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Portfolio Strategy ETFs

Last updated Sep 19, 2024

Portfolio Strategy:

Global Equities: Broad market exposure. Regional Equities: Specific regions like the US, Europe, and Emerging Markets. Sector-Specific ETFs: Focus on high-growth sectors. Factor-Based ETFs: Enhance returns through momentum, value, or quality factors. Alternative Assets: Include Bitcoin or commodities for diversification. TF Ticker Allocation Rationale iShares Core MSCI World UCITS ETF USD (Acc) SWDA.L 30% Broad global equity exposure with solid long-term performance. iShares Core S&P 500 UCITS ETF USD (Acc) SXR8.DE 25% Exposure to US large-cap equities with strong historical returns. iShares Edge MSCI World Momentum Factor UCITS ETF (Acc) IS3R.DE 30% Focus on momentum stocks for higher growth potential. ETC Group Physical Bitcoin BTCE.DE 15% Alternative asset with high growth potential and diversification benefits.

Asset Allocation

SXRV.DE 30%SPY5.DE 30%IS3R.DE 20%VWCE.DE 20%EquityEquity
PositionCategory/SectorWeight
IS3R.DE
iShares Edge MSCI World Momentum Factor UCITS ETF (Acc)		Global Equities
20%
SPY5.DE
SPDR S&P 500 UCITS ETF		Large Cap Blend Equities
30%
SXRV.DE
iShares NASDAQ 100 UCITS ETF USD (Acc)		Large Cap Growth Equities
30%
VWCE.DE
Vanguard FTSE All-World UCITS ETF		Global Equities
20%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Portfolio Strategy ETFs, 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%AprilMayJuneJulyAugustSeptember
8.22%
9.01%
Portfolio Strategy ETFs
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		19.79%2.08%9.01%29.79%13.85%11.12%
Portfolio Strategy ETFs21.02%1.63%8.22%32.45%15.65%N/A
Portfolio components:
IS3R.DE
iShares Edge MSCI World Momentum Factor UCITS ETF (Acc)		28.75%1.51%6.20%40.45%12.53%N/A
SXRV.DE
iShares NASDAQ 100 UCITS ETF USD (Acc)		18.40%0.79%8.17%32.67%20.59%19.41%
VWCE.DE
Vanguard FTSE All-World UCITS ETF		17.18%2.22%8.30%26.11%11.44%N/A
SPY5.DE
SPDR S&P 500 UCITS ETF		20.82%2.13%9.49%30.83%14.99%14.44%

Monthly Returns

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

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20242.37%5.06%3.27%-3.27%3.33%6.15%-0.78%1.16%21.02%
20236.28%-1.58%4.16%1.69%1.77%6.21%3.07%-1.25%-4.37%-2.96%9.37%5.66%30.73%
2022-8.07%-2.30%4.40%-9.20%-2.76%-8.13%8.00%-2.96%-8.03%4.74%4.03%-4.09%-23.38%
20210.21%1.19%2.09%5.44%-0.26%3.16%2.09%3.39%-4.15%5.91%0.24%2.79%24.01%
20201.20%-8.59%-7.67%10.03%3.97%4.55%5.94%9.10%-3.65%-3.11%10.04%5.34%27.76%
2019-0.32%-2.31%1.23%2.54%3.67%3.57%8.54%

Expense Ratio

Portfolio Strategy ETFs has an expense ratio of 0.22%, 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.

SXRV.DE
iShares NASDAQ 100 UCITS ETF USD (Acc)
Expense ratio chart for SXRV.DE: current value at 0.36% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.36%
IS3R.DE
iShares Edge MSCI World Momentum Factor UCITS ETF (Acc)
Expense ratio chart for IS3R.DE: 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%
VWCE.DE
Vanguard FTSE All-World UCITS ETF
Expense ratio chart for VWCE.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%
SPY5.DE
SPDR S&P 500 UCITS ETF
Expense ratio chart for SPY5.DE: 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 Portfolio Strategy ETFs is 74, 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 Portfolio Strategy ETFs is 7474
Portfolio Strategy ETFs
The Sharpe Ratio Rank of Portfolio Strategy ETFs is 7676Sharpe Ratio Rank
The Sortino Ratio Rank of Portfolio Strategy ETFs is 7575Sortino Ratio Rank
The Omega Ratio Rank of Portfolio Strategy ETFs is 7979Omega Ratio Rank
The Calmar Ratio Rank of Portfolio Strategy ETFs is 6464Calmar Ratio Rank
The Martin Ratio Rank of Portfolio Strategy ETFs is 7575Martin 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.

