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ETF Watchlist

Last updated Nov 5, 2024

Asset Allocation

IAU 7.14%5MVL.DE 7.14%FGQD.L 7.14%FUQA.L 7.14%IS3S.DE 7.14%MIVU.DE 7.14%QDVX.DE 7.14%SGAS.DE 7.14%UBUS.DE 7.14%VGWD.DE 7.14%ZPRV.DE 7.14%ZPRX.DE 7.14%VOO 7.14%IGM 7.14%CommodityCommodityEquityEquity
PositionCategory/SectorWeight
5MVL.DE
iShares Edge MSCI EM Value Factor UCITS ETF USD(Acc)		Emerging Markets Equities
7.14%
FGQD.L
Fidelity Global Quality Income ETF		Global Equities, Dividend
7.14%
FUQA.L
Fidelity US Quality Income ETF Acc		Large Cap Blend Equities, Dividend
7.14%
IAU
iShares Gold Trust		Precious Metals, Gold
7.14%
IGM
iShares Expanded Tech Sector ETF		Technology Equities
7.14%
IS3S.DE
iShares Edge MSCI World Value Factor UCITS ETF		Global Equities
7.14%
MIVU.DE
Amundi MSCI USA Minimum Volatility Factor UCITS ETF		Large Cap Blend Equities
7.14%
QDVX.DE
iShares MSCI Europe Quality Dividend ESG UCITS ETF EUR (Dist)		Europe Equities
7.14%
SGAS.DE
iShares MSCI USA ESG Screened UCITS ETF USD (Acc)		Large Cap Blend Equities
7.14%
UBUS.DE
UBS ETF (IE) Factor MSCI USA Prime Value UCITS ETF (USD) A-dis		Large Cap Value Equities
7.14%
VGWD.DE
Vanguard FTSE All-World High Dividend Yield UCITS ETF USD Distributing		Global Equities, Dividend
7.14%
VOO
Vanguard S&P 500 ETF		Large Cap Growth Equities
7.14%
ZPRV.DE
SPDR MSCI USA Small Cap Value Weighted UCITS ETF		Small Cap Value Equities
7.14%
ZPRX.DE
SPDR MSCI Europe Small Cap Value Weighted UCITS ETF		Europe Equities
7.14%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in ETF Watchlist, 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%15.00%JuneJulyAugustSeptemberOctoberNovember
8.55%
11.47%
ETF Watchlist
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Dec 14, 2018, corresponding to the inception date of 5MVL.DE

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		21.24%0.55%11.47%32.45%13.43%11.05%
ETF Watchlist16.05%-0.72%8.55%28.18%11.21%N/A
Portfolio components:
5MVL.DE
iShares Edge MSCI EM Value Factor UCITS ETF USD(Acc)		18.64%-3.04%6.99%27.80%6.60%N/A
FGQD.L
Fidelity Global Quality Income ETF		13.40%-0.04%8.44%25.78%10.37%N/A
FUQA.L
Fidelity US Quality Income ETF Acc		18.14%0.47%11.31%29.82%12.67%N/A
IS3S.DE
iShares Edge MSCI World Value Factor UCITS ETF		8.45%-0.87%3.88%18.09%6.33%N/A
MIVU.DE
Amundi MSCI USA Minimum Volatility Factor UCITS ETF		17.60%-0.32%11.37%24.27%8.43%N/A
QDVX.DE
iShares MSCI Europe Quality Dividend ESG UCITS ETF EUR (Dist)		10.55%-2.08%3.97%22.94%7.08%N/A
SGAS.DE
iShares MSCI USA ESG Screened UCITS ETF USD (Acc)		21.26%0.40%11.48%34.91%14.88%N/A
UBUS.DE
UBS ETF (IE) Factor MSCI USA Prime Value UCITS ETF (USD) A-dis		9.51%-2.59%4.46%22.30%10.29%N/A
VGWD.DE
Vanguard FTSE All-World High Dividend Yield UCITS ETF USD Distributing		12.54%-1.96%6.19%21.92%7.11%N/A
ZPRV.DE
SPDR MSCI USA Small Cap Value Weighted UCITS ETF		8.54%0.49%8.50%29.17%12.39%N/A
ZPRX.DE
SPDR MSCI Europe Small Cap Value Weighted UCITS ETF		2.17%-4.46%-0.98%17.04%5.68%N/A
VOO
Vanguard S&P 500 ETF		21.11%-0.54%10.92%32.72%14.52%12.94%
IAU
iShares Gold Trust		32.74%3.45%18.40%38.42%12.81%8.65%
IGM
iShares Expanded Tech Sector ETF		30.41%0.83%14.08%48.41%20.56%20.10%

