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All World + Factors
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Risk-Adjusted Performance
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All World + Factors

Last updated Sep 21, 2024

Asset Allocation

^AW01 70%XDEV.L 10%XDEQ.L 10%XDEM.L 10%EquityEquity
PositionCategory/SectorWeight
^AW01
FTSE All World
70%
XDEM.L
Xtrackers MSCI World Momentum Factor UCITS ETF 1C		Global Equities
10%
XDEQ.L
Xtrackers MSCI World Quality Factor UCITS ETF 1C		Global Equities
10%
XDEV.L
Xtrackers MSCI World Value Factor UCITS ETF 1C		Global Equities
10%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in All World + Factors, 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
6.60%
8.95%
All World + Factors
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Oct 17, 2014, corresponding to the inception date of XDEV.L

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		19.55%1.45%8.95%31.70%13.79%11.17%
All World + Factors16.11%1.60%6.60%27.27%9.98%N/A
Portfolio components:
^AW01
FTSE All World		15.03%1.77%7.20%25.96%9.44%6.84%
XDEV.L
Xtrackers MSCI World Value Factor UCITS ETF 1C		9.03%2.15%2.78%16.47%7.73%N/A
XDEQ.L
Xtrackers MSCI World Quality Factor UCITS ETF 1C		18.47%0.51%7.14%32.39%12.94%N/A
XDEM.L
Xtrackers MSCI World Momentum Factor UCITS ETF 1C		28.34%1.01%5.75%42.45%12.37%N/A

Monthly Returns

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

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20241.05%4.34%3.33%-3.29%3.63%2.18%1.32%2.16%16.11%
20236.07%-2.88%2.46%1.61%-1.65%5.67%3.45%-2.47%-3.93%-3.02%8.72%4.94%19.53%
2022-5.25%-2.22%2.31%-7.93%-0.33%-8.52%5.99%-3.58%-9.09%6.12%7.57%-3.28%-18.38%
2021-0.28%2.31%2.81%4.21%1.44%0.83%0.82%2.28%-3.92%4.77%-2.43%3.94%17.70%
2020-1.04%-8.46%-12.94%9.84%4.03%2.95%4.24%6.35%-3.11%-2.88%12.32%4.54%13.64%
20197.49%2.74%1.11%3.02%-5.91%6.18%0.36%-2.66%2.14%2.63%2.52%3.29%24.63%
20185.47%-3.75%-2.61%1.30%-0.12%-0.75%2.74%0.71%0.63%-7.69%0.92%-7.02%-10.47%
20172.34%2.66%1.26%1.34%2.02%0.37%2.64%0.23%1.91%2.47%1.97%1.58%22.87%
2016-6.07%-0.38%7.24%1.17%-0.09%-0.98%4.31%0.30%0.40%-1.56%0.79%2.08%6.85%
2015-1.44%5.48%-1.71%2.70%-0.28%-2.57%0.85%-6.54%-4.25%7.85%-0.68%-1.97%-3.38%
20145.55%1.55%-1.72%5.34%

Expense Ratio

All World + Factors has an expense ratio of 0.08%, 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.

XDEV.L
Xtrackers MSCI World Value Factor UCITS ETF 1C
Expense ratio chart for XDEV.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%
XDEQ.L
Xtrackers MSCI World Quality Factor UCITS ETF 1C
Expense ratio chart for XDEQ.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%
XDEM.L
Xtrackers MSCI World Momentum Factor UCITS ETF 1C
Expense ratio chart for XDEM.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%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current risk-adjusted rank of All World + Factors is 78, placing it in the top 22% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.

The Risk-Adjusted Performance Rank of All World + Factors is 7878
All World + Factors
The Sharpe Ratio Rank of All World + Factors is 9090Sharpe Ratio Rank
The Sortino Ratio Rank of All World + Factors is 8888Sortino Ratio Rank
The Omega Ratio Rank of All World + Factors is 9292Omega Ratio Rank
The Calmar Ratio Rank of All World + Factors is 4646Calmar Ratio Rank
The Martin Ratio Rank of All World + Factors 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.

All World + Factors
Sharpe ratio
The chart of Sharpe ratio for All World + Factors, currently valued at 2.91, compared to the broader market-1.000.001.002.003.004.002.91
Sortino ratio
The chart of Sortino ratio for All World + Factors, currently valued at 3.90, compared to the broader market-2.000.002.004.006.003.90
Omega ratio
The chart of Omega ratio for All World + Factors, currently valued at 1.56, compared to the broader market0.801.001.201.401.601.801.56
Calmar ratio
The chart of Calmar ratio for All World + Factors, currently valued at 1.97, compared to the broader market0.002.004.006.008.0010.001.97
Martin ratio
The chart of Martin ratio for All World + Factors, currently valued at 15.32, compared to the broader market0.0010.0020.0030.0040.0015.32
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.32, compared to the broader market-1.000.001.002.003.004.002.32
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.11, compared to the broader market-2.000.002.004.006.003.11
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.42, compared to the broader market0.801.001.201.401.601.801.42
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 2.09, compared to the broader market0.002.004.006.008.0010.002.09
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 14.29, compared to the broader market0.0010.0020.0030.0040.0014.29
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
^AW01
FTSE All World		2.813.741.531.7515.63
XDEV.L
Xtrackers MSCI World Value Factor UCITS ETF 1C		1.752.461.332.139.57
XDEQ.L
Xtrackers MSCI World Quality Factor UCITS ETF 1C		2.793.941.502.8315.09
XDEM.L
Xtrackers MSCI World Momentum Factor UCITS ETF 1C		2.653.391.482.0113.44

Sharpe Ratio

The current All World + Factors Sharpe ratio is 2.91. 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 1.91 to 2.59, 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 All World + Factors 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
2.91
2.32
All World + Factors
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

All World + Factors granted a 0.00% dividend yield in the last twelve months.

TTM2023202220212020201920182017201620152014
All World + Factors0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.19%
Portfolio components:
^AW01
FTSE All World		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
XDEV.L
Xtrackers MSCI World Value Factor UCITS ETF 1C		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.74%
XDEQ.L
Xtrackers MSCI World Quality Factor UCITS ETF 1C		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.51%
XDEM.L
Xtrackers MSCI World Momentum Factor UCITS ETF 1C		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.63%

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%AprilMayJuneJulyAugustSeptember
-0.32%
-0.19%
All World + Factors
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the All World + Factors. 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 All World + Factors was 33.41%, occurring on Mar 23, 2020. Recovery took 114 trading sessions.

The current All World + Factors drawdown is 0.32%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-33.41%Feb 13, 202028Mar 23, 2020114Aug 28, 2020142
-26.85%Nov 9, 2021241Oct 11, 2022345Feb 7, 2024586
-19.79%May 22, 2015189Feb 11, 2016261Feb 10, 2017450
-19.75%Jan 29, 2018237Dec 25, 2018227Nov 7, 2019464
-8.7%Jul 17, 202414Aug 5, 202420Sep 2, 202434

Volatility

Volatility Chart

The current All World + Factors volatility is 3.57%, 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.

1.00%2.00%3.00%4.00%5.00%6.00%AprilMayJuneJulyAugustSeptember
3.57%
4.31%
All World + Factors
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.
^AW01XDEV.LXDEM.LXDEQ.L
^AW011.000.720.680.73
XDEV.L0.721.000.790.86
XDEM.L0.680.791.000.90
XDEQ.L0.730.860.901.00
The correlation results are calculated based on daily price changes starting from Oct 20, 2014