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Final ETF portfolio
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Final ETF portfolio

Last updated Nov 7, 2024

Asset Allocation

IGSB 7.5%SHY 7.5%HYG 5%GC=F 30%MIVU.DE 15%VGWD.DE 12.5%FGQD.L 10%QQQ 7.5%5MVL.DE 2.5%ZPRV.DE 2.5%BondBondCommodityCommodityEquityEquity
PositionCategory/SectorWeight
5MVL.DE
iShares Edge MSCI EM Value Factor UCITS ETF USD(Acc)		Emerging Markets Equities
2.50%
FGQD.L
Fidelity Global Quality Income ETF		Global Equities, Dividend
10%
GC=F
Gold
30%
HYG
iShares iBoxx $ High Yield Corporate Bond ETF		High Yield Bonds
5%
IGSB
iShares Short-Term Corporate Bond ETF		Corporate Bonds
7.50%
MIVU.DE
Amundi MSCI USA Minimum Volatility Factor UCITS ETF		Large Cap Blend Equities
15%
QQQ
Invesco QQQ		Large Cap Blend Equities
7.50%
SHY
iShares 1-3 Year Treasury Bond ETF		Government Bonds
7.50%
VGWD.DE
Vanguard FTSE All-World High Dividend Yield UCITS ETF USD Distributing		Global Equities, Dividend
12.50%
ZPRV.DE
SPDR MSCI USA Small Cap Value Weighted UCITS ETF		Small Cap Value Equities
2.50%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Final ETF portfolio, 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%JuneJulyAugustSeptemberOctoberNovember
10.81%
14.29%
Final ETF portfolio
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Dec 14, 2018, corresponding to the inception date of 5MVL.DE

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		24.30%4.09%14.29%35.42%13.95%11.33%
Final ETF portfolio18.32%0.77%10.81%25.96%9.01%N/A
Portfolio components:
GC=F
Gold		29.31%0.83%15.27%35.59%11.20%7.57%
VGWD.DE
Vanguard FTSE All-World High Dividend Yield UCITS ETF USD Distributing		13.59%-1.29%7.04%23.49%6.71%N/A
FGQD.L
Fidelity Global Quality Income ETF		14.38%0.64%9.07%26.62%9.57%N/A
MIVU.DE
Amundi MSCI USA Minimum Volatility Factor UCITS ETF		19.83%1.71%12.92%25.93%8.01%N/A
HYG
iShares iBoxx $ High Yield Corporate Bond ETF		8.38%0.59%6.66%14.24%3.12%3.85%
IGSB
iShares Short-Term Corporate Bond ETF		4.42%-0.34%3.69%7.90%1.81%2.15%
5MVL.DE
iShares Edge MSCI EM Value Factor UCITS ETF USD(Acc)		16.13%-6.65%5.39%26.03%5.74%N/A
ZPRV.DE
SPDR MSCI USA Small Cap Value Weighted UCITS ETF		15.06%7.09%15.85%36.92%12.38%N/A
SHY
iShares 1-3 Year Treasury Bond ETF		3.24%-0.17%2.92%5.06%1.05%1.18%
QQQ
Invesco QQQ		23.99%4.87%15.23%36.58%18.33%18.40%

Monthly Returns

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

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20240.48%1.06%4.20%-0.70%2.11%1.42%2.97%2.10%2.83%0.34%18.32%
20234.44%-3.03%4.08%0.89%-1.01%1.93%1.88%-0.79%-2.88%0.27%5.05%3.33%14.66%
2022-3.05%0.80%1.71%-3.47%-1.13%-4.80%2.77%-3.08%-4.92%2.54%5.66%-0.37%-7.67%
2021-0.75%-0.97%2.39%2.48%3.16%-1.55%1.49%0.95%-2.84%2.69%-1.00%3.36%9.55%
20200.98%-4.68%-5.80%7.26%2.47%1.88%5.90%2.52%-2.40%-1.79%4.16%4.20%14.67%
20194.99%1.60%0.40%1.41%-1.60%4.71%1.30%1.54%0.21%1.43%0.36%2.97%20.89%
2018-0.89%-0.89%

Expense Ratio

Final ETF portfolio has an expense ratio of 0.18%, 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.

