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EA-55/45
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

EA-55/45

Last updated Oct 30, 2024

Asset Allocation

FLOA.L 25%SHY 14%BND 5%GLD 3%ITOT 28%SWDA.L 12%WOOD 5%SOXX 5%VNQ 3%BondBondCommodityCommodityEquityEquityReal EstateReal Estate
PositionCategory/SectorWeight
BND
Vanguard Total Bond Market ETF		Total Bond Market
5%
FLOA.L
iShares USD Floating Rate Bond UCITS ETF USD (Acc)		Corporate Bonds
25%
GLD
SPDR Gold Trust		Precious Metals, Gold
3%
ITOT
iShares Core S&P Total U.S. Stock Market ETF		Large Cap Growth Equities
28%
SHY
iShares 1-3 Year Treasury Bond ETF		Government Bonds
14%
SOXX
iShares PHLX Semiconductor ETF		Technology Equities
5%
SWDA.L
iShares Core MSCI World UCITS ETF USD (Acc)		Global Equities
12%
VNQ
Vanguard Real Estate ETF		REIT
3%
WOOD
iShares Global Timber & Forestry ETF		Materials
5%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in EA-55/45, 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
9.52%
15.83%
EA-55/45
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Mar 23, 2018, corresponding to the inception date of FLOA.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%
EA-55/4512.78%0.17%9.52%24.45%9.03%N/A
Portfolio components:
WOOD
iShares Global Timber & Forestry ETF		-0.44%-7.46%2.31%14.80%6.39%6.26%
FLOA.L
iShares USD Floating Rate Bond UCITS ETF USD (Acc)		5.44%0.36%3.03%6.57%2.93%N/A
SHY
iShares 1-3 Year Treasury Bond ETF		3.42%-0.71%3.59%5.62%1.16%1.20%
BND
Vanguard Total Bond Market ETF		2.14%-2.57%5.38%10.54%-0.26%1.47%
GLD
SPDR Gold Trust		33.96%4.52%20.87%38.35%12.18%8.58%
VNQ
Vanguard Real Estate ETF		11.11%-1.36%22.28%38.62%4.01%6.10%
SOXX
iShares PHLX Semiconductor ETF		23.15%1.16%10.40%62.16%26.37%24.76%
SWDA.L
iShares Core MSCI World UCITS ETF USD (Acc)		18.71%0.16%13.02%37.24%12.32%12.37%
ITOT
iShares Core S&P Total U.S. Stock Market ETF		22.24%1.83%16.36%41.90%14.66%12.75%

Monthly Returns

The table below presents the monthly returns of EA-55/45, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20240.22%2.81%2.40%-2.40%2.95%1.61%1.48%1.21%1.71%12.78%
20234.83%-1.64%1.93%0.46%0.53%3.44%2.31%-1.15%-2.60%-1.53%5.79%3.98%17.16%
2022-3.64%-1.03%1.14%-4.59%-0.18%-5.40%5.03%-2.57%-5.84%3.37%4.44%-2.78%-12.13%
2021-0.12%1.63%1.71%2.72%0.76%0.75%1.12%1.35%-2.54%2.93%-0.06%2.51%13.41%
2020-0.17%-4.00%-8.08%7.46%2.91%1.97%3.51%3.77%-1.79%-1.16%6.62%3.04%13.80%
20195.28%1.70%1.10%2.20%-3.75%4.22%0.66%-0.49%1.26%1.82%1.71%1.99%18.89%
20180.91%0.13%1.57%-0.07%1.29%1.56%-0.26%-4.16%0.73%-3.95%-2.43%

Expense Ratio

EA-55/45 has an expense ratio of 0.14%, 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.

WOOD
iShares Global Timber & Forestry ETF
Expense ratio chart for WOOD: current value at 0.46% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.46%
SOXX
iShares PHLX Semiconductor ETF
Expense ratio chart for SOXX: current value at 0.46% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.46%
GLD
SPDR Gold Trust
Expense ratio chart for GLD: current value at 0.40% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.40%
SWDA.L
iShares Core MSCI World UCITS ETF USD (Acc)
Expense ratio chart for SWDA.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%
SHY
iShares 1-3 Year Treasury Bond ETF
Expense ratio chart for SHY: 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%
VNQ
Vanguard Real Estate ETF
Expense ratio chart for VNQ: 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%
FLOA.L
iShares USD Floating Rate Bond UCITS ETF USD (Acc)
Expense ratio chart for FLOA.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%
BND
Vanguard Total Bond Market ETF
Expense ratio chart for BND: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%
ITOT
iShares Core S&P Total U.S. Stock Market ETF
Expense ratio chart for ITOT: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of EA-55/45 is 65, 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 EA-55/45 is 6565
Combined Rank
The Sharpe Ratio Rank of EA-55/45 is 5252Sharpe Ratio Rank
The Sortino Ratio Rank of EA-55/45 is 6464Sortino Ratio Rank
The Omega Ratio Rank of EA-55/45 is 7171Omega Ratio Rank
The Calmar Ratio Rank of EA-55/45 is 8181Calmar Ratio Rank
The Martin Ratio Rank of EA-55/45 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.

