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qqqSP500
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

qqqSP500

Last updated Oct 10, 2024

Asset Allocation

AGGU.L 16%EMB 11%EIMI.L 28%CSPX.L 25.2%WLDS.L 7.3%IUVF.L 7.3%IWFQ.L 5.2%BondBondEquityEquity
PositionCategory/SectorWeight
AGGU.L
iShares Core Global Aggregate Bond UCITS ETF		Global Bonds
16%
CSPX.L
iShares Core S&P 500 UCITS ETF USD (Acc)		Large Cap Growth Equities
25.20%
EIMI.L
iShares Core MSCI EM IMI UCITS ETF		Emerging Markets Equities
28%
EMB
iShares J.P. Morgan USD Emerging Markets Bond ETF		Emerging Markets Bonds
11%
IUVF.L
iShares Edge MSCI USA Value Factor UCITS		Large Cap Value Equities
7.30%
IWFQ.L
iShares MSCI World Quality Factor UCITS		Global Equities
5.20%
WLDS.L
iShares MSCI World Small Cap UCITS ETF		Small Cap Blend Equities
7.30%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in qqqSP500, 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%MayJuneJulyAugustSeptemberOctober
9.66%
12.24%
qqqSP500
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Mar 29, 2018, corresponding to the inception date of WLDS.L

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		21.43%5.87%12.23%32.90%14.34%11.78%
qqqSP50013.41%4.62%9.65%23.85%7.70%N/A
Portfolio components:
EIMI.L
iShares Core MSCI EM IMI UCITS ETF		15.31%8.23%12.21%24.43%5.70%4.30%
AGGU.L
iShares Core Global Aggregate Bond UCITS ETF		3.32%-0.82%4.31%9.65%0.11%N/A
EMB
iShares J.P. Morgan USD Emerging Markets Bond ETF		7.38%0.33%6.74%19.15%0.43%2.66%
WLDS.L
iShares MSCI World Small Cap UCITS ETF		8.18%4.41%7.91%23.04%8.39%N/A
IUVF.L
iShares Edge MSCI USA Value Factor UCITS		9.60%5.34%5.94%22.62%8.31%N/A
IWFQ.L
iShares MSCI World Quality Factor UCITS		19.53%4.50%10.68%31.17%13.20%13.52%
CSPX.L
iShares Core S&P 500 UCITS ETF USD (Acc)		21.82%6.02%12.72%33.57%15.24%13.32%

Monthly Returns

The table below presents the monthly returns of qqqSP500, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-0.73%2.41%2.96%-2.24%1.90%2.88%1.80%1.01%3.09%13.41%
20235.80%-3.25%1.98%0.46%-1.30%4.71%3.46%-2.71%-3.40%-3.14%7.66%5.11%15.50%
2022-4.07%-2.32%0.63%-5.92%-0.82%-6.74%4.32%-1.99%-8.09%2.19%6.91%-2.01%-17.45%
20210.96%1.34%1.47%2.79%1.20%0.96%-0.59%1.60%-2.88%2.24%-1.67%3.11%10.85%
2020-1.60%-5.97%-11.14%7.94%2.50%3.68%4.76%4.66%-2.26%-0.92%8.95%4.46%13.97%
20196.61%1.50%1.13%2.10%-4.50%5.11%0.80%-2.54%1.66%2.00%1.84%3.67%20.63%
20180.16%-0.18%-1.09%2.14%-0.04%0.34%-6.04%1.33%-3.64%-7.05%

Expense Ratio

qqqSP500 has an expense ratio of 0.18%, which is considered low compared to other funds. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.

EMB
iShares J.P. Morgan USD Emerging Markets Bond ETF
Expense ratio chart for EMB: current value at 0.39% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.39%
WLDS.L
iShares MSCI World Small Cap UCITS ETF
Expense ratio chart for WLDS.L: current value at 0.35% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.35%
IWFQ.L
iShares MSCI World Quality Factor UCITS
Expense ratio chart for IWFQ.L: current value at 0.30% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.30%
IUVF.L
iShares Edge MSCI USA Value Factor UCITS
Expense ratio chart for IUVF.L: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%
EIMI.L
iShares Core MSCI EM IMI UCITS ETF
Expense ratio chart for EIMI.L: current value at 0.18% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.18%
AGGU.L
iShares Core Global Aggregate Bond UCITS ETF
Expense ratio chart for AGGU.L: current value at 0.10% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.10%
CSPX.L
iShares Core S&P 500 UCITS ETF USD (Acc)
Expense ratio chart for CSPX.L: current value at 0.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.07%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of qqqSP500 is 58, 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.

