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tester 3.0
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

tester 3.0

Last updated Sep 21, 2024

Asset Allocation

XDEQ.L 45%XDEM.L 20%MVUS.L 15%FRIN.L 10%DXJG.L 10%EquityEquity
PositionCategory/SectorWeight
DXJG.L
WisdomTree Japan Equity UCITS ETF JPY Acc		Japan Equities
10%
FRIN.L
Franklin FTSE India UCITS ETF		Asia Pacific Equities
10%
MVUS.L
iShares Edge S&P 500 Minimum Volatility UCITS ETF		Large Cap Blend Equities
15%
XDEM.L
Xtrackers MSCI World Momentum Factor UCITS ETF 1C		Global Equities
20%
XDEQ.L
Xtrackers MSCI World Quality Factor UCITS ETF 1C		Global Equities
45%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in tester 3.0, 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

-5.00%0.00%5.00%10.00%AprilMayJuneJulyAugustSeptember
7.50%
8.95%
tester 3.0
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jun 28, 2019, corresponding to the inception date of FRIN.L

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		19.55%1.45%8.95%31.70%13.79%11.17%
tester 3.020.85%1.22%7.50%32.76%12.87%N/A
Portfolio components:
MVUS.L
iShares Edge S&P 500 Minimum Volatility UCITS ETF		20.06%2.70%10.46%28.36%10.78%13.40%
XDEQ.L
Xtrackers MSCI World Quality Factor UCITS ETF 1C		18.47%0.51%7.14%32.39%13.39%N/A
FRIN.L
Franklin FTSE India UCITS ETF		23.08%3.40%17.48%36.39%14.85%N/A
DXJG.L
WisdomTree Japan Equity UCITS ETF JPY Acc		14.48%0.41%-1.42%17.31%9.59%N/A
XDEM.L
Xtrackers MSCI World Momentum Factor UCITS ETF 1C		28.34%1.01%5.75%42.45%12.81%N/A

Monthly Returns

The table below presents the monthly returns of tester 3.0, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20243.12%4.98%3.39%-2.52%2.92%3.97%0.48%2.00%20.85%
20232.97%-3.22%2.92%2.56%-1.05%5.63%2.77%-1.06%-3.39%-2.26%7.81%5.21%19.73%
2022-6.83%-1.55%3.84%-6.83%-2.51%-7.35%5.93%-2.65%-7.02%5.10%6.69%-2.19%-15.69%
2021-1.07%1.67%3.31%3.86%1.91%1.11%2.22%2.94%-3.33%4.48%-1.18%3.42%20.79%
2020-0.19%-8.79%-10.84%9.14%3.74%2.80%3.71%7.46%-1.82%-3.00%9.78%4.93%15.50%
20190.50%-2.24%2.37%2.39%2.77%2.79%8.78%

Expense Ratio

tester 3.0 has an expense ratio of 0.25%, 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.

DXJG.L
WisdomTree Japan Equity UCITS ETF JPY Acc
Expense ratio chart for DXJG.L: current value at 0.40% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.40%
XDEQ.L
Xtrackers MSCI World Quality Factor UCITS ETF 1C
Expense ratio chart for XDEQ.L: 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%
XDEM.L
Xtrackers MSCI World Momentum Factor UCITS ETF 1C
Expense ratio chart for XDEM.L: 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%
MVUS.L
iShares Edge S&P 500 Minimum Volatility UCITS ETF
Expense ratio chart for MVUS.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%
FRIN.L
Franklin FTSE India UCITS ETF
Expense ratio chart for FRIN.L: current value at 0.19% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.19%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current risk-adjusted rank of tester 3.0 is 78, placing it in the top 22% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.

