W QUALITY
Asset Allocation
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in W QUALITY, 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
The earliest data available for this chart is Oct 6, 2014, corresponding to the inception date of IWFQ.L
Returns By Period
As of Oct 30, 2024, the W QUALITY returned 13.00% Year-To-Date and 6.49% of annualized return in the last 10 years.
| Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 22.29% | 1.65% | 15.83% | 39.98% | 13.99% | 11.23% |
| W QUALITY | 13.00% | -1.55% | 10.21% | 26.99% | 7.23% | 6.49% |
| Portfolio components: | ||||||
EEM iShares MSCI Emerging Markets ETF | 13.14% | -3.07% | 10.98% | 25.58% | 3.44% | 2.86% |
SHY iShares 1-3 Year Treasury Bond ETF | 3.42% | -0.71% | 3.59% | 5.62% | 1.16% | 1.17% |
TLT iShares 20+ Year Treasury Bond ETF | -4.13% | -6.33% | 6.41% | 13.97% | -5.82% | -0.11% |
IEI iShares 3-7 Year Treasury Bond ETF | 2.24% | -2.19% | 4.72% | 7.33% | 0.03% | 1.18% |
IWFQ.L iShares MSCI World Quality Factor UCITS | 19.31% | -0.05% | 12.48% | 37.32% | 12.65% | 10.43% |
Monthly Returns
The table below presents the monthly returns of W QUALITY, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | -0.36% | 3.14% | 2.37% | -2.54% | 3.05% | 2.76% | 0.74% | 2.03% | 2.34% | 13.00% | |||
| 2023 | 5.69% | -3.82% | 3.37% | 1.06% | -0.98% | 3.66% | 3.02% | -2.41% | -3.82% | -2.33% | 7.28% | 4.75% | 15.68% |
| 2022 | -4.57% | -2.28% | 0.23% | -6.10% | -1.31% | -5.57% | 3.73% | -3.06% | -7.76% | 1.49% | 8.39% | -2.18% | -18.36% |
| 2021 | -0.37% | 0.82% | 1.34% | 2.99% | 1.54% | 1.49% | 0.24% | 1.60% | -4.03% | 3.54% | -1.17% | 1.82% | 10.03% |
| 2020 | -0.89% | -4.88% | -7.12% | 6.32% | 2.64% | 2.70% | 4.09% | 4.30% | -1.57% | -1.69% | 7.98% | 3.86% | 15.62% |
| 2019 | 6.06% | 1.99% | 1.87% | 2.03% | -3.75% | 4.67% | -0.15% | -1.34% | 1.32% | 2.39% | 1.73% | 3.40% | 21.79% |
| 2018 | 3.42% | -3.23% | -0.59% | -0.18% | 0.22% | -1.23% | 2.16% | -0.13% | -0.11% | -5.76% | 1.37% | -3.25% | -7.40% |
| 2017 | 2.14% | 2.38% | 1.95% | 1.26% | 2.05% | 0.40% | 2.29% | 1.05% | 0.55% | 2.11% | 1.29% | 2.05% | 21.33% |
| 2016 | -3.23% | 0.67% | 6.05% | 0.05% | -0.57% | 1.73% | 3.07% | 0.16% | 0.50% | -1.80% | -1.28% | 0.70% | 5.88% |
| 2015 | 0.40% | 2.62% | -0.88% | 2.66% | -1.10% | -2.30% | 0.18% | -5.28% | -2.05% | 5.89% | -0.78% | -1.96% | -3.02% |
| 2014 | 1.27% | 0.72% | -1.22% | 0.76% |
Expense Ratio
W QUALITY features an expense ratio of 0.36%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of W QUALITY is 32, suggesting that the investment has average results relative to other portfolios in terms of risk-adjusted performance. This ranking is determined by the cumulative values of the indicators listed below.
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.
| Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|
EEM iShares MSCI Emerging Markets ETF | 1.29 | 1.89 | 1.24 | 0.63 | 6.86 |
SHY iShares 1-3 Year Treasury Bond ETF | 2.80 | 4.52 | 1.60 | 2.09 | 16.71 |
TLT iShares 20+ Year Treasury Bond ETF | 0.67 | 1.05 | 1.12 | 0.22 | 1.70 |
IEI iShares 3-7 Year Treasury Bond ETF | 1.41 | 2.11 | 1.26 | 0.52 | 4.92 |
IWFQ.L iShares MSCI World Quality Factor UCITS | 2.80 | 4.01 | 1.52 | 4.18 | 16.36 |
Dividends
Dividend yield
W QUALITY provided a 1.47% dividend yield over the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| W QUALITY | 1.47% | 1.38% | 1.07% | 0.70% | 0.66% | 1.22% | 1.08% | 0.88% | 0.86% | 1.00% | 0.91% | 0.86% |
| Portfolio components: | ||||||||||||
EEM iShares MSCI Emerging Markets ETF | 2.30% | 2.63% | 2.50% | 1.99% | 1.45% | 2.76% | 2.22% | 1.87% | 1.88% | 2.48% | 2.22% | 2.04% |
SHY iShares 1-3 Year Treasury Bond ETF | 3.78% | 2.99% | 1.30% | 0.26% | 0.94% | 2.12% | 1.72% | 0.98% | 0.71% | 0.54% | 0.36% | 0.26% |
TLT iShares 20+ Year Treasury Bond ETF | 3.97% | 3.38% | 2.67% | 1.50% | 1.50% | 2.27% | 2.63% | 2.43% | 2.60% | 2.61% | 2.67% | 3.26% |
IEI iShares 3-7 Year Treasury Bond ETF | 3.04% | 2.36% | 1.37% | 0.73% | 1.12% | 2.01% | 1.95% | 1.51% | 1.33% | 1.39% | 1.23% | 0.77% |
IWFQ.L iShares MSCI World Quality Factor UCITS | 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.
Worst Drawdowns
The table below displays the maximum drawdowns of the W QUALITY. 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 W QUALITY was 26.01%, occurring on Oct 14, 2022. Recovery took 406 trading sessions.
The current W QUALITY drawdown is 1.68%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -26.01% | Nov 17, 2021 | 237 | Oct 14, 2022 | 406 | May 15, 2024 | 643 |
| -22.47% | Jan 21, 2020 | 42 | Mar 18, 2020 | 86 | Jul 20, 2020 | 128 |
| -15.78% | Apr 28, 2015 | 189 | Jan 20, 2016 | 162 | Sep 6, 2016 | 351 |
| -13.47% | Jan 29, 2018 | 234 | Dec 24, 2018 | 124 | Jun 20, 2019 | 358 |
| -5.83% | Sep 7, 2021 | 20 | Oct 4, 2021 | 31 | Nov 16, 2021 | 51 |
Volatility
Volatility Chart
The current W QUALITY volatility is 1.69%, 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.
Diversification
Asset Correlations Table
| IWFQ.L | EEM | SHY | TLT | IEI | |
|---|---|---|---|---|---|
| IWFQ.L | 1.00 | 0.54 | -0.05 | -0.10 | -0.06 |
| EEM | 0.54 | 1.00 | -0.05 | -0.14 | -0.09 |
| SHY | -0.05 | -0.05 | 1.00 | 0.62 | 0.87 |
| TLT | -0.10 | -0.14 | 0.62 | 1.00 | 0.83 |
| IEI | -0.06 | -0.09 | 0.87 | 0.83 | 1.00 |