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arrojada global 6 etfs otavio
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


SPHQ 20%QVAL 20%SLYV 15%EEMV 15%VSS 15%IVAL 15%EquityEquity
PositionCategory/SectorWeight
EEMV
iShares MSCI Emerging Markets Min Vol Factor ETF
Asia Pacific Equities

15%

IVAL
Alpha Architect International Quantitative Value ETF
Global Equities

15%

QVAL
Alpha Architect U.S. Quantitative Value ETF
All Cap Equities

20%

SLYV
SPDR S&P 600 Small Cap Value ETF
Small Cap Value Equities

15%

SPHQ
Invesco S&P 500® Quality ETF
Large Cap Blend Equities

20%

VSS
Vanguard FTSE All-World ex-US Small-Cap ETF
Foreign Small & Mid Cap Equities

15%

S&P 500

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in arrojada global 6 etfs otavio, 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


80.00%100.00%120.00%140.00%160.00%180.00%2024FebruaryMarchAprilMayJune
95.23%
171.48%
arrojada global 6 etfs otavio
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Dec 17, 2014, corresponding to the inception date of IVAL

Returns By Period


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
14.57%2.97%14.93%24.71%13.14%10.88%
arrojada global 6 etfs otavio5.63%0.04%6.14%19.10%8.48%N/A
SPHQ
Invesco S&P 500® Quality ETF
19.81%5.23%20.01%32.52%15.96%13.60%
QVAL
Alpha Architect U.S. Quantitative Value ETF
7.65%-0.59%7.39%32.58%11.46%N/A
SLYV
SPDR S&P 600 Small Cap Value ETF
-5.74%-2.09%-5.56%7.86%7.87%7.17%
EEMV
iShares MSCI Emerging Markets Min Vol Factor ETF
3.22%-0.04%5.46%7.26%1.72%1.98%
VSS
Vanguard FTSE All-World ex-US Small-Cap ETF
2.65%-0.49%3.62%11.52%5.09%3.50%
IVAL
Alpha Architect International Quantitative Value ETF
1.44%-3.36%1.42%14.42%3.12%N/A

Monthly Returns

The table below presents the monthly returns of arrojada global 6 etfs otavio, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-0.69%2.98%4.09%-3.79%4.09%5.63%
20237.81%-2.17%0.28%0.03%-3.55%6.88%4.93%-2.12%-2.72%-4.40%7.43%6.78%19.52%
2022-3.69%0.00%0.58%-5.83%2.01%-11.11%7.09%-3.60%-9.59%8.72%7.82%-4.87%-13.92%
20212.16%2.80%4.93%2.44%2.55%0.33%-0.40%1.84%-3.46%3.37%-2.58%4.30%19.46%
2020-4.57%-8.62%-18.53%12.01%4.39%2.33%3.35%5.60%-2.02%-1.97%12.48%5.23%5.47%
201910.01%2.47%-0.35%3.32%-8.91%6.74%-0.36%-3.66%3.89%3.52%1.86%3.36%22.65%
20184.30%-3.81%-0.93%-0.44%1.45%-0.89%2.52%0.80%-0.95%-8.58%0.67%-7.90%-13.68%
20171.98%2.42%1.39%1.71%0.40%1.38%2.06%0.01%3.63%1.12%3.33%2.38%24.06%
2016-5.15%1.60%7.72%0.14%-0.78%-0.79%5.29%0.96%0.73%-1.54%3.15%1.42%12.85%
2015-1.58%5.70%-0.31%1.95%-0.21%-2.21%-2.17%-5.54%-3.19%5.86%-0.60%-2.93%-5.71%
20142.04%2.04%

Expense Ratio

arrojada global 6 etfs otavio has a high expense ratio of 0.29%, 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.


Expense ratio chart for IVAL: current value at 0.59% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.59%
Expense ratio chart for QVAL: current value at 0.49% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.49%
Expense ratio chart for EEMV: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%
Expense ratio chart for SPHQ: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%
Expense ratio chart for SLYV: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%
Expense ratio chart for VSS: 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 arrojada global 6 etfs otavio is 33, 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 arrojada global 6 etfs otavio is 3333
arrojada global 6 etfs otavio
The Sharpe Ratio Rank of arrojada global 6 etfs otavio is 3030Sharpe Ratio Rank
The Sortino Ratio Rank of arrojada global 6 etfs otavio is 3030Sortino Ratio Rank
The Omega Ratio Rank of arrojada global 6 etfs otavio is 2828Omega Ratio Rank
The Calmar Ratio Rank of arrojada global 6 etfs otavio is 4040Calmar Ratio Rank
The Martin Ratio Rank of arrojada global 6 etfs otavio is 3838Martin 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.