Portfolio Strategy ETFs
Sharpe ratio
The chart of Sharpe ratio for Portfolio Strategy ETFs, currently valued at 2.57, compared to the broader market-1.000.001.002.003.004.002.57
Sortino ratio
The chart of Sortino ratio for Portfolio Strategy ETFs, currently valued at 3.50, compared to the broader market-2.000.002.004.006.003.50
Omega ratio
The chart of Omega ratio for Portfolio Strategy ETFs, currently valued at 1.47, compared to the broader market0.801.001.201.401.601.801.47
Calmar ratio
The chart of Calmar ratio for Portfolio Strategy ETFs, currently valued at 2.53, compared to the broader market0.002.004.006.008.002.53
Martin ratio
The chart of Martin ratio for Portfolio Strategy ETFs, currently valued at 14.20, compared to the broader market0.0010.0020.0030.0014.20
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.23, compared to the broader market-1.000.001.002.003.004.002.23
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.00, compared to the broader market-2.000.002.004.006.003.00
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.40, compared to the broader market0.801.001.201.401.601.801.40
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 2.02, compared to the broader market0.002.004.006.008.002.02
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 13.08, compared to the broader market0.0010.0020.0030.0013.08
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
IS3R.DE
iShares Edge MSCI World Momentum Factor UCITS ETF (Acc)		2.573.331.471.8713.86
SXRV.DE
iShares NASDAQ 100 UCITS ETF USD (Acc)		2.142.891.392.6310.00
VWCE.DE
Vanguard FTSE All-World UCITS ETF		2.543.581.472.0815.71
SPY5.DE
SPDR S&P 500 UCITS ETF		2.863.971.532.8817.50

Sharpe Ratio

The current Portfolio Strategy ETFs Sharpe ratio is 2.32. 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 1.71 to 2.37, this portfolio's current Sharpe ratio lies between the 25th and 75th percentiles. This indicates that the its risk-adjusted performance is in line with the majority of portfolios. This suggests a balanced approach to risk and return, which might be suitable for a broad range of investors.

Use the chart below to compare the Sharpe ratio of Portfolio Strategy ETFs 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 Ratio1.502.002.503.00AprilMayJuneJulyAugustSeptember
2.57
2.23
Portfolio Strategy ETFs
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Portfolio Strategy ETFs granted a 0.25% dividend yield in the last twelve months.

TTM20232022202120202019201820172016201520142013
Portfolio Strategy ETFs0.25%0.36%0.43%0.29%0.41%0.52%0.99%0.48%0.47%0.51%0.42%0.46%
Portfolio components:
IS3R.DE
iShares Edge MSCI World Momentum Factor 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%
SXRV.DE
iShares NASDAQ 100 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%
VWCE.DE
Vanguard FTSE All-World UCITS ETF		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SPY5.DE
SPDR S&P 500 UCITS ETF		0.84%1.22%1.42%0.95%1.37%1.74%3.30%1.59%1.57%1.69%1.39%1.53%

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%AprilMayJuneJulyAugustSeptember
-0.16%
0
Portfolio Strategy ETFs
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Portfolio Strategy ETFs. 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 Portfolio Strategy ETFs was 31.97%, occurring on Mar 23, 2020. Recovery took 75 trading sessions.

The current Portfolio Strategy ETFs drawdown is 2.30%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-31.97%Feb 20, 202023Mar 23, 202075Jul 10, 202098
-28.16%Jan 3, 2022201Oct 12, 2022309Dec 27, 2023510
-10.11%Jul 16, 202415Aug 5, 2024———
-9.09%Sep 3, 202013Sep 21, 202035Nov 9, 202048
-9.02%Feb 16, 202114Mar 5, 202120Apr 6, 202134

Volatility

Volatility Chart

The current Portfolio Strategy ETFs volatility is 5.38%, 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%7.00%AprilMayJuneJulyAugustSeptember
5.38%
4.31%
Portfolio Strategy ETFs
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.
IS3R.DESXRV.DEVWCE.DESPY5.DE
IS3R.DE1.000.850.880.87
SXRV.DE0.851.000.870.91
VWCE.DE0.880.871.000.96
SPY5.DE0.870.910.961.00
The correlation results are calculated based on daily price changes starting from Jul 26, 2019