The Risk-Adjusted Performance Rank of tester 3.0 is 7878
tester 3.0
The Sharpe Ratio Rank of tester 3.0 is 8181Sharpe Ratio Rank
The Sortino Ratio Rank of tester 3.0 is 8383Sortino Ratio Rank
The Omega Ratio Rank of tester 3.0 is 8181Omega Ratio Rank
The Calmar Ratio Rank of tester 3.0 is 7171Calmar Ratio Rank
The Martin Ratio Rank of tester 3.0 is 7474Martin 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.

tester 3.0
Sharpe ratio
The chart of Sharpe ratio for tester 3.0, currently valued at 2.62, compared to the broader market-1.000.001.002.003.004.002.62
Sortino ratio
The chart of Sortino ratio for tester 3.0, currently valued at 3.65, compared to the broader market-2.000.002.004.006.003.65
Omega ratio
The chart of Omega ratio for tester 3.0, currently valued at 1.47, compared to the broader market0.801.001.201.401.601.801.47
Calmar ratio
The chart of Calmar ratio for tester 3.0, currently valued at 2.77, compared to the broader market0.002.004.006.008.0010.002.77
Martin ratio
The chart of Martin ratio for tester 3.0, currently valued at 15.02, compared to the broader market0.0010.0020.0030.0040.0015.02
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.32, compared to the broader market-1.000.001.002.003.004.002.32
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.11, compared to the broader market-2.000.002.004.006.003.11
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.42, compared to the broader market0.801.001.201.401.601.801.42
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 2.09, compared to the broader market0.002.004.006.008.0010.002.09
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 14.29, compared to the broader market0.0010.0020.0030.0040.0014.29
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
MVUS.L
iShares Edge S&P 500 Minimum Volatility UCITS ETF		2.753.931.502.1318.08
XDEQ.L
Xtrackers MSCI World Quality Factor UCITS ETF 1C		2.513.561.442.5913.91
FRIN.L
Franklin FTSE India UCITS ETF		2.413.051.464.7922.59
DXJG.L
WisdomTree Japan Equity UCITS ETF JPY Acc		0.901.291.181.214.28
XDEM.L
Xtrackers MSCI World Momentum Factor UCITS ETF 1C		2.393.101.431.8212.27

Sharpe Ratio

The current tester 3.0 Sharpe ratio is 2.62. 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 1.91 to 2.59, this portfolio's current Sharpe ratio 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.

Use the chart below to compare the Sharpe ratio of tester 3.0 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 Ratio1.502.002.503.00AprilMayJuneJulyAugustSeptember
2.62
2.32
tester 3.0
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

tester 3.0 granted a 0.00% dividend yield in the last twelve months.

TTM2023202220212020201920182017201620152014
tester 3.00.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.36%
Portfolio components:
MVUS.L
iShares Edge S&P 500 Minimum Volatility UCITS ETF		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
XDEQ.L
Xtrackers MSCI World Quality Factor UCITS ETF 1C		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.51%
FRIN.L
Franklin FTSE India UCITS ETF		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
DXJG.L
WisdomTree Japan Equity UCITS ETF JPY Acc		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
XDEM.L
Xtrackers MSCI World Momentum Factor UCITS ETF 1C		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.63%

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%AprilMayJuneJulyAugustSeptember
-0.15%
-0.19%
tester 3.0
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the tester 3.0. 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 tester 3.0 was 32.09%, occurring on Mar 23, 2020. Recovery took 106 trading sessions.

The current tester 3.0 drawdown is 0.15%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-32.09%Feb 18, 202025Mar 23, 2020106Aug 24, 2020131
-24.63%Jan 4, 2022194Oct 11, 2022305Dec 27, 2023499
-8.41%Jul 17, 202414Aug 5, 202415Aug 27, 202429
-6.53%Feb 16, 202114Mar 5, 202120Apr 6, 202134
-6.43%Oct 13, 202014Oct 30, 20204Nov 5, 202018

Volatility

Volatility Chart

The current tester 3.0 volatility is 4.23%, 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%AprilMayJuneJulyAugustSeptember
4.23%
4.31%
tester 3.0
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.
FRIN.LDXJG.LMVUS.LXDEM.LXDEQ.L
FRIN.L1.000.490.510.520.55
DXJG.L0.491.000.550.620.66
MVUS.L0.510.551.000.780.88
XDEM.L0.520.620.781.000.88
XDEQ.L0.550.660.880.881.00
The correlation results are calculated based on daily price changes starting from Jul 1, 2019