EA-55/45
Sharpe ratio
The chart of Sharpe ratio for EA-55/45, currently valued at 3.02, compared to the broader market0.002.004.006.003.02
Sortino ratio
The chart of Sortino ratio for EA-55/45, currently valued at 4.32, compared to the broader market-2.000.002.004.006.004.32
Omega ratio
The chart of Omega ratio for EA-55/45, currently valued at 1.60, compared to the broader market0.801.001.201.401.601.802.001.60
Calmar ratio
The chart of Calmar ratio for EA-55/45, currently valued at 4.45, compared to the broader market0.005.0010.004.45
Martin ratio
The chart of Martin ratio for EA-55/45, currently valued at 19.52, compared to the broader market0.0010.0020.0030.0040.0050.0060.0019.52
^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 market0.005.0010.003.17
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
WOOD
iShares Global Timber & Forestry ETF		0.500.841.100.391.85
FLOA.L
iShares USD Floating Rate Bond UCITS ETF USD (Acc)		5.488.922.789.03103.20
SHY
iShares 1-3 Year Treasury Bond ETF		2.804.521.602.0916.71
BND
Vanguard Total Bond Market ETF		1.522.241.270.555.68
GLD
SPDR Gold Trust		2.823.781.505.3518.13
VNQ
Vanguard Real Estate ETF		1.792.611.330.976.75
SOXX
iShares PHLX Semiconductor ETF		1.481.981.272.005.37
SWDA.L
iShares Core MSCI World UCITS ETF USD (Acc)		2.904.031.553.7418.39
ITOT
iShares Core S&P Total U.S. Stock Market ETF		2.893.861.553.8018.33

Sharpe Ratio

The current EA-55/45 Sharpe ratio is 3.02. 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 EA-55/45 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
3.02
3.43
EA-55/45
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

EA-55/45 provided a 1.28% dividend yield over the last twelve months.

TTM20232022202120202019201820172016201520142013
EA-55/451.28%1.23%1.07%0.64%0.85%1.21%1.33%0.97%1.02%1.05%1.08%1.02%
Portfolio components:
WOOD
iShares Global Timber & Forestry ETF		1.58%1.64%2.26%1.24%0.98%1.85%2.82%1.19%1.65%2.04%1.71%1.55%
FLOA.L
iShares USD Floating Rate Bond 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%
SHY
iShares 1-3 Year Treasury Bond ETF		3.78%2.99%1.30%0.26%0.94%2.12%1.72%0.98%0.71%0.54%0.36%0.26%
BND
Vanguard Total Bond Market ETF		3.51%3.09%2.60%1.97%2.22%2.72%2.81%2.54%2.51%2.57%2.79%2.78%
GLD
SPDR Gold Trust		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
VNQ
Vanguard Real Estate ETF		3.82%3.95%3.91%2.56%3.93%3.39%4.74%4.23%4.82%3.92%3.60%4.32%
SOXX
iShares PHLX Semiconductor ETF		0.62%0.78%1.25%0.64%0.81%1.23%1.37%0.90%1.08%1.29%1.56%1.18%
SWDA.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%
ITOT
iShares Core S&P Total U.S. Stock Market ETF		1.24%1.47%1.66%1.18%1.41%1.88%2.14%1.69%1.83%2.01%2.20%2.06%

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
-0.37%
-0.54%
EA-55/45
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the EA-55/45. 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 EA-55/45 was 21.36%, occurring on Mar 23, 2020. Recovery took 85 trading sessions.

The current EA-55/45 drawdown is 0.37%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-21.36%Feb 20, 202023Mar 23, 202085Jul 22, 2020108
-16.93%Dec 30, 2021206Oct 14, 2022298Dec 12, 2023504
-10.3%Aug 30, 201883Dec 24, 201861Mar 21, 2019144
-4.91%Sep 3, 202015Sep 23, 202033Nov 9, 202048
-4.72%Jul 17, 202414Aug 5, 202414Aug 23, 202428

Volatility

Volatility Chart

The current EA-55/45 volatility is 1.30%, 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%MayJuneJulyAugustSeptemberOctober
1.30%
2.71%
EA-55/45
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.
FLOA.LGLDSHYBNDSWDA.LSOXXVNQWOODITOT
FLOA.L1.000.050.050.030.130.090.070.090.12
GLD0.051.000.400.380.150.070.140.150.08
SHY0.050.401.000.77-0.01-0.050.15-0.03-0.03
BND0.030.380.771.000.040.020.230.020.05
SWDA.L0.130.15-0.010.041.000.520.400.580.64
SOXX0.090.07-0.050.020.521.000.410.540.80
VNQ0.070.140.150.230.400.411.000.550.65
WOOD0.090.15-0.030.020.580.540.551.000.69
ITOT0.120.08-0.030.050.640.800.650.691.00
The correlation results are calculated based on daily price changes starting from Mar 26, 2018