Monthly Returns

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

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20240.33%2.70%4.06%-2.70%3.70%1.45%3.14%1.44%2.30%-1.69%16.05%
20236.59%-2.22%1.64%1.66%-1.68%5.18%3.85%-2.34%-3.81%-2.82%8.37%5.78%21.02%
2022-3.53%-0.93%2.10%-5.75%-0.28%-8.41%5.40%-3.59%-8.28%5.81%7.62%-2.30%-12.89%
20210.19%3.22%4.04%3.73%2.48%-0.61%1.11%1.91%-3.68%3.65%-1.74%4.76%20.38%
2020-1.65%-8.59%-12.86%9.53%3.11%2.72%4.07%5.65%-3.09%-2.44%12.86%5.14%12.11%
20197.94%2.89%0.40%3.14%-5.58%6.04%0.57%-2.32%2.62%2.48%2.47%3.99%26.73%
2018-3.05%-3.05%

Expense Ratio

ETF Watchlist has an expense ratio of 0.27%, 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.

IGM
iShares Expanded Tech Sector ETF
Expense ratio chart for IGM: current value at 0.46% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.46%
5MVL.DE
iShares Edge MSCI EM Value Factor UCITS ETF USD(Acc)
Expense ratio chart for 5MVL.DE: current value at 0.40% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.40%
FGQD.L
Fidelity Global Quality Income ETF
Expense ratio chart for FGQD.L: current value at 0.40% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.40%
IS3S.DE
iShares Edge MSCI World Value Factor UCITS ETF
Expense ratio chart for IS3S.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%
ZPRV.DE
SPDR MSCI USA Small Cap Value Weighted UCITS ETF
Expense ratio chart for ZPRV.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%
ZPRX.DE
SPDR MSCI Europe Small Cap Value Weighted UCITS ETF
Expense ratio chart for ZPRX.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%
VGWD.DE
Vanguard FTSE All-World High Dividend Yield UCITS ETF USD Distributing
Expense ratio chart for VGWD.DE: current value at 0.29% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.29%
QDVX.DE
iShares MSCI Europe Quality Dividend ESG UCITS ETF EUR (Dist)
Expense ratio chart for QDVX.DE: current value at 0.28% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.28%
FUQA.L
Fidelity US Quality Income ETF Acc
Expense ratio chart for FUQA.L: 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%
UBUS.DE
UBS ETF (IE) Factor MSCI USA Prime Value UCITS ETF (USD) A-dis
Expense ratio chart for UBUS.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%
IAU
iShares Gold Trust
Expense ratio chart for IAU: 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%
MIVU.DE
Amundi MSCI USA Minimum Volatility Factor UCITS ETF
Expense ratio chart for MIVU.DE: current value at 0.18% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.18%
SGAS.DE
iShares MSCI USA ESG Screened UCITS ETF USD (Acc)
Expense ratio chart for SGAS.DE: current value at 0.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.07%
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 ETF Watchlist is 70, 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 ETF Watchlist is 7070
Combined Rank
The Sharpe Ratio Rank of ETF Watchlist is 6363Sharpe Ratio Rank
The Sortino Ratio Rank of ETF Watchlist is 6767Sortino Ratio Rank
The Omega Ratio Rank of ETF Watchlist is 6969Omega Ratio Rank
The Calmar Ratio Rank of ETF Watchlist is 7878Calmar Ratio Rank
The Martin Ratio Rank of ETF Watchlist is 7272Martin 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.

