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GLOBAL
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

GLOBAL

Last updated Aug 27, 2024

Asset Allocation

IWDA.L 50%JEPI 25%GOOG 10%VUAA.L 10%INTC 5%EquityEquity
PositionCategory/SectorWeight
GOOG
Alphabet Inc.		Communication Services
10%
INTC
Intel Corporation		Technology
5%
IWDA.L
iShares Core MSCI World UCITS ETF USD (Acc)		Global Equities
50%
JEPI
JPMorgan Equity Premium Income ETF		Actively Managed, Dividend, Derivative Income
25%
VUAA.L
Vanguard S&P 500 UCITS ETF		Large Cap Growth Equities
10%

S&P 500

Performance

Performance Chart

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

65.00%70.00%75.00%80.00%85.00%90.00%MarchAprilMayJuneJulyAugust
79.21%
90.50%
GLOBAL
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is May 21, 2020, corresponding to the inception date of JEPI

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		17.76%2.89%10.80%27.49%14.28%10.89%
GLOBAL10.48%1.12%6.97%21.38%N/AN/A
Portfolio components:
GOOG
Alphabet Inc.		19.29%-0.44%20.00%27.57%23.57%19.48%
IWDA.L
iShares Core MSCI World UCITS ETF USD (Acc)		16.10%3.79%10.65%27.63%13.44%9.66%
INTC
Intel Corporation		-59.40%-35.38%-52.40%-39.12%-12.94%-2.76%
JEPI
JPMorgan Equity Premium Income ETF		10.33%2.85%6.03%13.85%N/AN/A
VUAA.L
Vanguard S&P 500 UCITS ETF		18.45%3.45%11.78%29.89%15.86%N/A

Monthly Returns

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

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20240.70%2.56%3.70%-3.27%2.88%3.24%0.60%10.48%
20235.90%-3.10%5.08%1.85%0.61%4.60%3.79%-0.97%-3.56%-2.71%8.54%5.11%27.16%
2022-5.69%-1.41%3.64%-7.81%-1.11%-7.23%6.23%-3.81%-8.44%5.51%4.98%-3.77%-18.72%
20210.42%3.53%3.89%4.59%1.38%1.49%2.45%2.87%-4.26%4.93%-1.73%4.59%26.48%
20202.63%1.21%3.77%6.26%-3.02%-2.10%10.38%3.39%24.09%

Expense Ratio

GLOBAL has an expense ratio of 0.19%, 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.

IWDA.L
iShares Core MSCI World UCITS ETF USD (Acc)
Expense ratio chart for IWDA.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%
JEPI
JPMorgan Equity Premium Income ETF
Expense ratio chart for JEPI: current value at 0.35% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.35%
VUAA.L
Vanguard S&P 500 UCITS ETF
Expense ratio chart for VUAA.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 GLOBAL is 29, 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 GLOBAL is 2929
GLOBAL
The Sharpe Ratio Rank of GLOBAL is 2525Sharpe Ratio Rank
The Sortino Ratio Rank of GLOBAL is 2020Sortino Ratio Rank
The Omega Ratio Rank of GLOBAL is 3535Omega Ratio Rank
The Calmar Ratio Rank of GLOBAL is 4141Calmar Ratio Rank
The Martin Ratio Rank of GLOBAL is 2323Martin 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.

GLOBAL
Sharpe ratio
The chart of Sharpe ratio for GLOBAL, currently valued at 1.70, compared to the broader market-1.000.001.002.003.004.001.70
Sortino ratio
The chart of Sortino ratio for GLOBAL, currently valued at 2.23, compared to the broader market-2.000.002.004.002.23
Omega ratio
The chart of Omega ratio for GLOBAL, currently valued at 1.33, compared to the broader market0.801.001.201.401.601.801.33
Calmar ratio
The chart of Calmar ratio for GLOBAL, currently valued at 1.69, compared to the broader market0.002.004.006.008.001.69
Martin ratio
The chart of Martin ratio for GLOBAL, currently valued at 6.90, compared to the broader market0.005.0010.0015.0020.0025.0030.006.90
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.28, compared to the broader market-1.000.001.002.003.004.002.28
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.09, compared to the broader market-2.000.002.004.003.09
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.41, compared to the broader market0.801.001.201.401.601.801.41
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 2.00, compared to the broader market0.002.004.006.008.002.00
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 10.55, compared to the broader market0.005.0010.0015.0020.0025.0030.0010.55
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
GOOG
Alphabet Inc.		0.841.221.181.263.73
IWDA.L
iShares Core MSCI World UCITS ETF USD (Acc)		2.042.871.381.879.54
INTC
Intel Corporation		-0.93-1.150.82-0.64-1.62
JEPI
JPMorgan Equity Premium Income ETF		1.622.231.311.907.31
VUAA.L
Vanguard S&P 500 UCITS ETF		2.223.091.422.2610.29

Sharpe Ratio

The current GLOBAL Sharpe ratio is 1.70. 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 1.79 to 2.40, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests that it may not be performing as well in terms of risk-adjusted returns compared to many other portfolios. The lower performance could be due to either lower returns, higher volatility, or a combination of both. This might indicate that the portfolio requires some fine-tuning. You can use the Portfolio Optimization tool to find an allocation that maximizes the Sharpe ratio.

Use the chart below to compare the Sharpe ratio of GLOBAL 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 Ratio1.001.502.002.503.00MarchAprilMayJuneJulyAugust
1.70
2.28
GLOBAL
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

GLOBAL granted a 1.91% dividend yield in the last twelve months.

TTM20232022202120202019201820172016201520142013
GLOBAL1.91%2.17%3.20%1.78%1.58%0.11%0.13%0.12%0.14%0.14%0.12%0.17%
Portfolio components:
GOOG
Alphabet Inc.		0.12%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
IWDA.L
iShares Core MSCI World 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%
INTC
Intel Corporation		2.48%1.47%5.52%2.70%2.65%2.11%2.56%2.33%2.87%2.79%2.48%3.47%
JEPI
JPMorgan Equity Premium Income ETF		7.09%8.40%11.68%6.59%5.79%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
VUAA.L
Vanguard S&P 500 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%MarchAprilMayJuneJulyAugust
-2.37%
-0.89%
GLOBAL
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the GLOBAL. 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 GLOBAL was 24.53%, occurring on Oct 12, 2022. Recovery took 302 trading sessions.

The current GLOBAL drawdown is 2.37%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-24.53%Jan 4, 2022201Oct 12, 2022302Dec 14, 2023503
-8.97%Jul 16, 202415Aug 5, 2024———
-7.45%Sep 3, 202016Sep 24, 202030Nov 5, 202046
-5.56%Sep 7, 202120Oct 4, 202121Nov 2, 202141
-4.93%Apr 2, 202414Apr 19, 202418May 15, 202432

Volatility

Volatility Chart

The current GLOBAL volatility is 5.43%, 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%MarchAprilMayJuneJulyAugust
5.43%
5.88%
GLOBAL
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.
INTCGOOGJEPIVUAA.LIWDA.L
INTC1.000.480.450.350.36
GOOG0.481.000.500.390.38
JEPI0.450.501.000.460.46
VUAA.L0.350.390.461.000.97
IWDA.L0.360.380.460.971.00
The correlation results are calculated based on daily price changes starting from May 22, 2020