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option_5
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


XLKQ.L 35%IUIT.L 35%XDWT.L 30%EquityEquity
PositionCategory/SectorWeight
IUIT.L
iShares S&P 500 Information Technology Sector UCITS ETF
Technology Equities

35%

XDWT.L
Xtrackers MSCI World Information Technology UCITS ETF 1C
Technology Equities

30%

XLKQ.L
Invesco US Technology Sector UCITS ETF
Technology Equities

35%

S&P 500

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in option_5, 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


100.00%200.00%300.00%400.00%500.00%FebruaryMarchAprilMayJuneJuly
489.39%
165.05%
option_5
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Mar 24, 2016, corresponding to the inception date of XDWT.L

Returns By Period


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
13.20%-1.28%10.32%18.23%12.31%10.58%
option_523.69%-3.35%16.31%34.10%23.85%N/A
XLKQ.L
Invesco US Technology Sector UCITS ETF
26.66%-3.37%18.57%38.54%25.27%24.51%
IUIT.L
iShares S&P 500 Information Technology Sector UCITS ETF
23.88%-3.31%16.67%33.45%24.49%N/A
XDWT.L
Xtrackers MSCI World Information Technology UCITS ETF 1C
20.03%-3.38%13.28%29.75%21.44%N/A

Monthly Returns

The table below presents the monthly returns of option_5, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20244.20%5.71%2.71%-3.94%6.45%12.09%23.69%
20239.44%0.88%9.38%-0.09%10.77%6.04%2.98%-0.96%-6.58%-1.78%13.29%5.27%58.17%
2022-9.85%-3.40%4.39%-10.44%-3.77%-9.12%11.62%-4.60%-9.96%5.15%1.89%-4.84%-30.39%
2021-0.29%1.24%1.10%5.50%-0.90%6.53%3.33%4.04%-4.98%6.25%4.26%4.39%34.28%
20204.74%-9.18%-5.37%11.02%5.83%7.64%4.65%12.40%-4.17%-5.46%10.30%7.02%43.23%
20196.92%6.79%4.44%6.11%-7.39%7.81%5.08%-3.78%2.02%3.72%5.74%3.91%48.51%
20186.29%0.90%-5.19%1.65%6.04%-0.11%1.57%6.38%-0.28%-8.13%-2.78%-7.39%-2.42%
20172.59%5.14%2.62%1.95%4.36%-2.42%4.25%2.85%0.67%7.26%1.13%1.14%36.08%
20161.67%-5.02%5.24%-2.22%8.16%1.63%2.20%-0.07%-0.05%2.36%14.12%

Expense Ratio

option_5 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.


Expense ratio chart for XDWT.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%
Expense ratio chart for IUIT.L: 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%
Expense ratio chart for XLKQ.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 risk-adjusted rank of option_5 is 78, placing it in the top 22% 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 option_5 is 7878
option_5
The Sharpe Ratio Rank of option_5 is 7777Sharpe Ratio Rank
The Sortino Ratio Rank of option_5 is 7373Sortino Ratio Rank
The Omega Ratio Rank of option_5 is 7676Omega Ratio Rank
The Calmar Ratio Rank of option_5 is 8787Calmar Ratio Rank
The Martin Ratio Rank of option_5 is 7777Martin 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.


option_5
Sharpe ratio
The chart of Sharpe ratio for option_5, currently valued at 1.75, compared to the broader market-1.000.001.002.003.004.001.75
Sortino ratio
The chart of Sortino ratio for option_5, currently valued at 2.39, compared to the broader market-2.000.002.004.006.002.39
Omega ratio
The chart of Omega ratio for option_5, currently valued at 1.30, compared to the broader market0.801.001.201.401.601.801.30
Calmar ratio
The chart of Calmar ratio for option_5, currently valued at 2.94, compared to the broader market0.002.004.006.008.002.94
Martin ratio
The chart of Martin ratio for option_5, currently valued at 8.42, compared to the broader market0.0010.0020.0030.0040.008.42
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.58, compared to the broader market-1.000.001.002.003.004.001.58
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.22, compared to the broader market-2.000.002.004.006.002.22
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.28, compared to the broader market0.801.001.201.401.601.801.28
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.29, compared to the broader market0.002.004.006.008.001.29
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 5.98, compared to the broader market0.0010.0020.0030.0040.005.98

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
XLKQ.L
Invesco US Technology Sector UCITS ETF
1.912.571.323.429.42
IUIT.L
iShares S&P 500 Information Technology Sector UCITS ETF
1.702.341.302.958.47
XDWT.L
Xtrackers MSCI World Information Technology UCITS ETF 1C
1.552.161.272.237.18

Sharpe Ratio

The current option_5 Sharpe ratio is 1.95. 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 1.24 to 1.94, 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 option_5 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 Ratio1.502.002.503.00FebruaryMarchAprilMayJuneJuly
1.75
1.58
option_5
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield


option_5 doesn't pay dividends

Drawdowns

Drawdowns Chart

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


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%FebruaryMarchAprilMayJuneJuly
-8.26%
-4.73%
option_5
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the option_5. 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 option_5 was 34.75%, occurring on Oct 12, 2022. Recovery took 188 trading sessions.

The current option_5 drawdown is 6.98%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-34.75%Jan 4, 2022195Oct 12, 2022188Jul 13, 2023383
-31.68%Feb 20, 202023Mar 23, 202052Jun 9, 202075
-22.2%Oct 4, 201858Dec 24, 201869Apr 3, 2019127
-12.3%Sep 3, 202013Sep 21, 202051Dec 1, 202064
-11.58%Jul 20, 202370Oct 26, 202313Nov 14, 202383

Volatility

Volatility Chart

The current option_5 volatility is 6.26%, 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%7.00%8.00%FebruaryMarchAprilMayJuneJuly
6.26%
3.80%
option_5
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.

XLKQ.LXDWT.LIUIT.L
XLKQ.L1.000.930.94
XDWT.L0.931.000.98
IUIT.L0.940.981.00
The correlation results are calculated based on daily price changes starting from Mar 29, 2016