qqqSP500
Asset Allocation
Performance
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
Returns
As of Sep 21, 2023, the qqqSP500 returned 7.85% Year-To-Date and 4.23% of annualized return in the last 10 years.
1 month | 6 months | Year-To-Date | 1 year | 5 years (annualized) | 10 years (annualized) | |
---|---|---|---|---|---|---|
Benchmark | 0.06% | 11.82% | 14.66% | 14.17% | 8.31% | 9.56% |
qqqSP500 | 1.40% | 5.38% | 7.85% | 9.71% | 4.29% | 4.23% |
Portfolio components: | ||||||
EIMI.L iShares Core MSCI EM IMI UCITS ETF | 1.72% | 4.08% | 5.17% | 7.69% | 1.48% | -0.38% |
AGGU.L iShares Core Global Aggregate Bond UCITS ETF | 0.67% | -0.43% | 1.69% | 1.23% | 0.40% | 0.40% |
EMB iShares J.P. Morgan USD Emerging Markets Bond ETF | 1.10% | 1.02% | 2.99% | 5.88% | -0.17% | -0.64% |
WLDS.L iShares MSCI World Small Cap UCITS ETF | 0.34% | 4.03% | 5.87% | 9.65% | 3.44% | 4.26% |
IUVF.L iShares Edge MSCI USA Value Factor UCITS | 1.49% | 4.94% | 4.18% | 8.48% | 3.30% | 4.78% |
IWFQ.L iShares MSCI World Quality Factor UCITS | 0.90% | 9.91% | 14.58% | 20.95% | 8.12% | 8.85% |
CSPX.L iShares Core S&P 500 UCITS ETF USD (Acc) | 2.00% | 12.14% | 17.45% | 16.91% | 10.02% | 11.42% |
Returns over 1 year are annualized |
Asset Correlations Table
AGGU.L | EMB | EIMI.L | IUVF.L | CSPX.L | WLDS.L | IWFQ.L | |
---|---|---|---|---|---|---|---|
AGGU.L | 1.00 | 0.32 | -0.06 | -0.13 | -0.04 | -0.06 | -0.04 |
EMB | 0.32 | 1.00 | 0.38 | 0.31 | 0.35 | 0.39 | 0.42 |
EIMI.L | -0.06 | 0.38 | 1.00 | 0.59 | 0.69 | 0.69 | 0.69 |
IUVF.L | -0.13 | 0.31 | 0.59 | 1.00 | 0.80 | 0.87 | 0.84 |
CSPX.L | -0.04 | 0.35 | 0.69 | 0.80 | 1.00 | 0.82 | 0.90 |
WLDS.L | -0.06 | 0.39 | 0.69 | 0.87 | 0.82 | 1.00 | 0.88 |
IWFQ.L | -0.04 | 0.42 | 0.69 | 0.84 | 0.90 | 0.88 | 1.00 |
Dividend yield
qqqSP500 granted a 0.55% dividend yield in the last twelve months.
TTM | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|
qqqSP500 | 0.55% | 0.57% | 0.46% | 0.48% | 0.58% | 0.76% | 0.65% | 0.72% | 0.76% | 0.75% | 0.82% | 0.75% |
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 | 5.03% | 5.20% | 4.22% | 4.37% | 5.30% | 6.94% | 5.90% | 6.57% | 6.90% | 6.81% | 7.42% | 6.82% |
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% |
Expense Ratio
The qqqSP500 features an expense ratio of 0.18%, 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
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 | Ulcer Index | |
---|---|---|---|---|---|
EIMI.L iShares Core MSCI EM IMI UCITS ETF | 0.44 | ||||
AGGU.L iShares Core Global Aggregate Bond UCITS ETF | 0.20 | ||||
EMB iShares J.P. Morgan USD Emerging Markets Bond ETF | 0.38 | ||||
WLDS.L iShares MSCI World Small Cap UCITS ETF | 0.07 | ||||
IUVF.L iShares Edge MSCI USA Value Factor UCITS | 0.00 | ||||
IWFQ.L iShares MSCI World Quality Factor UCITS | 0.85 | ||||
CSPX.L iShares Core S&P 500 UCITS ETF USD (Acc) | 1.04 |
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way.
Worst Drawdowns
The table below shows the maximum drawdowns of the qqqSP500. 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 qqqSP500 is 27.64%, recorded on Mar 23, 2020. It took 103 trading sessions for the portfolio to recover.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
---|---|---|---|---|---|---|
-27.64% | Jan 21, 2020 | 45 | Mar 23, 2020 | 103 | Aug 17, 2020 | 148 |
-24.19% | Nov 15, 2021 | 237 | Oct 12, 2022 | — | — | — |
-11.26% | Aug 30, 2018 | 83 | Dec 24, 2018 | 59 | Mar 19, 2019 | 142 |
-5.36% | Sep 3, 2020 | 16 | Sep 24, 2020 | 11 | Oct 9, 2020 | 27 |
-5.29% | Feb 16, 2021 | 14 | Mar 5, 2021 | 28 | Apr 15, 2021 | 42 |
Volatility Chart
The current qqqSP500 volatility is 2.45%, 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.