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Stabilisation (>55)
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Risk-Adjusted Performance
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Stabilisation (>55)

Last updated Sep 17, 2024

Asset Allocation

VHVG.L 60%VHYG.L 40%EquityEquity
PositionCategory/SectorWeight
VHVG.L
Vanguard FTSE Developed World UCITS ETF Acc		Global Equities
60%
VHYG.L
Vanguard FTSE All-World High Dividend Yield UCITS ETF		Global Equities
40%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Stabilisation (>55), 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%AprilMayJuneJulyAugustSeptember
7.89%
9.39%
Stabilisation (>55)
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Sep 26, 2019, corresponding to the inception date of VHYG.L

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		18.10%1.42%9.39%26.58%13.42%10.88%
Stabilisation (>55)13.98%1.48%7.89%21.46%N/AN/A
Portfolio components:
VHYG.L
Vanguard FTSE All-World High Dividend Yield UCITS ETF		11.96%1.54%7.58%17.44%N/AN/A
VHVG.L
Vanguard FTSE Developed World UCITS ETF Acc		15.30%1.43%8.07%24.14%N/AN/A

Monthly Returns

The table below presents the monthly returns of Stabilisation (>55), with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20240.70%2.64%3.87%-2.19%2.08%2.19%2.43%1.76%13.98%
20235.12%-2.85%1.96%2.44%-2.03%5.23%3.57%-2.31%-3.35%-3.58%7.98%5.67%18.31%
2022-4.07%-1.17%2.66%-6.24%-0.29%-8.46%5.12%-2.95%-7.90%5.60%7.20%-1.85%-13.06%
2021-0.27%2.90%4.13%3.37%2.45%0.06%0.90%1.84%-2.92%3.88%-2.04%4.68%20.35%
2020-2.04%-9.41%-12.58%8.49%3.15%3.11%3.29%6.40%-2.97%-3.27%12.91%4.77%9.23%
20190.55%2.40%2.62%3.44%9.29%

Expense Ratio

Stabilisation (>55) 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.

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%
VHVG.L
Vanguard FTSE Developed World UCITS ETF Acc
Expense ratio chart for VHVG.L: 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%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Stabilisation (>55) is 31, 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 Stabilisation (>55) is 3131
Stabilisation (>55)
The Sharpe Ratio Rank of Stabilisation (>55) is 1616Sharpe Ratio Rank
The Sortino Ratio Rank of Stabilisation (>55) is 1818Sortino Ratio Rank
The Omega Ratio Rank of Stabilisation (>55) is 4040Omega Ratio Rank
The Calmar Ratio Rank of Stabilisation (>55) is 5555Calmar Ratio Rank
The Martin Ratio Rank of Stabilisation (>55) is 2525Martin 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.

Stabilisation (>55)
Sharpe ratio
The chart of Sharpe ratio for Stabilisation (>55), currently valued at 1.34, compared to the broader market-1.000.001.002.003.004.001.34
Sortino ratio
The chart of Sortino ratio for Stabilisation (>55), currently valued at 1.98, compared to the broader market-2.000.002.004.001.98
Omega ratio
The chart of Omega ratio for Stabilisation (>55), currently valued at 1.32, compared to the broader market0.801.001.201.401.601.801.32
Calmar ratio
The chart of Calmar ratio for Stabilisation (>55), currently valued at 1.95, compared to the broader market0.002.004.006.008.001.95
Martin ratio
The chart of Martin ratio for Stabilisation (>55), currently valued at 7.12, compared to the broader market0.0010.0020.0030.007.12
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.96, compared to the broader market-1.000.001.002.003.004.001.96
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.65, compared to the broader market-2.000.002.004.002.65
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.35, compared to the broader market0.801.001.201.401.601.801.35
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.77, compared to the broader market0.002.004.006.008.001.77
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 10.43, compared to the broader market0.0010.0020.0030.0010.43
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
VHYG.L
Vanguard FTSE All-World High Dividend Yield UCITS ETF		0.561.081.280.971.80
VHVG.L
Vanguard FTSE Developed World UCITS ETF Acc		1.992.791.361.909.97

Sharpe Ratio

The current Stabilisation (>55) Sharpe ratio is 1.34. 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 1.63 to 2.29, 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 Stabilisation (>55) 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 Ratio1.001.502.002.503.00AprilMayJuneJulyAugustSeptember
1.34
1.96
Stabilisation (>55)
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Stabilisation (>55) doesn't pay dividends

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
-0.88%
-0.60%
Stabilisation (>55)
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Stabilisation (>55). 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 Stabilisation (>55) was 34.20%, occurring on Mar 23, 2020. Recovery took 160 trading sessions.

The current Stabilisation (>55) drawdown is 0.88%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-34.2%Jan 21, 202045Mar 23, 2020160Nov 9, 2020205
-24.15%Jan 14, 2022186Oct 11, 2022278Nov 16, 2023464
-7.71%Nov 17, 20231Nov 17, 202358Feb 12, 202459
-6.95%Jul 17, 202414Aug 5, 202412Aug 21, 202426
-5.37%Mar 22, 202417Apr 17, 202420May 16, 202437

Volatility

Volatility Chart

The current Stabilisation (>55) volatility is 3.63%, 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
3.63%
4.09%
Stabilisation (>55)
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.
VHVG.LVHYG.L
VHVG.L1.000.88
VHYG.L0.881.00
The correlation results are calculated based on daily price changes starting from Sep 27, 2019