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

tester quality 2.64 new

Last updated Nov 12, 2024

Asset Allocation

XDEQ.L 35%MVUS.L 25%GGRG.L 15%VHYG.L 15%DXJ 2%XREP.L 8%EquityEquityReal EstateReal Estate
PositionCategory/SectorWeight
DXJ
WisdomTree Japan Hedged Equity Fund		Japan Equities
2%
GGRG.L
WisdomTree Global Quality Dividend Growth UCITS ETF - USD Acc		Global Equities, Dividend
15%
MVUS.L
iShares Edge S&P 500 Minimum Volatility UCITS ETF		Large Cap Blend Equities
25%
VHYG.L
Vanguard FTSE All-World High Dividend Yield UCITS ETF		Global Equities
15%
XDEQ.L
Xtrackers MSCI World Quality Factor UCITS ETF 1C		Global Equities
35%
XREP.L
Invesco Real Estate S&P US Select Sector UCITS ETF GBP		REIT
8%

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

0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
9.99%
14.93%
tester quality 2.64 new
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Oct 17, 2022, corresponding to the inception date of XREP.L

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		25.82%3.20%14.94%35.92%14.22%11.43%
tester quality 2.64 new18.42%0.45%9.76%28.88%N/AN/A
Portfolio components:
XDEQ.L
Xtrackers MSCI World Quality Factor UCITS ETF 1C		20.33%0.05%9.49%30.41%12.84%12.94%
MVUS.L
iShares Edge S&P 500 Minimum Volatility UCITS ETF		23.00%1.94%12.35%30.52%11.07%13.08%
GGRG.L
WisdomTree Global Quality Dividend Growth UCITS ETF - USD Acc		13.20%-0.77%6.55%23.98%10.85%N/A
XREP.L
Invesco Real Estate S&P US Select Sector UCITS ETF GBP		10.63%1.74%16.94%32.54%N/AN/A
DXJ
WisdomTree Japan Hedged Equity Fund		27.31%1.17%2.40%26.84%18.74%11.59%
VHYG.L
Vanguard FTSE All-World High Dividend Yield UCITS ETF		13.74%-0.71%6.06%24.29%7.85%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
20241.37%3.11%3.18%-3.61%3.57%2.75%1.92%2.59%1.50%-1.36%18.42%
20234.04%-3.17%2.49%2.67%-2.10%5.14%2.57%-1.51%-4.19%-2.60%8.12%5.34%17.14%
20225.35%6.37%-1.87%9.97%

Expense Ratio

tester quality 2.64 new has an expense ratio of 0.26%, 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.

DXJ
WisdomTree Japan Hedged Equity Fund
Expense ratio chart for DXJ: current value at 0.48% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.48%
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%
VHYG.L
Vanguard FTSE All-World High Dividend Yield UCITS ETF
Expense ratio chart for VHYG.L: 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%
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%
XREP.L
Invesco Real Estate S&P US Select Sector UCITS ETF GBP
Expense ratio chart for XREP.L: current value at 0.14% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.14%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of tester quality 2.64 new is 67, 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 6767
Combined Rank
The Sharpe Ratio Rank of tester quality 2.64 new is 5959Sharpe Ratio Rank
The Sortino Ratio Rank of tester quality 2.64 new is 7070Sortino Ratio Rank
The Omega Ratio Rank of tester quality 2.64 new is 6565Omega Ratio Rank
The Calmar Ratio Rank of tester quality 2.64 new is 8484Calmar Ratio Rank
The Martin Ratio Rank of tester quality 2.64 new is 5757Martin 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 2.83, compared to the broader market0.002.004.006.002.83
Sortino ratio
The chart of Sortino ratio for tester quality 2.64 new, currently valued at 4.06, compared to the broader market-2.000.002.004.006.004.06
Omega ratio
The chart of Omega ratio for tester quality 2.64 new, currently valued at 1.53, compared to the broader market0.801.001.201.401.601.802.001.53
Calmar ratio
The chart of Calmar ratio for tester quality 2.64 new, currently valued at 4.94, compared to the broader market0.005.0010.0015.004.94
Martin ratio
The chart of Martin ratio for tester quality 2.64 new, currently valued at 17.28, compared to the broader market0.0010.0020.0030.0040.0050.0060.0017.28
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 3.08, compared to the broader market0.002.004.006.003.08
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 4.10, compared to the broader market-2.000.002.004.006.004.10
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.58, compared to the broader market0.801.001.201.401.601.802.001.58
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 4.48, compared to the broader market0.005.0010.0015.004.48
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 20.05, compared to the broader market0.0010.0020.0030.0040.0050.0060.0020.05
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
XDEQ.L
Xtrackers MSCI World Quality Factor UCITS ETF 1C		2.463.501.453.8913.99
MVUS.L
iShares Edge S&P 500 Minimum Volatility UCITS ETF		3.264.801.615.8320.83
GGRG.L
WisdomTree Global Quality Dividend Growth UCITS ETF - USD Acc		2.183.111.403.5811.88
XREP.L
Invesco Real Estate S&P US Select Sector UCITS ETF GBP		1.662.381.312.135.85
DXJ
WisdomTree Japan Hedged Equity Fund		1.191.561.241.113.94
VHYG.L
Vanguard FTSE All-World High Dividend Yield UCITS ETF		2.122.941.391.1312.96

Sharpe Ratio

The current tester quality 2.64 new Sharpe ratio is 2.83. 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 2.20 to 3.15, 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 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 Ratio1.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.83
3.08
tester quality 2.64 new
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

tester quality 2.64 new provided a 0.05% dividend yield over the last twelve months.

TTM20232022202120202019201820172016201520142013
Portfolio0.05%0.07%0.06%0.05%0.05%0.05%0.06%0.05%0.04%0.12%0.41%0.05%
Portfolio components:
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%0.00%
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%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%0.00%
XREP.L
Invesco Real Estate S&P US Select Sector UCITS ETF GBP		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
DXJ
WisdomTree Japan Hedged Equity Fund		2.31%3.44%3.03%2.64%2.53%2.47%2.92%2.30%1.98%5.95%11.61%2.44%
VHYG.L
Vanguard FTSE All-World High Dividend Yield 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%

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
-0.43%
0
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 9.48%, occurring on Oct 27, 2023. Recovery took 14 trading sessions.

The current tester quality 2.64 new drawdown is 0.43%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-9.48%Jul 26, 202368Oct 27, 202314Nov 16, 202382
-7.38%Feb 3, 202329Mar 15, 202331Apr 28, 202360
-5.2%Mar 22, 202420Apr 19, 202418May 15, 202438
-5.19%Jul 17, 202414Aug 5, 20249Aug 16, 202423
-4.68%Dec 15, 20226Dec 22, 202215Jan 16, 202321

Volatility

Volatility Chart

The current tester quality 2.64 new volatility is 2.34%, 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%JuneJulyAugustSeptemberOctoberNovember
2.34%
3.89%
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.
DXJXREP.LMVUS.LVHYG.LXDEQ.LGGRG.L
DXJ1.000.170.280.390.380.35
XREP.L0.171.000.630.590.540.59
MVUS.L0.280.631.000.730.800.84
VHYG.L0.390.590.731.000.760.84
XDEQ.L0.380.540.800.761.000.92
GGRG.L0.350.590.840.840.921.00
The correlation results are calculated based on daily price changes starting from Oct 18, 2022