HYG
iShares iBoxx $ High Yield Corporate Bond ETF
Expense ratio chart for HYG: 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%
FGQD.L
Fidelity Global Quality Income ETF
Expense ratio chart for FGQD.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%
5MVL.DE
iShares Edge MSCI EM Value Factor UCITS ETF USD(Acc)
Expense ratio chart for 5MVL.DE: 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%
ZPRV.DE
SPDR MSCI USA Small Cap Value Weighted UCITS ETF
Expense ratio chart for ZPRV.DE: current value at 0.30% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.30%
VGWD.DE
Vanguard FTSE All-World High Dividend Yield UCITS ETF USD Distributing
Expense ratio chart for VGWD.DE: current value at 0.29% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.29%
QQQ
Invesco QQQ
Expense ratio chart for QQQ: 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%
MIVU.DE
Amundi MSCI USA Minimum Volatility Factor UCITS ETF
Expense ratio chart for MIVU.DE: current value at 0.18% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.18%
SHY
iShares 1-3 Year Treasury Bond ETF
Expense ratio chart for SHY: 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%
IGSB
iShares Short-Term Corporate Bond ETF
Expense ratio chart for IGSB: current value at 0.06% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.06%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current risk-adjusted rank of Final ETF portfolio is 90, placing it in the top 10% 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 Final ETF portfolio is 9090
Combined Rank
The Sharpe Ratio Rank of Final ETF portfolio is 8686Sharpe Ratio Rank
The Sortino Ratio Rank of Final ETF portfolio is 8989Sortino Ratio Rank
The Omega Ratio Rank of Final ETF portfolio is 9191Omega Ratio Rank
The Calmar Ratio Rank of Final ETF portfolio is 9494Calmar Ratio Rank
The Martin Ratio Rank of Final ETF portfolio is 8989Martin 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.

Final ETF portfolio
Sharpe ratio
The chart of Sharpe ratio for Final ETF portfolio, currently valued at 3.08, compared to the broader market0.002.004.003.08
Sortino ratio
The chart of Sortino ratio for Final ETF portfolio, currently valued at 4.31, compared to the broader market-2.000.002.004.006.004.31
Omega ratio
The chart of Omega ratio for Final ETF portfolio, currently valued at 1.60, compared to the broader market0.801.001.201.401.601.802.001.60
Calmar ratio
The chart of Calmar ratio for Final ETF portfolio, currently valued at 6.31, compared to the broader market0.002.004.006.008.0010.0012.0014.006.31
Martin ratio
The chart of Martin ratio for Final ETF portfolio, currently valued at 21.74, compared to the broader market0.0010.0020.0030.0040.0050.0021.74
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.90, compared to the broader market0.002.004.002.90
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.88, compared to the broader market-2.000.002.004.006.003.88
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.54, compared to the broader market0.801.001.201.401.601.802.001.54
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 3.82, compared to the broader market0.002.004.006.008.0010.0012.0014.003.82
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 18.86, compared to the broader market0.0010.0020.0030.0040.0050.0018.86
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
GC=F
Gold		2.322.981.425.8013.39
VGWD.DE
Vanguard FTSE All-World High Dividend Yield UCITS ETF USD Distributing		1.982.721.373.3311.41
FGQD.L
Fidelity Global Quality Income ETF		1.982.841.382.8711.16
MIVU.DE
Amundi MSCI USA Minimum Volatility Factor UCITS ETF		2.824.171.545.2416.68
HYG
iShares iBoxx $ High Yield Corporate Bond ETF		2.493.851.503.1917.73
IGSB
iShares Short-Term Corporate Bond ETF		2.483.881.522.5914.24
5MVL.DE
iShares Edge MSCI EM Value Factor UCITS ETF USD(Acc)		1.442.001.271.377.42
ZPRV.DE
SPDR MSCI USA Small Cap Value Weighted UCITS ETF		1.552.351.303.167.94
SHY
iShares 1-3 Year Treasury Bond ETF		2.293.601.492.5011.67
QQQ
Invesco QQQ		1.852.471.352.328.39

Sharpe Ratio

The current Final ETF portfolio Sharpe ratio is 3.08. 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 2.11 to 2.97, 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 Final ETF portfolio 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 Ratio1.502.002.503.003.504.00JuneJulyAugustSeptemberOctoberNovember
3.08
2.90
Final ETF portfolio
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Final ETF portfolio provided a 1.51% dividend yield over the last twelve months.

