EU
Asset Allocation
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
The earliest data available for this chart is Jul 25, 2019, corresponding to the inception date of VWCE.DE
Returns By Period
| Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 13.20% | -1.28% | 10.32% | 18.23% | 12.31% | 10.58% |
| EU | 10.22% | 1.91% | 10.02% | 15.22% | 9.14% | N/A |
| Portfolio components: | ||||||
VWCE.DE Vanguard FTSE All-World UCITS ETF | 11.11% | 0.16% | 9.87% | 15.41% | 9.95% | N/A |
EIMI.L iShares Core MSCI EM IMI UCITS ETF | 6.48% | -0.41% | 9.33% | 6.78% | 3.65% | 2.51% |
ZPRV.DE SPDR MSCI USA Small Cap Value Weighted UCITS ETF | 5.62% | 9.48% | 9.15% | 13.54% | 12.42% | N/A |
ZPRX.DE SPDR MSCI Europe Small Cap Value Weighted UCITS ETF | 4.19% | 3.81% | 6.62% | 8.04% | 7.17% | N/A |
IWFV.L iShares Edge MSCI World Value Factor UCITS ETF | 6.34% | 2.82% | 6.73% | 10.70% | 7.03% | N/A |
JPGL.L JPM Global Equity Multi-Factor UCITS ETF USD Acc | 8.82% | 2.73% | 8.70% | 12.86% | 8.52% | N/A |
IWFM.L iShares Edge MSCI World Momentum Factor UCITS ETF (Acc) | 21.18% | -3.30% | 15.02% | 29.79% | 10.63% | N/A |
IEFM.L iShares Edge MSCI Europe Momentum Factor UCITS ETF | 12.56% | -0.36% | 12.57% | 17.70% | 8.90% | N/A |
Monthly Returns
The table below presents the monthly returns of EU, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | 0.42% | 3.11% | 4.53% | -2.75% | 3.26% | 0.20% | 10.22% | ||||||
| 2023 | 5.45% | -1.85% | -0.02% | 2.28% | -4.52% | 5.95% | 3.64% | -2.78% | -3.40% | -3.67% | 8.53% | 6.17% | 15.67% |
| 2022 | -5.20% | -0.77% | 2.31% | -6.04% | -0.12% | -9.13% | 4.50% | -3.31% | -8.62% | 6.87% | 7.50% | -1.18% | -13.97% |
| 2021 | 0.88% | 2.79% | 4.07% | 4.23% | 2.39% | -1.01% | 1.10% | 1.89% | -3.18% | 3.55% | -2.84% | 4.64% | 19.72% |
| 2020 | -1.60% | -8.92% | -14.28% | 8.53% | 4.01% | 3.14% | 4.04% | 5.52% | -2.29% | -2.47% | 13.53% | 5.39% | 11.99% |
| 2019 | -0.82% | -2.81% | 2.72% | 2.40% | 2.20% | 3.55% | 7.30% |
Expense Ratio
EU has an expense ratio of 0.24%, 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.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of EU is 39, 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.
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.
| Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|
VWCE.DE Vanguard FTSE All-World UCITS ETF | 1.51 | 2.23 | 1.27 | 1.12 | 6.34 |
EIMI.L iShares Core MSCI EM IMI UCITS ETF | 0.45 | 0.77 | 1.09 | 0.21 | 1.72 |
ZPRV.DE SPDR MSCI USA Small Cap Value Weighted UCITS ETF | 0.71 | 1.22 | 1.14 | 0.81 | 2.36 |
ZPRX.DE SPDR MSCI Europe Small Cap Value Weighted UCITS ETF | 0.58 | 0.96 | 1.11 | 0.39 | 1.89 |
IWFV.L iShares Edge MSCI World Value Factor UCITS ETF | 0.94 | 1.46 | 1.17 | 1.03 | 4.19 |
JPGL.L JPM Global Equity Multi-Factor UCITS ETF USD Acc | 1.32 | 1.99 | 1.24 | 1.18 | 5.42 |
IWFM.L iShares Edge MSCI World Momentum Factor UCITS ETF (Acc) | 1.89 | 2.66 | 1.34 | 1.25 | 11.38 |
IEFM.L iShares Edge MSCI Europe Momentum Factor UCITS ETF | 0.56 | 1.05 | 1.21 | 0.86 | 2.35 |
Dividends
Dividend yield
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way.
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 1.78%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -35.59% | Feb 18, 2020 | 25 | Mar 23, 2020 | 163 | Nov 9, 2020 | 188 |
| -25.72% | Jan 6, 2022 | 187 | Sep 27, 2022 | 352 | Feb 12, 2024 | 539 |
| -6.19% | Jul 29, 2019 | 16 | Aug 15, 2019 | 25 | Sep 13, 2019 | 41 |
| -5.87% | Sep 7, 2021 | 22 | Oct 6, 2021 | 20 | Nov 3, 2021 | 42 |
| -5.82% | Nov 9, 2021 | 30 | Dec 20, 2021 | 11 | Jan 4, 2022 | 41 |
Volatility
Volatility Chart
The current EU volatility is 2.87%, 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.
Diversification
Asset Correlations Table
| EIMI.L | ZPRV.DE | IEFM.L | IWFM.L | ZPRX.DE | JPGL.L | IWFV.L | VWCE.DE | |
|---|---|---|---|---|---|---|---|---|
| EIMI.L | 1.00 | 0.55 | 0.61 | 0.61 | 0.66 | 0.67 | 0.66 | 0.75 |
| ZPRV.DE | 0.55 | 1.00 | 0.52 | 0.55 | 0.77 | 0.78 | 0.77 | 0.76 |
| IEFM.L | 0.61 | 0.52 | 1.00 | 0.79 | 0.67 | 0.69 | 0.71 | 0.73 |
| IWFM.L | 0.61 | 0.55 | 0.79 | 1.00 | 0.58 | 0.71 | 0.71 | 0.81 |
| ZPRX.DE | 0.66 | 0.77 | 0.67 | 0.58 | 1.00 | 0.76 | 0.79 | 0.80 |
| JPGL.L | 0.67 | 0.78 | 0.69 | 0.71 | 0.76 | 1.00 | 0.82 | 0.84 |
| IWFV.L | 0.66 | 0.77 | 0.71 | 0.71 | 0.79 | 0.82 | 1.00 | 0.82 |
| VWCE.DE | 0.75 | 0.76 | 0.73 | 0.81 | 0.80 | 0.84 | 0.82 | 1.00 |