ETF Watchlist
Sharpe ratio
The chart of Sharpe ratio for ETF Watchlist, currently valued at 2.46, compared to the broader market0.002.004.002.46
Sortino ratio
The chart of Sortino ratio for ETF Watchlist, currently valued at 3.35, compared to the broader market-2.000.002.004.006.003.35
Omega ratio
The chart of Omega ratio for ETF Watchlist, currently valued at 1.45, compared to the broader market0.801.001.201.401.601.801.45
Calmar ratio
The chart of Calmar ratio for ETF Watchlist, currently valued at 3.69, compared to the broader market0.002.004.006.008.0010.0012.003.69
Martin ratio
The chart of Martin ratio for ETF Watchlist, currently valued at 15.98, compared to the broader market0.0010.0020.0030.0040.0050.0015.98
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.70, compared to the broader market0.002.004.002.70
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.58, compared to the broader market-2.000.002.004.006.003.58
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.50, compared to the broader market0.801.001.201.401.601.801.50
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 3.49, compared to the broader market0.002.004.006.008.0010.0012.003.49
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 17.22, compared to the broader market0.0010.0020.0030.0040.0050.0017.22
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
5MVL.DE
iShares Edge MSCI EM Value Factor UCITS ETF USD(Acc)		1.562.151.281.498.26
FGQD.L
Fidelity Global Quality Income ETF		2.103.021.393.0912.21
FUQA.L
Fidelity US Quality Income ETF Acc		2.453.551.464.0114.83
IS3S.DE
iShares Edge MSCI World Value Factor UCITS ETF		1.371.861.261.726.91
MIVU.DE
Amundi MSCI USA Minimum Volatility Factor UCITS ETF		2.814.091.523.8217.16
QDVX.DE
iShares MSCI Europe Quality Dividend ESG UCITS ETF EUR (Dist)		1.582.231.272.577.98
SGAS.DE
iShares MSCI USA ESG Screened UCITS ETF USD (Acc)		2.503.431.483.4314.66
UBUS.DE
UBS ETF (IE) Factor MSCI USA Prime Value UCITS ETF (USD) A-dis		1.722.461.303.458.94
VGWD.DE
Vanguard FTSE All-World High Dividend Yield UCITS ETF USD Distributing		2.032.811.373.3012.28
ZPRV.DE
SPDR MSCI USA Small Cap Value Weighted UCITS ETF		1.321.981.252.566.76
ZPRX.DE
SPDR MSCI Europe Small Cap Value Weighted UCITS ETF		0.691.061.130.662.80
VOO
Vanguard S&P 500 ETF		2.453.261.463.4215.56
IAU
iShares Gold Trust		2.813.761.506.8117.83
IGM
iShares Expanded Tech Sector ETF		1.962.581.352.719.79

Sharpe Ratio

The current ETF Watchlist Sharpe ratio is 2.64. 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 2.02 to 2.79, 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 ETF Watchlist 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 Ratio1.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.46
2.70
ETF Watchlist
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

ETF Watchlist provided a 0.71% dividend yield over the last twelve months.

