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EU
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


JPGL.L 35%IWFM.L 14%IEFM.L 13%IWFV.L 10%ZPRV.DE 9%ZPRX.DE 9%VWCE.DE 5%EIMI.L 5%EquityEquity
PositionCategory/SectorWeight
JPGL.L
JPM Global Equity Multi-Factor UCITS ETF USD Acc
Global Equities

35%

IWFM.L
iShares Edge MSCI World Momentum Factor UCITS ETF (Acc)
Global Equities

14%

IEFM.L
iShares Edge MSCI Europe Momentum Factor UCITS ETF
Europe Equities

13%

IWFV.L
iShares Edge MSCI World Value Factor UCITS ETF
Global Equities

10%

ZPRV.DE
SPDR MSCI USA Small Cap Value Weighted UCITS ETF
Small Cap Value Equities

9%

ZPRX.DE
SPDR MSCI Europe Small Cap Value Weighted UCITS ETF
Europe Equities

9%

VWCE.DE
Vanguard FTSE All-World UCITS ETF
Global Equities

5%

EIMI.L
iShares Core MSCI EM IMI UCITS ETF
Emerging Markets Equities

5%

S&P 500

Performance

Performance Chart

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


-5.00%0.00%5.00%10.00%15.00%20.00%NovemberDecember2024FebruaryMarchApril
16.95%
15.73%
EU
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jul 25, 2019, corresponding to the inception date of VWCE.DE

Returns By Period


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
6.12%-1.08%15.73%22.34%11.82%10.53%
EU5.15%-0.53%16.95%14.92%N/AN/A
VWCE.DE
Vanguard FTSE All-World UCITS ETF
5.54%-0.21%15.61%18.74%N/AN/A
EIMI.L
iShares Core MSCI EM IMI UCITS ETF
1.29%-0.37%9.33%7.47%2.01%N/A
ZPRV.DE
SPDR MSCI USA Small Cap Value Weighted UCITS ETF
-3.87%-1.36%14.58%16.89%11.57%N/A
ZPRX.DE
SPDR MSCI Europe Small Cap Value Weighted UCITS ETF
-1.44%-0.19%15.01%5.35%6.34%N/A
IWFV.L
iShares Edge MSCI World Value Factor UCITS ETF
3.63%-0.25%12.75%15.23%7.34%N/A
JPGL.L
JPM Global Equity Multi-Factor UCITS ETF USD Acc
3.77%-0.96%13.81%12.01%N/AN/A
IWFM.L
iShares Edge MSCI World Momentum Factor UCITS ETF (Acc)
18.52%1.58%30.59%30.11%13.22%N/A
IEFM.L
iShares Edge MSCI Europe Momentum Factor UCITS ETF
7.94%-1.74%20.00%12.66%10.89%N/A

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
20240.42%3.11%4.53%
2023-3.40%-3.67%8.53%6.17%

Expense Ratio

The EU has a high expense ratio of 0.24%, indicating higher-than-average management fees. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


0.50%1.00%1.50%2.00%0.30%
0.50%1.00%1.50%2.00%0.30%
0.50%1.00%1.50%2.00%0.22%
0.50%1.00%1.50%2.00%0.18%

Risk-Adjusted Performance

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.


EU
Sharpe ratio
The chart of Sharpe ratio for EU, currently valued at 0.90, compared to the broader market-1.000.001.002.003.004.005.000.90
Sortino ratio
The chart of Sortino ratio for EU, currently valued at 1.40, compared to the broader market-2.000.002.004.006.001.40
Omega ratio
The chart of Omega ratio for EU, currently valued at 1.21, compared to the broader market0.801.001.201.401.601.801.21
Calmar ratio
The chart of Calmar ratio for EU, currently valued at 0.98, compared to the broader market0.002.004.006.008.0010.000.98
Martin ratio
The chart of Martin ratio for EU, currently valued at 4.01, compared to the broader market0.0010.0020.0030.0040.0050.004.01
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.89, compared to the broader market-1.000.001.002.003.004.005.001.89
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.74, compared to the broader market-2.000.002.004.006.002.74
Omega ratio
The chart of Omega ratio for ^GSPC, 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 ^GSPC, currently valued at 1.43, compared to the broader market0.002.004.006.008.0010.001.43
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 7.65, compared to the broader market0.0010.0020.0030.0040.0050.007.65

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
VWCE.DE
Vanguard FTSE All-World UCITS ETF
1.802.661.331.345.94
EIMI.L
iShares Core MSCI EM IMI UCITS ETF
0.550.911.100.271.65
ZPRV.DE
SPDR MSCI USA Small Cap Value Weighted UCITS ETF
0.861.411.170.943.10
ZPRX.DE
SPDR MSCI Europe Small Cap Value Weighted UCITS ETF
0.340.631.070.220.93
IWFV.L
iShares Edge MSCI World Value Factor UCITS ETF
1.281.941.231.345.07
JPGL.L
JPM Global Equity Multi-Factor UCITS ETF USD Acc
1.131.711.211.003.72
IWFM.L
iShares Edge MSCI World Momentum Factor UCITS ETF (Acc)
0.531.191.331.282.97
IEFM.L
iShares Edge MSCI Europe Momentum Factor UCITS ETF
0.390.821.170.601.77

Sharpe Ratio

The current EU Sharpe ratio is 0.90. A Sharpe ratio between 0 and 1.0 is considered sub-optimal.

-1.000.001.002.003.004.005.000.90

The Sharpe ratio of EU is in the bottom 25%, suggesting that this portfolio isn't performing as well in terms of risk-adjusted returns compared to many others. This could be due to lower returns, higher volatility, or both. It might be an indication that the portfolio needs fine-tuning.


Rolling 12-month Sharpe Ratio0.501.001.502.002.503.00NovemberDecember2024FebruaryMarchApril
0.90
1.89
EU
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield


EU doesn't pay dividends

Drawdowns

Drawdowns Chart

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


-15.00%-10.00%-5.00%0.00%NovemberDecember2024FebruaryMarchApril
-4.55%
-3.66%
EU
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the EU. 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 EU was 35.59%, occurring on Mar 23, 2020. Recovery took 163 trading sessions.

The current EU drawdown is 4.55%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-35.59%Feb 18, 202025Mar 23, 2020163Nov 9, 2020188
-25.72%Jan 6, 2022187Sep 27, 2022352Feb 12, 2024539
-6.19%Jul 29, 201916Aug 15, 201925Sep 13, 201941
-6.01%Feb 26, 20244Feb 29, 2024
-5.87%Sep 7, 202122Oct 6, 202120Nov 3, 202142

Volatility

Volatility Chart

The current EU volatility is 3.16%, 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%4.00%6.00%8.00%10.00%NovemberDecember2024FebruaryMarchApril
3.16%
3.44%
EU
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.

EIMI.LIEFM.LZPRV.DEIWFM.LZPRX.DEJPGL.LIWFV.LVWCE.DE
EIMI.L1.000.610.550.610.660.670.660.75
IEFM.L0.611.000.520.800.660.690.700.73
ZPRV.DE0.550.521.000.560.770.770.780.77
IWFM.L0.610.800.561.000.590.720.710.80
ZPRX.DE0.660.660.770.591.000.760.800.81
JPGL.L0.670.690.770.720.761.000.820.85
IWFV.L0.660.700.780.710.800.821.000.82
VWCE.DE0.750.730.770.800.810.850.821.00