PortfoliosLab logo
PortfoliosLab logo
​
Tools
Performance Analysis
Portfolio Analysis
Risk Analysis
Optimization
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Screeners
Discussions
All World - NQ - BTC
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

All World - NQ - BTC

Last updated Nov 14, 2024

Asset Allocation

BTC-USD 3%ISAC.L 50%LYMS.DE 47%CryptocurrencyCryptocurrencyEquityEquity
PositionCategory/SectorWeight
BTC-USD
Bitcoin
3%
ISAC.L
iShares MSCI ACWI UCITS ETF USD (Acc)		Global Equities
50%
LYMS.DE
Amundi Nasdaq-100 II UCITS ETF Acc		Large Cap Growth Equities
47%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in All World - NQ - BTC, 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%JuneJulyAugustSeptemberOctoberNovember
12.04%
12.76%
All World - NQ - BTC
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Nov 4, 2011, corresponding to the inception date of ISAC.L

Returns By Period

As of Nov 14, 2024, the All World - NQ - BTC returned 24.75% Year-To-Date and 16.50% of annualized return in the last 10 years.

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		25.48%2.14%12.76%33.14%13.96%11.39%
All World - NQ - BTC24.75%2.55%12.04%33.76%18.29%16.50%
Portfolio components:
BTC-USD
Bitcoin		114.32%37.15%36.69%154.90%60.55%72.52%
ISAC.L
iShares MSCI ACWI UCITS ETF USD (Acc)		18.93%-0.19%8.43%27.09%11.21%9.20%
LYMS.DE
Amundi Nasdaq-100 II UCITS ETF Acc		25.23%3.24%13.88%33.60%21.08%18.11%

Monthly Returns

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

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20241.30%5.07%3.21%-3.48%3.46%5.78%-0.48%0.68%2.91%-0.43%24.75%
20239.56%-1.03%6.18%1.16%3.27%6.37%3.46%-2.16%-4.07%-2.37%9.83%6.23%41.50%
2022-8.41%-2.03%3.86%-9.70%-3.29%-9.22%8.98%-3.48%-8.39%3.07%3.40%-4.22%-27.33%
20210.89%2.36%3.15%4.73%-0.84%3.56%2.27%3.78%-4.57%6.59%0.21%2.15%26.58%
20201.81%-8.14%-8.58%11.31%4.30%4.92%6.62%9.04%-3.99%-2.24%12.02%7.68%37.08%
20197.79%3.24%2.36%5.00%-3.83%8.01%2.10%-3.22%1.29%3.62%2.94%3.48%37.26%
20185.24%-2.06%-4.82%2.80%1.47%0.11%2.87%2.60%0.04%-7.98%-0.99%-7.36%-8.69%
20172.66%4.47%1.26%2.84%5.48%-0.10%3.99%2.87%0.37%4.71%4.44%3.99%43.70%
2016-8.54%1.26%5.84%-1.29%3.16%-0.72%5.82%0.34%1.78%-1.02%0.95%2.74%9.94%
2015-3.61%6.30%-1.70%2.31%0.19%-2.03%2.83%-6.62%-3.70%10.70%0.50%-0.01%4.04%
2014-2.72%4.26%-1.85%0.08%4.49%2.54%-0.11%2.42%-1.78%0.67%3.67%-1.59%10.17%
20135.98%2.46%14.25%3.84%2.53%-4.39%5.61%-0.54%4.67%6.11%21.45%-4.75%70.46%

Expense Ratio

All World - NQ - BTC has an expense ratio of 0.20%, 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.

