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tester quality 2.64 new
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

tester quality 2.64 new

Last updated Sep 21, 2024

Asset Allocation

XDEQ.L 30%MVUS.L 25%GGRG.L 25%XDEM.L 20%EquityEquity
PositionCategory/SectorWeight
GGRG.L
WisdomTree Global Quality Dividend Growth UCITS ETF - USD Acc		Global Equities, Dividend
25%
MVUS.L
iShares Edge S&P 500 Minimum Volatility UCITS ETF		Large Cap Blend Equities
25%
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
30%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in tester quality 2.64 new, 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
7.65%
8.95%
tester quality 2.64 new
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jun 8, 2016, corresponding to the inception date of GGRG.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 quality 2.64 new19.64%1.31%7.65%31.46%12.43%N/A
Portfolio components:
XDEM.L
Xtrackers MSCI World Momentum Factor UCITS ETF 1C		28.34%1.01%5.75%42.45%12.82%N/A
XDEQ.L
Xtrackers MSCI World Quality Factor UCITS ETF 1C		18.47%0.51%7.14%32.39%13.40%N/A
MVUS.L
iShares Edge S&P 500 Minimum Volatility UCITS ETF		20.06%2.70%10.46%28.36%10.79%13.40%
GGRG.L
WisdomTree Global Quality Dividend Growth UCITS ETF - USD Acc		13.52%1.11%7.02%24.52%12.23%N/A

Monthly Returns

The table below presents the monthly returns of tester quality 2.64 new, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20242.63%4.36%3.33%-3.01%3.15%3.78%0.50%2.46%19.64%
20232.92%-3.13%3.09%2.83%-2.35%5.38%2.24%-1.24%-4.42%-2.31%8.24%4.96%16.48%
2022-7.59%-1.39%4.61%-6.88%-2.25%-7.37%5.92%-3.33%-7.11%6.11%6.05%-1.92%-15.62%
2021-0.91%0.59%3.65%4.87%1.18%1.25%2.59%2.23%-4.37%5.34%-0.61%4.29%21.57%
20200.24%-8.95%-9.41%9.19%3.97%2.77%4.02%6.96%-1.88%-3.40%9.36%3.90%15.60%
20196.78%4.37%2.26%3.39%-4.34%5.59%1.56%-1.71%1.76%1.99%3.38%3.28%31.65%
20184.03%-2.65%-2.77%1.52%1.43%0.06%2.68%2.36%0.68%-7.15%0.17%-6.99%-7.13%
20170.93%3.35%1.86%1.41%2.60%0.10%2.04%0.41%1.57%3.07%3.00%1.83%24.48%
2016-1.28%3.84%-0.16%0.29%-1.66%0.95%2.04%3.97%

Expense Ratio

tester quality 2.64 new has an expense ratio of 0.27%, 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.

GGRG.L
WisdomTree Global Quality Dividend Growth UCITS ETF - USD Acc
Expense ratio chart for GGRG.L: current value at 0.38% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.38%
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%
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%
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%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of tester quality 2.64 new is 74, 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 tester quality 2.64 new is 7474
tester quality 2.64 new
The Sharpe Ratio Rank of tester quality 2.64 new is 8181Sharpe Ratio Rank
The Sortino Ratio Rank of tester quality 2.64 new is 8484Sortino Ratio Rank
The Omega Ratio Rank of tester quality 2.64 new is 8181Omega Ratio Rank
The Calmar Ratio Rank of tester quality 2.64 new is 5353Calmar Ratio Rank
The Martin Ratio Rank of tester quality 2.64 new is 7070Martin 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 quality 2.64 new
Sharpe ratio
The chart of Sharpe ratio for tester quality 2.64 new, 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 quality 2.64 new, currently valued at 3.70, compared to the broader market-2.000.002.004.006.003.70
Omega ratio
The chart of Omega ratio for tester quality 2.64 new, 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 quality 2.64 new, currently valued at 2.20, compared to the broader market0.002.004.006.008.0010.002.20
Martin ratio
The chart of Martin ratio for tester quality 2.64 new, currently valued at 14.64, compared to the broader market0.0010.0020.0030.0040.0014.64
^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
XDEM.L
Xtrackers MSCI World Momentum Factor UCITS ETF 1C		2.393.101.431.8212.27
XDEQ.L
Xtrackers MSCI World Quality Factor UCITS ETF 1C		2.513.561.442.5913.91
MVUS.L
iShares Edge S&P 500 Minimum Volatility UCITS ETF		2.753.931.502.1318.08
GGRG.L
WisdomTree Global Quality Dividend Growth UCITS ETF - USD Acc		2.253.281.401.9411.78

Sharpe Ratio

The current tester quality 2.64 new 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 quality 2.64 new 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 quality 2.64 new
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

tester quality 2.64 new granted a 0.00% dividend yield in the last twelve months.

TTM2023202220212020201920182017201620152014
tester quality 2.64 new0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.28%
Portfolio components:
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%
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%
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%
GGRG.L
WisdomTree Global Quality Dividend Growth 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%

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
-0.30%
-0.19%
tester quality 2.64 new
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the tester quality 2.64 new. 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 quality 2.64 new was 31.55%, occurring on Mar 23, 2020. Recovery took 99 trading sessions.

The current tester quality 2.64 new drawdown is 0.30%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-31.55%Feb 18, 202025Mar 23, 202099Aug 13, 2020124
-25.11%Jan 4, 2022194Oct 11, 2022322Jan 22, 2024516
-16.7%Sep 24, 201866Dec 24, 201877Apr 15, 2019143
-8.85%Jan 30, 20189Feb 9, 2018132Aug 20, 2018141
-7.48%Jul 17, 202414Aug 5, 202412Aug 21, 202426

Volatility

Volatility Chart

The current tester quality 2.64 new volatility is 4.04%, 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
4.04%
4.31%
tester quality 2.64 new
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.
MVUS.LXDEM.LGGRG.LXDEQ.L
MVUS.L1.000.790.870.88
XDEM.L0.791.000.860.89
GGRG.L0.870.861.000.94
XDEQ.L0.880.890.941.00
The correlation results are calculated based on daily price changes starting from Jun 9, 2016