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MNK_ABNA_02_24
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

MNK_ABNA_02_24

Last updated Jul 25, 2024

MNK_ABNA_02_24

Asset Allocation

TPSA.AS 14.8%SHYG.L 3.4%IWQU.L 40.4%VOO 23.1%LWCR.DE 18.3%BondBondEquityEquity
PositionCategory/SectorWeight
IWQU.L
iShares MSCI World Quality Factor UCITS		Global Equities

40.40%

LWCR.DE
Amundi MSCI World ESG Climate Net Zero Ambition CTB UCITS ETF Acc		Global Equities

18.30%

SHYG.L
iShares EUR High Yield Corporate Bond UCITS ETF EUR (Dist)		European High Yield Bonds

3.40%

TPSA.AS
iShares $ TIPS UCITS ETF USD (Acc)		Inflation-Protected Bonds

14.80%

VOO
Vanguard S&P 500 ETF		Large Cap Growth Equities

23.10%

S&P 500

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in MNK_ABNA_02_24, 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

120.00%130.00%140.00%150.00%160.00%170.00%180.00%190.00%FebruaryMarchAprilMayJuneJuly
141.07%
171.72%
MNK_ABNA_02_24
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Oct 5, 2015, corresponding to the inception date of LWCR.DE

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%
MNK_ABNA_02_2410.45%-0.82%8.80%16.03%10.40%N/A
Portfolio components:
VOO
Vanguard S&P 500 ETF		14.04%-1.30%11.13%20.75%13.73%12.62%
IWQU.L
iShares MSCI World Quality Factor UCITS		12.37%-1.85%10.12%18.79%11.50%N/A
SHYG.L
iShares EUR High Yield Corporate Bond UCITS ETF EUR (Dist)		-0.22%2.48%1.54%7.07%1.26%3.11%
TPSA.AS
iShares $ TIPS UCITS ETF USD (Acc)		1.54%0.53%2.17%3.18%1.92%3.97%
LWCR.DE
Amundi MSCI World ESG Climate Net Zero Ambition CTB UCITS ETF Acc		10.88%0.37%9.45%16.21%11.42%N/A

Monthly Returns

The table below presents the monthly returns of MNK_ABNA_02_24, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20241.28%3.63%2.77%-3.45%3.82%3.23%10.45%
20235.47%-2.03%3.43%1.61%0.05%5.06%2.73%-1.28%-4.14%-2.14%7.98%4.89%22.99%
2022-6.26%-2.05%2.91%-6.95%-1.81%-7.44%7.23%-3.84%-8.02%4.90%5.32%-2.82%-18.63%
2021-0.85%1.53%3.18%4.37%1.36%1.68%2.64%2.26%-4.36%5.43%-0.68%3.29%21.31%
20200.33%-7.23%-8.89%8.64%3.45%1.99%4.22%6.49%-2.71%-2.69%9.52%3.78%16.07%
20196.74%3.41%1.57%2.92%-4.35%5.42%1.00%-1.56%1.35%2.20%2.79%2.64%26.40%
20183.69%-2.67%-2.04%1.11%1.02%0.10%2.41%1.67%0.28%-6.17%0.62%-6.13%-6.45%
20171.67%2.83%0.75%1.39%1.90%0.28%1.73%-0.08%1.99%1.78%2.04%1.78%19.58%
2016-5.13%1.08%5.85%0.59%0.65%-1.11%3.96%-0.11%0.60%-1.97%1.27%1.35%6.81%
20153.80%0.30%-1.51%2.55%

Expense Ratio

MNK_ABNA_02_24 has an expense ratio of 0.21%, 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.

SHYG.L
iShares EUR High Yield Corporate Bond UCITS ETF EUR (Dist)
Expense ratio chart for SHYG.L: current value at 0.50% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.50%
IWQU.L
iShares MSCI World Quality Factor UCITS
Expense ratio chart for IWQU.L: current value at 0.30% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.30%
LWCR.DE
Amundi MSCI World ESG Climate Net Zero Ambition CTB UCITS ETF Acc
Expense ratio chart for LWCR.DE: 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%
TPSA.AS
iShares $ TIPS UCITS ETF USD (Acc)
Expense ratio chart for TPSA.AS: 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%
VOO
Vanguard S&P 500 ETF
Expense ratio chart for VOO: 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 MNK_ABNA_02_24 is 75, 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 MNK_ABNA_02_24 is 7575
MNK_ABNA_02_24
The Sharpe Ratio Rank of MNK_ABNA_02_24 is 8080Sharpe Ratio Rank
The Sortino Ratio Rank of MNK_ABNA_02_24 is 8383Sortino Ratio Rank
The Omega Ratio Rank of MNK_ABNA_02_24 is 8484Omega Ratio Rank
The Calmar Ratio Rank of MNK_ABNA_02_24 is 5252Calmar Ratio Rank
The Martin Ratio Rank of MNK_ABNA_02_24 is 7474Martin 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.

