202028Mar 23, 2020111Aug 26, 2020139
-25.08%Jan 5, 2022200Oct 12, 2022307Dec 19, 2023507
-19.13%Jan 29, 2018235Dec 24, 2018134Jul 3, 2019369
-18.83%May 22, 2015185Feb 11, 2016146Sep 6, 2016331
-17.05%Feb 19, 202535Apr 8, 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. This number of effective assets suggests a highly concentrated portfolio, where a few assets dominate the allocation, potentially increasing the portfolio's risk due to lack of 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.
^GSPCZPRV.DEVOOVTPortfolio
^GSPC1.000.421.000.950.96
ZPRV.DE0.421.000.410.440.55
VOO1.000.411.000.950.96
VT0.950.440.951.000.99
Portfolio0.960.550.960.991.00
The correlation results are calculated based on daily price changes starting from Feb 23, 2015