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W QUALITY

Last updated Sep 22, 2023

Asset Allocation


IEI 9%SHY 8%TLT 8%IWFQ.L 50%EEM 25%BondBondEquityEquity
PositionCategory/SectorWeight
IEI
iShares 3-7 Year Treasury Bond ETF
Government Bonds9%
SHY
iShares 1-3 Year Treasury Bond ETF
Government Bonds8%
TLT
iShares 20+ Year Treasury Bond ETF
Government Bonds8%
IWFQ.L
iShares MSCI World Quality Factor UCITS
Global Equities50%
EEM
iShares MSCI Emerging Markets ETF
Asia Pacific Equities25%

Performance

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


0.00%5.00%10.00%15.00%AprilMayJuneJulyAugustSeptember
2.61%
8.86%
W QUALITY
Benchmark (^GSPC)
Portfolio components

Returns

As of Sep 22, 2023, the W QUALITY returned 5.77% Year-To-Date and 4.95% of annualized return in the last 10 years.


1 month6 monthsYear-To-Date1 year5 years (annualized)10 years (annualized)
Benchmark-2.39%9.04%12.78%15.22%7.95%9.02%
W QUALITY-2.41%2.60%5.77%10.87%4.15%4.95%
EEM
iShares MSCI Emerging Markets ETF
-2.56%-0.91%1.10%5.45%-0.36%1.06%
SHY
iShares 1-3 Year Treasury Bond ETF
-0.01%-0.62%1.43%1.99%0.87%0.66%
TLT
iShares 20+ Year Treasury Bond ETF
-4.78%-13.73%-6.95%-11.14%-2.86%-0.61%
IEI
iShares 3-7 Year Treasury Bond ETF
-0.82%-3.41%-0.16%0.49%0.45%0.64%
IWFQ.L
iShares MSCI World Quality Factor UCITS
-2.64%8.83%12.05%20.85%7.64%8.44%

Asset Correlations Table

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

IWFQ.LEEMSHYTLTIEI
IWFQ.L1.000.54-0.08-0.13-0.09
EEM0.541.00-0.08-0.17-0.13
SHY-0.08-0.081.000.600.86
TLT-0.13-0.170.601.000.82
IEI-0.09-0.130.860.821.00

Sharpe Ratio

The current W QUALITY Sharpe ratio is 1.03. A Sharpe ratio greater than 1.0 is considered acceptable.

-1.000.001.002.003.004.001.03

The Sharpe ratio of W QUALITY 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
1.03
0.96
W QUALITY
Benchmark (^GSPC)
Portfolio components

Dividend yield

W QUALITY granted a 1.27% dividend yield in the last twelve months.


TTM20222021202020192018201720162015201420132012
W QUALITY1.27%1.08%0.73%0.69%1.30%1.18%0.98%0.98%1.16%1.08%1.05%0.92%
EEM
iShares MSCI Emerging Markets ETF
2.35%2.52%2.06%1.53%2.95%2.45%2.11%2.15%2.89%2.65%2.49%2.08%
SHY
iShares 1-3 Year Treasury Bond ETF
2.60%1.33%0.27%0.97%2.21%1.84%1.06%0.78%0.59%0.40%0.29%0.41%
TLT
iShares 20+ Year Treasury Bond ETF
3.49%2.73%1.56%1.59%2.44%2.90%2.76%3.02%3.11%3.26%4.09%3.47%
IEI
iShares 3-7 Year Treasury Bond ETF
2.11%1.39%0.75%1.16%2.11%2.09%1.65%1.47%1.56%1.40%0.89%1.01%
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%

Expense Ratio

The W QUALITY has a high expense ratio of 0.36%, 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.


0.68%
0.00%2.15%
0.30%
0.00%2.15%
0.15%
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
EEM
iShares MSCI Emerging Markets ETF
0.17
SHY
iShares 1-3 Year Treasury Bond ETF
0.61
TLT
iShares 20+ Year Treasury Bond ETF
-0.63
IEI
iShares 3-7 Year Treasury Bond ETF
-0.04
IWFQ.L
iShares MSCI World Quality Factor UCITS
0.62

Drawdowns Chart

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


-18.00%-16.00%-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%AprilMayJuneJulyAugustSeptember
-14.44%
-9.73%
W QUALITY
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below shows the maximum drawdowns of the W QUALITY. 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 W QUALITY is 26.01%, recorded on Oct 14, 2022. The portfolio has not recovered from it yet.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-26.01%Nov 17, 2021237Oct 14, 2022
-22.47%Jan 21, 202042Mar 18, 202086Jul 20, 2020128
-15.78%Apr 28, 2015189Jan 20, 2016162Sep 6, 2016351
-13.48%Jan 29, 2018234Dec 24, 2018124Jun 20, 2019358
-5.83%Sep 7, 202120Oct 4, 202131Nov 16, 202151

Volatility Chart

The current W QUALITY volatility is 2.85%, 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%AprilMayJuneJulyAugustSeptember
2.85%
3.41%
W QUALITY
Benchmark (^GSPC)
Portfolio components