TTM20232022202120202019201820172016201520142013
Portfolio0.71%0.86%1.02%0.88%0.86%0.95%1.09%0.53%0.30%0.21%0.19%0.19%
Portfolio components:
5MVL.DE
iShares Edge MSCI EM Value Factor 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%
FGQD.L
Fidelity Global Quality Income ETF		2.28%2.78%2.69%2.46%2.60%2.44%2.70%1.56%0.00%0.00%0.00%0.00%
FUQA.L
Fidelity US Quality Income 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%
IS3S.DE
iShares Edge MSCI World Value Factor 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%
MIVU.DE
Amundi MSCI USA Minimum Volatility Factor 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%
QDVX.DE
iShares MSCI Europe Quality Dividend ESG UCITS ETF EUR (Dist)		3.23%3.58%4.25%4.50%3.25%4.45%5.19%1.56%0.00%0.00%0.00%0.00%
SGAS.DE
iShares MSCI USA ESG Screened 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%
UBUS.DE
UBS ETF (IE) Factor MSCI USA Prime Value UCITS ETF (USD) A-dis		0.00%0.68%1.52%1.30%1.66%1.17%1.58%1.42%1.28%0.00%0.00%0.00%
VGWD.DE
Vanguard FTSE All-World High Dividend Yield UCITS ETF USD Distributing		2.76%3.14%3.60%2.58%2.67%2.87%3.16%0.49%0.00%0.00%0.00%0.00%
ZPRV.DE
SPDR MSCI USA Small Cap Value Weighted 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%
ZPRX.DE
SPDR MSCI Europe Small Cap Value Weighted 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%
VOO
Vanguard S&P 500 ETF		1.29%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%
IAU
iShares Gold Trust		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
IGM
iShares Expanded Tech Sector ETF		0.32%0.39%0.53%0.16%0.32%0.50%0.57%0.57%0.90%0.79%0.88%0.78%

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.

-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-2.08%
-1.40%
ETF Watchlist
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the ETF Watchlist. 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 ETF Watchlist was 33.34%, occurring on Mar 23, 2020. Recovery took 164 trading sessions.

The current ETF Watchlist drawdown is 2.53%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-33.34%Feb 20, 202023Mar 23, 2020164Nov 9, 2020187
-23.1%Jan 13, 2022194Oct 12, 2022301Dec 11, 2023495
-6.61%Jul 17, 202414Aug 5, 202412Aug 21, 202426
-5.87%Jul 5, 201930Aug 15, 201920Sep 12, 201950
-5.71%Apr 30, 201924May 31, 201915Jun 21, 201939

Volatility

Volatility Chart

The current ETF Watchlist volatility is 2.06%, 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
2.06%
3.19%
ETF Watchlist
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.
IAUIGMVOO5MVL.DEMIVU.DEZPRV.DEZPRX.DEQDVX.DEUBUS.DEFUQA.LSGAS.DEFGQD.LIS3S.DEVGWD.DE
IAU1.000.090.080.230.150.070.160.210.060.110.100.150.140.17
IGM0.091.000.900.460.410.350.400.400.390.520.590.500.440.43
VOO0.080.901.000.500.520.500.510.520.540.610.630.600.560.57
5MVL.DE0.230.460.501.000.500.570.670.670.580.580.650.630.720.76
MIVU.DE0.150.410.520.501.000.620.570.640.790.800.820.750.690.75
ZPRV.DE0.070.350.500.570.621.000.760.700.860.750.740.740.820.80
ZPRX.DE0.160.400.510.670.570.761.000.870.730.670.700.730.850.83
QDVX.DE0.210.400.520.670.640.700.871.000.740.690.710.760.850.87
UBUS.DE0.060.390.540.580.790.860.730.741.000.850.840.820.860.86
FUQA.L0.110.520.610.580.800.750.670.690.851.000.870.920.790.80
SGAS.DE0.100.590.630.650.820.740.700.710.840.871.000.840.800.81
FGQD.L0.150.500.600.630.750.740.730.760.820.920.841.000.820.83
IS3S.DE0.140.440.560.720.690.820.850.850.860.790.800.821.000.94
VGWD.DE0.170.430.570.760.750.800.830.870.860.800.810.830.941.00
The correlation results are calculated based on daily price changes starting from Dec 17, 2018