LYMS.DE
Amundi Nasdaq-100 II UCITS ETF Acc
Expense ratio chart for LYMS.DE: current value at 0.22% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.22%
ISAC.L
iShares MSCI ACWI UCITS ETF USD (Acc)
Expense ratio chart for ISAC.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%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of All World - NQ - BTC is 14, indicating that it is in the bottom 14% 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 All World - NQ - BTC is 1414
Combined Rank
The Sharpe Ratio Rank of All World - NQ - BTC is 1616Sharpe Ratio Rank
The Sortino Ratio Rank of All World - NQ - BTC is 1616Sortino Ratio Rank
The Omega Ratio Rank of All World - NQ - BTC is 1616Omega Ratio Rank
The Calmar Ratio Rank of All World - NQ - BTC is 66Calmar Ratio Rank
The Martin Ratio Rank of All World - NQ - BTC is 1818Martin 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.

All World - NQ - BTC
Sharpe ratio
The chart of Sharpe ratio for All World - NQ - BTC, currently valued at 1.69, compared to the broader market0.002.004.006.001.69
Sortino ratio
The chart of Sortino ratio for All World - NQ - BTC, currently valued at 2.35, compared to the broader market-2.000.002.004.006.002.35
Omega ratio
The chart of Omega ratio for All World - NQ - BTC, currently valued at 1.30, compared to the broader market0.801.001.201.401.601.802.001.30
Calmar ratio
The chart of Calmar ratio for All World - NQ - BTC, currently valued at 0.69, compared to the broader market0.005.0010.0015.000.69
Martin ratio
The chart of Martin ratio for All World - NQ - BTC, currently valued at 8.37, compared to the broader market0.0010.0020.0030.0040.0050.0060.008.37
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.91, compared to the broader market0.002.004.006.002.91
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.88, compared to the broader market-2.000.002.004.006.003.88
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.55, compared to the broader market0.801.001.201.401.601.802.001.55
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 4.20, compared to the broader market0.005.0010.0015.004.20
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 18.80, compared to the broader market0.0010.0020.0030.0040.0050.0060.0018.80
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
BTC-USD
Bitcoin		1.071.781.170.914.39
ISAC.L
iShares MSCI ACWI UCITS ETF USD (Acc)		1.602.281.290.669.40
LYMS.DE
Amundi Nasdaq-100 II UCITS ETF Acc		1.482.081.270.616.16

Sharpe Ratio

The current All World - NQ - BTC Sharpe ratio is 1.69. 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 2.06 to 2.97, 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 All World - NQ - BTC 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 Ratio1.002.003.004.005.00JuneJulyAugustSeptemberOctoberNovember
1.69
2.91
All World - NQ - BTC
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

All World - NQ - BTC provided a 0.00% dividend yield over the last twelve months.

TTM20232022202120202019201820172016201520142013
Portfolio0.00%0.00%0.00%0.00%0.00%0.31%0.32%0.35%0.51%0.55%0.33%0.23%
Portfolio components:
BTC-USD
Bitcoin		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
ISAC.L
iShares MSCI ACWI 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%
LYMS.DE
Amundi Nasdaq-100 II UCITS ETF Acc		0.00%0.00%0.00%0.00%0.00%0.65%0.69%0.76%1.09%1.18%0.71%0.48%

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.

-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.53%
-0.27%
All World - NQ - BTC
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the All World - NQ - BTC. 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 All World - NQ - BTC was 31.42%, occurring on Oct 12, 2022. Recovery took 428 trading sessions.

The current All World - NQ - BTC drawdown is 0.53%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-31.42%Nov 9, 2021338Oct 12, 2022428Dec 14, 2023766
-31.4%Feb 20, 202033Mar 23, 2020105Jul 6, 2020138
-18.44%Oct 2, 201885Dec 25, 2018119Apr 23, 2019204
-15.71%Nov 4, 2015100Feb 11, 2016151Jul 11, 2016251
-12.45%Jul 21, 201571Sep 29, 201535Nov 3, 2015106

Volatility

Volatility Chart

The current All World - NQ - BTC volatility is 3.89%, 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
3.89%
3.75%
All World - NQ - BTC
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.
BTC-USDISAC.LLYMS.DE
BTC-USD1.000.080.08
ISAC.L0.081.000.70
LYMS.DE0.080.701.00
The correlation results are calculated based on daily price changes starting from Nov 5, 2011