MNK_ABNA_02_24
Sharpe ratio
The chart of Sharpe ratio for MNK_ABNA_02_24, currently valued at 2.00, compared to the broader market-1.000.001.002.003.004.002.00
Sortino ratio
The chart of Sortino ratio for MNK_ABNA_02_24, currently valued at 2.95, compared to the broader market-2.000.002.004.006.002.95
Omega ratio
The chart of Omega ratio for MNK_ABNA_02_24, currently valued at 1.37, compared to the broader market0.801.001.201.401.601.801.37
Calmar ratio
The chart of Calmar ratio for MNK_ABNA_02_24, currently valued at 1.44, compared to the broader market0.002.004.006.008.001.44
Martin ratio
The chart of Martin ratio for MNK_ABNA_02_24, currently valued at 8.54, compared to the broader market0.0010.0020.0030.0040.008.54
^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
VOO
Vanguard S&P 500 ETF		1.912.671.341.879.30
IWQU.L
iShares MSCI World Quality Factor UCITS		1.872.741.341.739.16
SHYG.L
iShares EUR High Yield Corporate Bond UCITS ETF EUR (Dist)		0.821.261.170.432.24
TPSA.AS
iShares $ TIPS UCITS ETF USD (Acc)		0.731.131.130.292.63
LWCR.DE
Amundi MSCI World ESG Climate Net Zero Ambition CTB UCITS ETF Acc		1.702.531.311.307.11

Sharpe Ratio

The current MNK_ABNA_02_24 Sharpe ratio is 2.00. 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 MNK_ABNA_02_24 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
2.00
1.58
MNK_ABNA_02_24
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

MNK_ABNA_02_24 granted a 0.52% dividend yield in the last twelve months.

TTM20232022202120202019201820172016201520142013
MNK_ABNA_02_240.52%0.52%0.51%0.39%0.48%0.57%0.60%0.54%0.60%0.64%0.61%0.66%
Portfolio components:
VOO
Vanguard S&P 500 ETF		1.34%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%
IWQU.L
iShares MSCI World Quality Factor UCITS		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SHYG.L
iShares EUR High Yield Corporate Bond UCITS ETF EUR (Dist)		6.16%5.39%3.58%3.13%3.66%3.86%3.65%3.74%3.83%4.55%5.41%6.83%
TPSA.AS
iShares $ TIPS 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%
LWCR.DE
Amundi MSCI World ESG Climate Net Zero Ambition CTB UCITS ETF 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%

Drawdowns

Drawdowns Chart

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

-5.00%-4.00%-3.00%-2.00%-1.00%0.00%FebruaryMarchAprilMayJuneJuly
-3.58%
-4.73%
MNK_ABNA_02_24
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the MNK_ABNA_02_24. 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 MNK_ABNA_02_24 was 28.70%, occurring on Mar 23, 2020. Recovery took 96 trading sessions.

The current MNK_ABNA_02_24 drawdown is 3.10%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-28.7%Feb 18, 202025Mar 23, 202096Aug 5, 2020121
-25.15%Dec 31, 2021203Oct 12, 2022312Dec 27, 2023515
-14.3%Sep 24, 201866Dec 24, 201870Apr 3, 2019136
-10.65%Nov 4, 201554Jan 20, 201662Apr 18, 2016116
-7.4%Jan 29, 201810Feb 9, 2018141Aug 28, 2018151

Volatility

Volatility Chart

The current MNK_ABNA_02_24 volatility is 2.63%, 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.

1.50%2.00%2.50%3.00%3.50%4.00%FebruaryMarchAprilMayJuneJuly
2.63%
3.80%
MNK_ABNA_02_24
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.
TPSA.ASSHYG.LVOOIWQU.LLWCR.DE
TPSA.AS1.000.210.09-0.010.11
SHYG.L0.211.000.340.410.44
VOO0.090.341.000.580.52
IWQU.L-0.010.410.581.000.74
LWCR.DE0.110.440.520.741.00
The correlation results are calculated based on daily price changes starting from Oct 6, 2015