PortfoliosLab logo
Tools
Performance Analysis
Risk Analysis
Optimization
Factor Model
See All Tools
Portfolio Analysis
Portfolios
Lazy PortfoliosUser Portfolios

ETF

Last updated Sep 21, 2023

Asset Allocation


URTH 100%EquityEquity
PositionCategory/SectorWeight
URTH
iShares MSCI World ETF
Large Cap Growth Equities100%

Performance

The chart shows the growth of an initial investment of $10,000 in ETF, 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%AprilMayJuneJulyAugustSeptember
9.88%
10.86%
ETF
Benchmark (^GSPC)
Portfolio components

Returns

As of Sep 21, 2023, the ETF returned 14.07% Year-To-Date and 8.49% of annualized return in the last 10 years.


1 month6 monthsYear-To-Date1 year5 years (annualized)10 years (annualized)
Benchmark0.33%11.48%14.66%16.16%8.51%9.84%
ETF1.00%10.20%14.07%18.90%7.91%8.54%
URTH
iShares MSCI World ETF
1.00%10.20%14.07%18.90%7.91%8.54%

Sharpe Ratio

The current ETF Sharpe ratio is 0.92. A Sharpe ratio between 0 and 1.0 is considered sub-optimal.

-1.000.001.002.003.004.000.92

The Sharpe ratio of ETF lies between the 25th and 75th percentiles. It indicates that the portfolio's 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.


Rolling 12-month Sharpe Ratio-0.500.000.501.00AprilMayJuneJulyAugustSeptember
0.92
0.74
ETF
Benchmark (^GSPC)
Portfolio components

Dividend yield

ETF granted a 1.62% dividend yield in the last twelve months.


TTM20222021202020192018201720162015201420132012
ETF1.62%1.70%1.54%1.59%2.29%2.50%2.09%2.42%2.71%2.73%1.26%3.29%
URTH
iShares MSCI World ETF
1.62%1.70%1.54%1.59%2.29%2.50%2.09%2.42%2.71%2.73%1.26%3.29%

Expense Ratio

The ETF has a high expense ratio of 0.24%, indicating higher-than-average management fees. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


0.24%
0.00%2.15%

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
URTH
iShares MSCI World ETF
0.92

Drawdowns Chart

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


-15.00%-10.00%-5.00%AprilMayJuneJulyAugustSeptember
-6.93%
-8.22%
ETF
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below shows the maximum drawdowns of the ETF. 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 ETF is 34.01%, recorded on Mar 23, 2020. It took 107 trading sessions for the portfolio to recover.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-34.01%Feb 13, 202027Mar 23, 2020107Aug 24, 2020134
-26.05%Jan 5, 2022194Oct 12, 2022
-18.89%May 20, 2015184Feb 11, 2016212Dec 13, 2016396
-18.58%Jan 29, 2018229Dec 24, 201886Apr 30, 2019315
-11.39%Mar 28, 201222Jun 5, 201221Sep 7, 201243

Volatility Chart

The current ETF volatility is 3.32%, 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%2.50%3.00%3.50%4.00%4.50%5.00%5.50%AprilMayJuneJulyAugustSeptember
3.32%
3.47%
ETF
Benchmark (^GSPC)
Portfolio components