The Risk-Adjusted Performance Rank of qqqSP500 is 5858
qqqSP500
The Sharpe Ratio Rank of qqqSP500 is 5656Sharpe Ratio Rank
The Sortino Ratio Rank of qqqSP500 is 7272Sortino Ratio Rank
The Omega Ratio Rank of qqqSP500 is 6969Omega Ratio Rank
The Calmar Ratio Rank of qqqSP500 is 2222Calmar Ratio Rank
The Martin Ratio Rank of qqqSP500 is 7171Martin 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.

qqqSP500
Sharpe ratio
The chart of Sharpe ratio for qqqSP500, currently valued at 2.57, compared to the broader market0.002.004.002.57
Sortino ratio
The chart of Sortino ratio for qqqSP500, currently valued at 3.82, compared to the broader market-2.000.002.004.006.003.82
Omega ratio
The chart of Omega ratio for qqqSP500, currently valued at 1.50, compared to the broader market0.801.001.201.401.601.801.50
Calmar ratio
The chart of Calmar ratio for qqqSP500, currently valued at 1.49, compared to the broader market0.002.004.006.008.0010.0012.001.49
Martin ratio
The chart of Martin ratio for qqqSP500, currently valued at 17.14, compared to the broader market0.0010.0020.0030.0040.0050.0017.14
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.68, compared to the broader market0.002.004.002.68
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.59, compared to the broader market-2.000.002.004.006.003.59
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.49, compared to the broader market0.801.001.201.401.601.801.49
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 2.37, compared to the broader market0.002.004.006.008.0010.0012.002.37
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 16.37, compared to the broader market0.0010.0020.0030.0040.0050.0016.37
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
EIMI.L
iShares Core MSCI EM IMI UCITS ETF		1.642.441.300.829.78
AGGU.L
iShares Core Global Aggregate Bond UCITS ETF		2.333.741.440.7613.30
EMB
iShares J.P. Morgan USD Emerging Markets Bond ETF		2.483.631.450.8815.99
WLDS.L
iShares MSCI World Small Cap UCITS ETF		0.751.301.280.952.79
IUVF.L
iShares Edge MSCI USA Value Factor UCITS		1.752.471.331.076.96
IWFQ.L
iShares MSCI World Quality Factor UCITS		2.653.791.492.4915.75
CSPX.L
iShares Core S&P 500 UCITS ETF USD (Acc)		2.884.011.552.9017.84

Sharpe Ratio

The current qqqSP500 Sharpe ratio is 2.57. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Compared to the broad market, where average Sharpe ratios range from 2.16 to 2.86, this portfolio's current Sharpe ratio lies between the 25th and 75th percentiles. This indicates that the its 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.

Use the chart below to compare the Sharpe ratio of qqqSP500 with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.

Rolling 12-month Sharpe Ratio1.001.502.002.503.00MayJuneJulyAugustSeptemberOctober
2.57
2.68
qqqSP500
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

qqqSP500 granted a 0.53% dividend yield in the last twelve months.

TTM20232022202120202019201820172016201520142013
qqqSP5000.53%0.52%0.55%0.43%0.43%0.50%0.62%0.50%0.53%0.53%0.50%0.52%
Portfolio components:
EIMI.L
iShares Core MSCI EM IMI 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%
AGGU.L
iShares Core Global Aggregate Bond 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%
EMB
iShares J.P. Morgan USD Emerging Markets Bond ETF		4.81%4.74%5.04%3.89%3.88%4.51%5.64%4.54%4.83%4.84%4.56%4.75%
WLDS.L
iShares MSCI World Small Cap 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%
IUVF.L
iShares Edge MSCI USA Value 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%
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%
CSPX.L
iShares Core S&P 500 UCITS ETF USD (Acc)		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.

-8.00%-6.00%-4.00%-2.00%0.00%MayJuneJulyAugustSeptemberOctober
-0.70%
0
qqqSP500
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the qqqSP500. 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 qqqSP500 was 27.64%, occurring on Mar 23, 2020. Recovery took 103 trading sessions.

The current qqqSP500 drawdown is 0.70%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-27.64%Jan 21, 202045Mar 23, 2020103Aug 17, 2020148
-24.19%Nov 15, 2021237Oct 12, 2022407May 14, 2024644
-11.26%Aug 30, 201883Dec 24, 201859Mar 19, 2019142
-5.6%Jul 17, 202414Aug 5, 202414Aug 23, 202428
-5.36%Sep 3, 202016Sep 24, 202011Oct 9, 202027

Volatility

Volatility Chart

The current qqqSP500 volatility is 2.63%, 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%6.00%MayJuneJulyAugustSeptemberOctober
2.63%
2.94%
qqqSP500
Benchmark (^GSPC)
Portfolio components

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.
AGGU.LEMBEIMI.LIUVF.LCSPX.LWLDS.LIWFQ.L
AGGU.L1.000.38-0.02-0.08-0.01-0.01-0.01
EMB0.381.000.370.310.340.400.41
EIMI.L-0.020.371.000.590.680.680.67
IUVF.L-0.080.310.591.000.790.860.82
CSPX.L-0.010.340.680.791.000.800.90
WLDS.L-0.010.400.680.860.801.000.85
IWFQ.L-0.010.410.670.820.900.851.00
The correlation results are calculated based on daily price changes starting from Apr 2, 2018