arrojada global 6 etfs otavio
Sharpe ratio
The chart of Sharpe ratio for arrojada global 6 etfs otavio, currently valued at 1.43, compared to the broader market0.002.004.001.43
Sortino ratio
The chart of Sortino ratio for arrojada global 6 etfs otavio, currently valued at 2.10, compared to the broader market-2.000.002.004.006.002.10
Omega ratio
The chart of Omega ratio for arrojada global 6 etfs otavio, currently valued at 1.24, compared to the broader market0.801.001.201.401.601.801.24
Calmar ratio
The chart of Calmar ratio for arrojada global 6 etfs otavio, currently valued at 1.30, compared to the broader market0.002.004.006.008.0010.001.30
Martin ratio
The chart of Martin ratio for arrojada global 6 etfs otavio, currently valued at 5.40, compared to the broader market0.0010.0020.0030.0040.0050.005.40
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.24, compared to the broader market0.002.004.002.24
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.16, compared to the broader market-2.000.002.004.006.003.16
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.39, compared to the broader market0.801.001.201.401.601.801.39
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.78, compared to the broader market0.002.004.006.008.0010.001.78
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 8.36, compared to the broader market0.0010.0020.0030.0040.0050.008.36

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
SPHQ
Invesco S&P 500® Quality ETF
2.813.901.503.7814.52
QVAL
Alpha Architect U.S. Quantitative Value ETF
1.942.821.332.6311.16
SLYV
SPDR S&P 600 Small Cap Value ETF
0.240.491.060.200.64
EEMV
iShares MSCI Emerging Markets Min Vol Factor ETF
0.640.971.110.331.50
VSS
Vanguard FTSE All-World ex-US Small-Cap ETF
0.671.041.120.351.87
IVAL
Alpha Architect International Quantitative Value ETF
0.781.161.140.533.26

Sharpe Ratio

The current arrojada global 6 etfs otavio Sharpe ratio is 1.43. 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 1.46 to 2.42, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests that it may not be performing as well in terms of risk-adjusted returns compared to many other portfolios. The lower performance could be due to either lower returns, higher volatility, or a combination of both. This might indicate that the portfolio requires some fine-tuning. You can use the Portfolio Optimization tool to find an allocation that maximizes the Sharpe ratio.

Use the chart below to compare the Sharpe ratio of arrojada global 6 etfs otavio 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 Ratio0.501.001.502.002.503.002024FebruaryMarchAprilMayJune
1.43
2.24
arrojada global 6 etfs otavio
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

arrojada global 6 etfs otavio granted a 2.79% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
arrojada global 6 etfs otavio2.79%2.61%2.82%2.10%1.85%2.21%2.25%2.40%2.08%2.77%2.32%1.42%
SPHQ
Invesco S&P 500® Quality ETF
0.91%1.42%1.85%1.19%1.55%1.51%1.85%1.57%1.67%2.29%1.66%1.99%
QVAL
Alpha Architect U.S. Quantitative Value ETF
2.17%1.76%2.00%1.23%1.86%1.99%1.64%1.08%1.30%1.37%0.15%0.00%
SLYV
SPDR S&P 600 Small Cap Value ETF
1.74%2.11%1.47%1.94%1.40%1.66%2.14%5.53%2.18%6.55%7.50%1.58%
EEMV
iShares MSCI Emerging Markets Min Vol Factor ETF
2.97%2.75%1.93%2.14%2.45%2.63%2.46%2.34%2.79%2.55%2.71%2.51%
VSS
Vanguard FTSE All-World ex-US Small-Cap ETF
2.95%3.14%2.30%2.74%1.90%3.25%2.80%2.83%2.93%2.66%2.67%2.71%
IVAL
Alpha Architect International Quantitative Value ETF
6.80%5.14%8.00%3.95%2.07%2.51%2.93%1.73%2.02%1.86%0.20%0.00%

Drawdowns

Drawdowns Chart

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


-5.00%-4.00%-3.00%-2.00%-1.00%0.00%2024FebruaryMarchAprilMayJune
-1.48%
-0.41%
arrojada global 6 etfs otavio
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the arrojada global 6 etfs otavio. 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 arrojada global 6 etfs otavio was 38.96%, occurring on Mar 23, 2020. Recovery took 172 trading sessions.

The current arrojada global 6 etfs otavio drawdown is 1.48%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-38.96%Jan 21, 202044Mar 23, 2020172Nov 24, 2020216
-24.66%Nov 15, 2021217Sep 26, 2022310Dec 19, 2023527
-22.71%Jan 29, 2018229Dec 24, 2018267Jan 16, 2020496
-21.01%May 19, 2015186Feb 11, 2016208Dec 7, 2016394
-4.64%Apr 1, 202414Apr 18, 202419May 15, 202433

Volatility

Volatility Chart

The current arrojada global 6 etfs otavio volatility is 2.87%, 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.


2.50%3.00%3.50%4.00%2024FebruaryMarchAprilMayJune
2.87%
2.38%
arrojada global 6 etfs otavio
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.

EEMVIVALSLYVQVALSPHQVSS
EEMV1.000.650.550.550.650.83
IVAL0.651.000.620.640.630.81
SLYV0.550.621.000.840.710.69
QVAL0.550.640.841.000.730.68
SPHQ0.650.630.710.731.000.75
VSS0.830.810.690.680.751.00
The correlation results are calculated based on daily price changes starting from Dec 18, 2014