TTM20232022202120202019201820172016201520142013
Portfolio1.51%1.47%1.30%0.96%1.13%1.30%1.32%0.73%0.51%0.50%0.49%0.49%
Portfolio components:
GC=F
Gold		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
VGWD.DE
Vanguard FTSE All-World High Dividend Yield UCITS ETF USD Distributing		2.70%3.14%3.60%2.58%2.67%2.87%3.16%0.49%0.00%0.00%0.00%0.00%
FGQD.L
Fidelity Global Quality Income ETF		2.23%2.78%2.69%2.46%2.60%2.44%2.70%1.56%0.00%0.00%0.00%0.00%
MIVU.DE
Amundi MSCI USA Minimum Volatility Factor 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%
HYG
iShares iBoxx $ High Yield Corporate Bond ETF		6.37%5.75%5.30%4.02%4.88%4.99%5.54%5.12%5.27%5.90%5.69%6.10%
IGSB
iShares Short-Term Corporate Bond ETF		3.91%3.26%2.07%1.82%2.37%3.07%2.46%1.65%1.45%1.18%0.94%1.17%
5MVL.DE
iShares Edge MSCI EM Value Factor 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%
ZPRV.DE
SPDR MSCI USA Small Cap Value Weighted 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%
SHY
iShares 1-3 Year Treasury Bond ETF		3.87%2.99%1.30%0.26%0.94%2.12%1.72%0.98%0.72%0.54%0.36%0.26%
QQQ
Invesco QQQ		0.60%0.62%0.80%0.43%0.55%0.74%0.91%0.84%1.06%0.99%1.41%1.02%

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%JuneJulyAugustSeptemberOctoberNovember
-1.02%
0
Final ETF portfolio
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Final ETF portfolio. 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 Final ETF portfolio was 19.14%, occurring on Mar 20, 2020. Recovery took 90 trading sessions.

The current Final ETF portfolio drawdown is 1.02%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-19.14%Feb 24, 202022Mar 20, 202090Jul 6, 2020112
-15.22%Mar 31, 2022165Oct 14, 2022209Jul 12, 2023374
-6.11%Jul 31, 202355Oct 3, 202341Nov 23, 202396
-4.79%Aug 30, 202022Sep 24, 202035Nov 5, 202057
-4.24%Jan 3, 202220Jan 28, 202246Mar 30, 202266

Volatility

Volatility Chart

The current Final ETF portfolio volatility is 1.72%, 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.

1.00%2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
1.72%
3.92%
Final ETF portfolio
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.
GC=FSHYIGSBQQQ5MVL.DEZPRV.DEMIVU.DEHYGFGQD.LVGWD.DE
GC=F1.000.130.11-0.000.070.050.060.040.060.08
SHY0.131.000.800.020.00-0.050.070.240.02-0.02
IGSB0.110.801.000.220.140.110.210.460.170.14
QQQ-0.000.020.221.000.450.340.420.660.500.43
5MVL.DE0.070.000.140.451.000.560.480.460.610.75
ZPRV.DE0.05-0.050.110.340.561.000.600.450.730.79
MIVU.DE0.060.070.210.420.480.601.000.440.730.74
HYG0.040.240.460.660.460.450.441.000.510.51
FGQD.L0.060.020.170.500.610.730.730.511.000.82
VGWD.DE0.08-0.020.140.430.750.790.740.510.821.00
The correlation results are calculated based on daily price changes starting from Dec 17, 2018