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VNGA80ITA
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

VNGA80ITA

Last updated Oct 30, 2024

Asset Allocation

VAGS.L 20%VWCE.DE 20%VHVG.L 20%VNRT.AS 20%VEUA.L 7%VFEG.L 7%VUAG.L 6%BondBondEquityEquity
PositionCategory/SectorWeight
VAGS.L
Vanguard Global Aggregate Bond UCITS ETF GBP Hedged Accumulating		Global Bonds
20%
VEUA.L
Vanguard FTSE Developed Europe UCITS ETF (EUR) Accumulating		Europe Equities
7%
VFEG.L
Vanguard FTSE Emerging Markets UCITS ETF Acc		Emerging Markets Equities
7%
VHVG.L
Vanguard FTSE Developed World UCITS ETF Acc		Global Equities
20%
VNRT.AS
Vanguard FTSE North America UCITS ETF		Large Cap Blend Equities
20%
VUAG.L
Vanguard S&P 500 UCITS ETF (USD) Accumulating		Large Cap Blend Equities
6%
VWCE.DE
Vanguard FTSE All-World UCITS ETF		Global Equities
20%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in VNGA80ITA, 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%MayJuneJulyAugustSeptemberOctober
12.12%
15.83%
VNGA80ITA
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Sep 26, 2019, corresponding to the inception date of VHVG.L

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		22.29%1.65%15.83%39.98%13.99%11.23%
VNGA80ITA15.84%-0.61%12.23%32.09%9.23%N/A
Portfolio components:
VWCE.DE
Vanguard FTSE All-World UCITS ETF		18.16%0.16%12.63%35.30%11.07%N/A
VHVG.L
Vanguard FTSE Developed World UCITS ETF Acc		17.95%0.37%13.19%35.98%11.99%N/A
VNRT.AS
Vanguard FTSE North America UCITS ETF		23.48%2.12%15.88%41.60%14.73%13.87%
VAGS.L
Vanguard Global Aggregate Bond UCITS ETF GBP Hedged Accumulating		4.02%-4.52%8.04%16.67%-0.79%N/A
VEUA.L
Vanguard FTSE Developed Europe UCITS ETF (EUR) Accumulating		8.65%-3.64%5.84%25.50%7.39%N/A
VFEG.L
Vanguard FTSE Emerging Markets UCITS ETF Acc		16.79%-1.51%12.35%29.23%4.55%N/A
VUAG.L
Vanguard S&P 500 UCITS ETF (USD) Accumulating		23.19%2.02%16.52%41.36%15.03%N/A

Monthly Returns

The table below presents the monthly returns of VNGA80ITA, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20240.57%2.57%2.94%-2.71%2.89%2.91%1.67%1.89%2.85%15.84%
20235.74%-3.00%3.13%2.06%-0.93%5.00%2.94%-2.08%-4.32%-3.00%8.52%5.07%19.79%
2022-4.81%-2.02%1.17%-7.17%-1.22%-7.40%5.57%-3.93%-8.11%3.93%6.84%-2.15%-18.86%
2021-0.12%1.80%2.15%3.45%1.86%0.72%1.19%1.66%-3.62%3.96%-1.65%3.20%15.32%
2020-0.58%-7.45%-10.01%8.11%2.47%3.23%5.20%6.01%-3.01%-2.27%9.98%4.49%15.04%
20190.25%2.95%2.26%3.37%9.10%

Expense Ratio

VNGA80ITA has an expense ratio of 0.13%, 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.

VWCE.DE
Vanguard FTSE All-World UCITS ETF
Expense ratio chart for VWCE.DE: current value at 0.22% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.22%
VFEG.L
Vanguard FTSE Emerging Markets UCITS ETF Acc
Expense ratio chart for VFEG.L: current value at 0.22% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.22%
VHVG.L
Vanguard FTSE Developed World UCITS ETF Acc
Expense ratio chart for VHVG.L: current value at 0.12% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.12%
VNRT.AS
Vanguard FTSE North America UCITS ETF
Expense ratio chart for VNRT.AS: current value at 0.10% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.10%
VAGS.L
Vanguard Global Aggregate Bond UCITS ETF GBP Hedged Accumulating
Expense ratio chart for VAGS.L: current value at 0.10% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.10%
VEUA.L
Vanguard FTSE Developed Europe UCITS ETF (EUR) Accumulating
Expense ratio chart for VEUA.L: current value at 0.10% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.10%
VUAG.L
Vanguard S&P 500 UCITS ETF (USD) Accumulating
Expense ratio chart for VUAG.L: 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 VNGA80ITA is 49, 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 VNGA80ITA is 4949
Combined Rank
The Sharpe Ratio Rank of VNGA80ITA is 4444Sharpe Ratio Rank
The Sortino Ratio Rank of VNGA80ITA is 5959Sortino Ratio Rank
The Omega Ratio Rank of VNGA80ITA is 5454Omega Ratio Rank
The Calmar Ratio Rank of VNGA80ITA is 3535Calmar Ratio Rank
The Martin Ratio Rank of VNGA80ITA is 5252Martin 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.

