PortfoliosLab logo
Tools
Performance Analysis
Risk Analysis
Optimization
Factor Model
See All Tools
Portfolio Analysis
Portfolios
Lazy PortfoliosUser Portfolios

ETF World RAFI

Last updated Sep 21, 2023

Global

Asset Allocation


FNDF 45%FNDX 35%FNDE 10%FNDA 5%FNDC 5%EquityEquity
PositionCategory/SectorWeight
FNDF
Schwab Fundamental International Large Company Index ETF
Foreign Large Cap Equities45%
FNDX
Schwab Fundamental U.S. Large Company Index ETF
Large Cap Blend Equities35%
FNDE
Schwab Fundamental Emerging Markets Large Company Index ETF
Emerging Markets Equities10%
FNDA
Schwab Fundamental US Small Co. Index ETF
Small Cap Blend Equities5%
FNDC
Schwab Fundamental International Small Co. Index ETF
Foreign Small & Mid Cap Equities5%

Performance

The chart shows the growth of an initial investment of $10,000 in ETF World RAFI, 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
7.40%
9.04%
ETF World RAFI
Benchmark (^GSPC)
Portfolio components

Returns

As of Sep 21, 2023, the ETF World RAFI returned 10.95% Year-To-Date and 6.99% of annualized return in the last 10 years.


1 month6 monthsYear-To-Date1 year5 years (annualized)10 years (annualized)
Benchmark-1.31%9.66%12.78%14.25%8.15%9.80%
ETF World RAFI0.78%7.39%9.40%18.49%6.11%6.87%
FNDX
Schwab Fundamental U.S. Large Company Index ETF
-0.39%8.87%7.45%14.16%9.57%10.79%
FNDF
Schwab Fundamental International Large Company Index ETF
2.25%8.01%12.43%24.97%4.79%4.72%
FNDA
Schwab Fundamental US Small Co. Index ETF
-2.57%5.62%4.77%8.12%4.86%8.16%
FNDE
Schwab Fundamental Emerging Markets Large Company Index ETF
0.38%3.03%7.03%11.46%2.38%2.47%
FNDC
Schwab Fundamental International Small Co. Index ETF
-0.18%2.02%5.09%15.72%1.16%4.31%

Asset Correlations Table

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

FNDEFNDAFNDXFNDCFNDF
FNDE1.000.620.680.770.79
FNDA0.621.000.900.740.76
FNDX0.680.901.000.780.82
FNDC0.770.740.781.000.93
FNDF0.790.760.820.931.00

Sharpe Ratio

The current ETF World RAFI Sharpe ratio is 1.06. A Sharpe ratio greater than 1.0 is considered acceptable.

-1.000.001.002.003.004.001.06

The Sharpe ratio of ETF World RAFI lies between the 25th and 75th percentiles. It indicates that the portfolio's 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.


Rolling 12-month Sharpe Ratio-0.500.000.501.00AprilMayJuneJulyAugustSeptember
1.05
0.70
ETF World RAFI
Benchmark (^GSPC)
Portfolio components

Dividend yield

ETF World RAFI granted a 2.80% dividend yield in the last twelve months.


TTM2022202120202019201820172016201520142013
ETF World RAFI2.80%2.88%2.91%2.34%3.05%3.31%2.40%2.52%2.40%2.06%0.60%
FNDX
Schwab Fundamental U.S. Large Company Index ETF
1.97%2.10%1.70%2.41%2.41%2.66%2.12%2.32%2.37%1.96%0.56%
FNDF
Schwab Fundamental International Large Company Index ETF
3.10%3.14%3.69%2.35%3.54%3.96%2.74%2.93%2.57%2.32%0.62%
FNDA
Schwab Fundamental US Small Co. Index ETF
1.58%1.39%1.18%1.35%1.46%1.78%1.41%1.30%1.48%1.20%0.37%
FNDE
Schwab Fundamental Emerging Markets Large Company Index ETF
5.30%5.65%4.60%2.78%3.96%3.60%2.50%2.05%2.56%1.75%0.67%
FNDC
Schwab Fundamental International Small Co. Index ETF
2.22%1.99%2.65%1.86%2.91%2.95%2.19%2.26%1.53%1.93%0.78%

Expense Ratio

The ETF World RAFI has a high expense ratio of 0.27%, 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.


0.39%
0.00%2.15%
0.25%
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
FNDX
Schwab Fundamental U.S. Large Company Index ETF
0.75
FNDF
Schwab Fundamental International Large Company Index ETF
1.35
FNDA
Schwab Fundamental US Small Co. Index ETF
0.31
FNDE
Schwab Fundamental Emerging Markets Large Company Index ETF
0.61
FNDC
Schwab Fundamental International Small Co. Index ETF
0.85

Drawdowns Chart

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


-15.00%-10.00%-5.00%0.00%AprilMayJuneJulyAugustSeptember
-4.85%
-9.73%
ETF World RAFI
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below shows the maximum drawdowns of the ETF World RAFI. 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 ETF World RAFI is 37.91%, recorded on Mar 23, 2020. It took 172 trading sessions for the portfolio to recover.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-37.91%Jan 21, 202044Mar 23, 2020172Nov 24, 2020216
-23.34%Jan 13, 2022180Sep 30, 2022199Jul 19, 2023379
-21.7%May 18, 2015187Feb 11, 2016208Dec 7, 2016395
-20.79%Jan 29, 2018229Dec 24, 2018246Dec 16, 2019475
-11.32%Jul 7, 201473Oct 16, 2014132Apr 28, 2015205

Volatility Chart

The current ETF World RAFI volatility is 3.30%, 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%2.50%3.00%3.50%4.00%4.50%5.00%5.50%AprilMayJuneJulyAugustSeptember
3.30%
3.66%
ETF World RAFI
Benchmark (^GSPC)
Portfolio components