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RetX1
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

RetX1

Last updated Sep 21, 2024

Asset Allocation

RUSG.L 60%ARCC 20%GGRP.L 10%MSTR 10%EquityEquity
PositionCategory/SectorWeight
ARCC
Ares Capital Corporation		Financial Services
20%
GGRP.L
WisdomTree Global Quality Dividend Growth UCITS ETF - USD		Global Equities, Dividend
10%
MSTR
MicroStrategy Incorporated		Technology
10%
RUSG.L
Lyxor Russell 1000 Growth UCITS ETF		Large Cap Growth Equities
60%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in RetX1, 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
11.90%
8.95%
RetX1
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Nov 8, 2016, corresponding to the inception date of GGRP.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%
RetX135.58%1.00%11.90%63.14%25.00%N/A
Portfolio components:
RUSG.L
Lyxor Russell 1000 Growth UCITS ETF		24.09%0.00%11.69%40.81%18.82%N/A
ARCC
Ares Capital Corporation		10.32%0.91%7.99%17.77%11.78%12.68%
GGRP.L
WisdomTree Global Quality Dividend Growth UCITS ETF - USD		13.35%1.04%7.08%24.48%11.93%N/A
MSTR
MicroStrategy Incorporated		129.22%8.20%-4.94%348.50%55.76%27.15%

Monthly Returns

The table below presents the monthly returns of RetX1, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-0.06%11.43%13.39%-5.65%5.90%4.36%3.60%-1.44%35.58%
202313.97%0.56%4.58%2.22%2.22%6.22%6.09%-2.77%-3.95%0.50%10.49%8.37%58.59%
2022-9.37%-0.57%3.73%-10.68%-6.31%-9.43%15.55%-4.36%-8.82%8.26%-1.86%-5.77%-28.52%
20216.31%4.15%0.38%4.62%-2.95%7.17%1.94%3.34%-4.16%8.13%-0.11%0.68%32.78%
20202.44%-6.44%-15.29%12.58%6.94%2.54%5.03%9.51%-2.26%-1.60%21.66%6.69%43.91%
20196.91%4.91%2.21%4.22%-5.30%6.06%2.46%-0.99%0.97%1.97%3.34%1.96%32.08%
20184.88%-2.33%-2.15%1.17%3.64%0.53%2.64%5.25%0.02%-6.99%-0.17%-6.79%-1.20%
20172.16%3.80%0.66%1.87%0.28%0.55%-1.19%0.35%1.88%2.67%2.40%0.92%17.53%
20162.80%2.39%5.26%

Expense Ratio

RetX1 has an expense ratio of 0.15%, 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.

RUSG.L
Lyxor Russell 1000 Growth UCITS ETF
Expense ratio chart for RUSG.L: current value at 0.19% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.19%
GGRP.L
WisdomTree Global Quality Dividend Growth UCITS ETF - USD
Expense ratio chart for GGRP.L: current value at 0.38% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.38%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current risk-adjusted rank of RetX1 is 97, placing it in the top 3% 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 RetX1 is 9797
RetX1
The Sharpe Ratio Rank of RetX1 is 9797Sharpe Ratio Rank
The Sortino Ratio Rank of RetX1 is 9797Sortino Ratio Rank
The Omega Ratio Rank of RetX1 is 9797Omega Ratio Rank
The Calmar Ratio Rank of RetX1 is 9696Calmar Ratio Rank
The Martin Ratio Rank of RetX1 is 9797Martin 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.

RetX1
Sharpe ratio
The chart of Sharpe ratio for RetX1, currently valued at 3.89, compared to the broader market-1.000.001.002.003.004.003.89
Sortino ratio
The chart of Sortino ratio for RetX1, currently valued at 5.18, compared to the broader market-2.000.002.004.006.005.19
Omega ratio
The chart of Omega ratio for RetX1, currently valued at 1.71, compared to the broader market0.801.001.201.401.601.801.71
Calmar ratio
The chart of Calmar ratio for RetX1, currently valued at 5.75, compared to the broader market0.002.004.006.008.0010.005.75
Martin ratio
The chart of Martin ratio for RetX1, currently valued at 27.88, compared to the broader market0.0010.0020.0030.0040.0027.88
^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
RUSG.L
Lyxor Russell 1000 Growth UCITS ETF		3.354.681.742.6724.94
ARCC
Ares Capital Corporation		1.251.811.242.198.62
GGRP.L
WisdomTree Global Quality Dividend Growth UCITS ETF - USD		2.493.661.452.1013.08
MSTR
MicroStrategy Incorporated		3.513.421.424.5016.15

Sharpe Ratio

The current RetX1 Sharpe ratio is 3.89. 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 RetX1 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 Ratio1.502.002.503.003.504.00AprilMayJuneJulyAugustSeptember
3.89
2.32
RetX1
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

RetX1 granted a 2.00% dividend yield in the last twelve months.

TTM20232022202120202019201820172016201520142013
RetX12.00%2.10%2.26%1.68%2.03%1.98%2.17%2.06%1.82%2.18%1.99%1.73%
Portfolio components:
RUSG.L
Lyxor Russell 1000 Growth 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%
ARCC
Ares Capital Corporation		9.32%9.59%10.10%7.60%9.41%8.94%9.78%9.57%9.12%10.90%9.93%8.67%
GGRP.L
WisdomTree Global Quality Dividend Growth UCITS ETF - USD		1.41%1.86%2.42%1.60%1.47%1.88%2.13%1.42%0.00%0.00%0.00%0.00%
MSTR
MicroStrategy Incorporated		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

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
-1.82%
-0.19%
RetX1
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the RetX1. 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 RetX1 was 43.67%, occurring on Mar 18, 2020. Recovery took 96 trading sessions.

The current RetX1 drawdown is 1.82%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-43.67%Feb 20, 202020Mar 18, 202096Aug 3, 2020116
-33.74%Nov 9, 2021157Jun 16, 2022365Nov 15, 2023522
-18.7%Sep 24, 201866Dec 24, 201868Apr 1, 2019134
-17.51%Feb 10, 202118Mar 5, 2021125Aug 31, 2021143
-8%Jan 29, 201810Feb 9, 201879Jun 4, 201889

Volatility

Volatility Chart

The current RetX1 volatility is 2.73%, 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%AprilMayJuneJulyAugustSeptember
2.73%
4.31%
RetX1
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.
MSTRARCCRUSG.LGGRP.L
MSTR1.000.300.320.32
ARCC0.301.000.310.36
RUSG.L0.320.311.000.74
GGRP.L0.320.360.741.00
The correlation results are calculated based on daily price changes starting from Nov 9, 2016