VNGA80ITA
Sharpe ratio
The chart of Sharpe ratio for VNGA80ITA, currently valued at 2.88, compared to the broader market0.002.004.006.002.88
Sortino ratio
The chart of Sortino ratio for VNGA80ITA, currently valued at 4.23, compared to the broader market-2.000.002.004.006.004.23
Omega ratio
The chart of Omega ratio for VNGA80ITA, currently valued at 1.55, compared to the broader market0.801.001.201.401.601.802.001.55
Calmar ratio
The chart of Calmar ratio for VNGA80ITA, currently valued at 2.32, compared to the broader market0.005.0010.0015.002.32
Martin ratio
The chart of Martin ratio for VNGA80ITA, currently valued at 18.67, compared to the broader market0.0010.0020.0030.0040.0050.0060.0018.67
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 3.43, compared to the broader market0.002.004.006.003.43
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 4.52, compared to the broader market-2.000.002.004.006.004.52
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.64, compared to the broader market0.801.001.201.401.601.802.001.64
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 3.17, compared to the broader market0.005.0010.0015.003.17
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 22.22, compared to the broader market0.0010.0020.0030.0040.0050.0060.0022.22
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
VWCE.DE
Vanguard FTSE All-World UCITS ETF		2.763.881.533.1417.59
VHVG.L
Vanguard FTSE Developed World UCITS ETF Acc		2.733.811.513.5117.36
VNRT.AS
Vanguard FTSE North America UCITS ETF		3.214.441.644.3219.61
VAGS.L
Vanguard Global Aggregate Bond UCITS ETF GBP Hedged Accumulating		1.382.111.260.505.40
VEUA.L
Vanguard FTSE Developed Europe UCITS ETF (EUR) Accumulating		1.702.501.292.079.47
VFEG.L
Vanguard FTSE Emerging Markets UCITS ETF Acc		1.612.371.290.869.52
VUAG.L
Vanguard S&P 500 UCITS ETF (USD) Accumulating		1.071.731.511.834.04

Sharpe Ratio

The current VNGA80ITA Sharpe ratio is 2.88. 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 2.49 to 3.44, this portfolio's current Sharpe ratio lies between the 25th and 75th percentiles. This indicates that the its 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.

Use the chart below to compare the Sharpe ratio of VNGA80ITA 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 Ratio1.502.002.503.003.50MayJuneJulyAugustSeptemberOctober
2.88
3.43
VNGA80ITA
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

VNGA80ITA provided a 0.20% dividend yield over the last twelve months.

TTM202320222021202020192018201720162015
VNGA80ITA0.20%0.25%0.29%0.20%0.28%0.29%0.35%0.33%0.32%0.34%
Portfolio components:
VWCE.DE
Vanguard FTSE All-World UCITS ETF		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
VHVG.L
Vanguard FTSE Developed World UCITS ETF Acc		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
VNRT.AS
Vanguard FTSE North America UCITS ETF		1.01%1.25%1.45%1.00%1.42%1.44%1.77%1.64%1.58%1.70%
VAGS.L
Vanguard Global Aggregate Bond UCITS ETF GBP Hedged Accumulating		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
VEUA.L
Vanguard FTSE Developed Europe UCITS ETF (EUR) Accumulating		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
VFEG.L
Vanguard FTSE Emerging Markets UCITS ETF Acc		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
VUAG.L
Vanguard S&P 500 UCITS ETF (USD) Accumulating		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

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%MayJuneJulyAugustSeptemberOctober
-1.07%
-0.54%
VNGA80ITA
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the VNGA80ITA. 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 VNGA80ITA was 29.81%, occurring on Mar 23, 2020. Recovery took 99 trading sessions.

The current VNGA80ITA drawdown is 1.07%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-29.81%Feb 18, 202025Mar 23, 202099Aug 11, 2020124
-27.13%Nov 9, 2021239Oct 11, 2022350Feb 22, 2024589
-6.6%Sep 3, 202016Sep 24, 202032Nov 9, 202048
-5.94%Jul 15, 202416Aug 5, 202411Aug 20, 202427
-5.46%Sep 7, 202120Oct 4, 202123Nov 4, 202143

Volatility

Volatility Chart

The current VNGA80ITA volatility is 1.73%, 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%MayJuneJulyAugustSeptemberOctober
1.73%
2.71%
VNGA80ITA
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.
VAGS.LVFEG.LVNRT.ASVEUA.LVUAG.LVWCE.DEVHVG.L
VAGS.L1.000.350.300.460.330.360.39
VFEG.L0.351.000.600.690.630.730.70
VNRT.AS0.300.601.000.730.890.920.88
VEUA.L0.460.690.731.000.770.840.88
VUAG.L0.330.630.890.771.000.900.96
VWCE.DE0.360.730.920.840.901.000.93
VHVG.L0.390.700.880.880.960.931.00
The correlation results are calculated based on daily price changes starting from Sep 27, 2019