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qqqSP500

Last updated Sep 21, 2023

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 Bonds16%
EMB
iShares J.P. Morgan USD Emerging Markets Bond ETF
Emerging Markets Bonds11%
EIMI.L
iShares Core MSCI EM IMI UCITS ETF
Emerging Markets Equities28%
CSPX.L
iShares Core S&P 500 UCITS ETF USD (Acc)
Large Cap Growth Equities25.2%
WLDS.L
iShares MSCI World Small Cap UCITS ETF
Small Cap Blend Equities7.3%
IUVF.L
iShares Edge MSCI USA Value Factor UCITS
Large Cap Value Equities7.3%
IWFQ.L
iShares MSCI World Quality Factor UCITS
Global Equities5.2%

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


0.00%5.00%10.00%15.00%AprilMayJuneJulyAugustSeptember
4.84%
11.49%
qqqSP500
Benchmark (^GSPC)
Portfolio components

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 month6 monthsYear-To-Date1 year5 years (annualized)10 years (annualized)
Benchmark0.06%11.82%14.66%14.17%8.31%9.56%
qqqSP5001.40%5.38%7.85%9.71%4.29%4.23%
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%

Asset Correlations Table

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

AGGU.LEMBEIMI.LIUVF.LCSPX.LWLDS.LIWFQ.L
AGGU.L1.000.32-0.06-0.13-0.04-0.06-0.04
EMB0.321.000.380.310.350.390.42
EIMI.L-0.060.381.000.590.690.690.69
IUVF.L-0.130.310.591.000.800.870.84
CSPX.L-0.040.350.690.801.000.820.90
WLDS.L-0.060.390.690.870.821.000.88
IWFQ.L-0.040.420.690.840.900.881.00

Sharpe Ratio

The current qqqSP500 Sharpe ratio is 1.32. A Sharpe ratio greater than 1.0 is considered acceptable.

-1.000.001.002.003.004.001.32

The Sharpe ratio of qqqSP500 is in the top 25%, it signifies superior risk-adjusted performance. This means that for the level of risk undertaken, the portfolio is generating impressive returns compared to most others.


Rolling 12-month Sharpe Ratio-0.500.000.501.00AprilMayJuneJulyAugustSeptember
1.32
1.21
qqqSP500
Benchmark (^GSPC)
Portfolio components

Dividend yield

qqqSP500 granted a 0.55% dividend yield in the last twelve months.


TTM20222021202020192018201720162015201420132012
qqqSP5000.55%0.57%0.46%0.48%0.58%0.76%0.65%0.72%0.76%0.75%0.82%0.75%
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.


0.39%
0.00%2.15%
0.35%
0.00%2.15%
0.30%
0.00%2.15%
0.20%
0.00%2.15%
0.18%
0.00%2.15%
0.10%
0.00%2.15%
0.07%
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
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.


-18.00%-16.00%-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%AprilMayJuneJulyAugustSeptember
-11.33%
-8.22%
qqqSP500
Benchmark (^GSPC)
Portfolio components

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, 202045Mar 23, 2020103Aug 17, 2020148
-24.19%Nov 15, 2021237Oct 12, 2022
-11.26%Aug 30, 201883Dec 24, 201859Mar 19, 2019142
-5.36%Sep 3, 202016Sep 24, 202011Oct 9, 202027
-5.29%Feb 16, 202114Mar 5, 202128Apr 15, 202142

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.


2.00%3.00%4.00%5.00%AprilMayJuneJulyAugustSeptember
2.45%
3.27%
qqqSP500
Benchmark (^GSPC)
Portfolio components