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BOJ
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


SPXB 10%IGLT.L 7.5%GILS.L 7.5%DBC 5%USD=X 5%^GSPC 20%MIDD.L 15%CUKX.L 15%EWUS 5%ASHR 5%USRT 5%BondBondCommodityCommodityCurrencyCurrencyEquityEquityReal EstateReal Estate
PositionCategory/SectorTarget Weight
^GSPC
S&P 500
20%
ASHR
Xtrackers Harvest CSI 300 China A-Shares Fund
China Equities
5%
CUKX.L
iShares FTSE 100 UCITS ETF
15%
DBC
Invesco DB Commodity Index Tracking Fund
Commodities
5%
EWUS
iShares MSCI United Kingdom Small-Cap ETF
Europe Equities
5%
GILS.L
Lyxor Core UK Government Bond (DR) UCITS ETF - Dist
European Government Bonds
7.50%
IGLT.L
iShares Core UK Gilts UCITS ETF
Government Bonds
7.50%
MIDD.L
iShares FTSE 250 UCITS ETF
Europe Equities
15%
SPXB
ProShares S&P 500 Bond ETF
Corporate Bonds
10%
USD=X
USD Cash
5%
USRT
iShares Core U.S. REIT ETF
REIT
5%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in BOJ, 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 every 3 months.


-5.00%0.00%5.00%10.00%AugustSeptemberOctoberNovemberDecember2025
-2.16%
3.77%
3.77%
BOJ
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is May 3, 2018, corresponding to the inception date of SPXB

Returns By Period


YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500
-0.93%-4.23%3.77%21.90%11.83%11.19%
BOJ-2.15%-4.92%-2.16%8.03%3.11%N/A
EWUS
iShares MSCI United Kingdom Small-Cap ETF
-5.70%-10.54%-12.30%0.97%-2.52%1.85%
MIDD.L
iShares FTSE 250 UCITS ETF
-6.59%-9.86%-11.71%1.33%-0.98%4.38%
^GSPC
S&P 500
-0.93%-4.23%3.77%21.90%11.83%11.19%
ASHR
Xtrackers Harvest CSI 300 China A-Shares Fund
-5.67%-8.18%5.60%11.23%-2.45%-0.08%
IGLT.L
iShares Core UK Gilts UCITS ETF
-4.16%-7.35%-9.05%-6.75%-6.30%-0.94%
GILS.L
Lyxor Core UK Government Bond (DR) UCITS ETF - Dist
-4.21%-7.53%-11.48%-9.29%-8.24%-3.02%
SPXB
ProShares S&P 500 Bond ETF
0.00%0.00%0.00%-3.10%-1.13%N/A
USRT
iShares Core U.S. REIT ETF
-3.79%-7.27%0.96%5.76%3.40%4.79%
DBC
Invesco DB Commodity Index Tracking Fund
3.65%3.98%0.23%6.20%8.87%3.93%
USD=X
USD Cash
0.00%0.00%0.00%0.00%0.00%0.00%
CUKX.L
iShares FTSE 100 UCITS ETF
-1.57%-4.81%-4.86%7.44%3.71%6.20%
*Annualized

Monthly Returns

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


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-0.87%1.32%3.11%-1.99%3.68%0.37%2.99%1.58%2.07%-3.02%2.42%-2.61%9.12%
20235.90%-2.95%1.45%2.03%-3.09%3.15%3.48%-2.46%-3.61%-3.12%7.02%4.68%12.29%
2022-3.99%-1.83%0.30%-5.72%-0.08%-6.76%4.72%-5.90%-9.38%4.80%7.80%-3.03%-18.79%
2021-0.63%1.81%1.37%3.93%2.35%-0.58%1.66%1.49%-3.75%4.04%-2.38%3.90%13.68%
2020-1.48%-5.88%-12.86%7.02%1.71%1.79%4.54%3.32%-3.24%-1.36%9.31%4.41%5.35%
20196.65%2.75%1.12%1.92%-4.31%3.70%-0.96%-0.54%2.20%2.91%1.48%3.57%22.02%
20181.05%-0.87%0.72%-0.70%0.12%-5.48%-0.75%-3.89%-9.56%

Expense Ratio

BOJ has an expense ratio of 0.20%, 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.


Expense ratio chart for EWUS: current value at 0.59% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.59%
Expense ratio chart for MIDD.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%
Expense ratio chart for DBC: current value at 0.85% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.85%
Expense ratio chart for ASHR: current value at 0.65% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.65%
Expense ratio chart for SPXB: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%
Expense ratio chart for USRT: current value at 0.08% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.08%
Expense ratio chart for IGLT.L: 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%
Expense ratio chart for CUKX.L: 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%
Expense ratio chart for GILS.L: current value at 0.05% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.05%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of BOJ is 18, meaning it’s performing worse than 82% of other portfolios on our website when it comes to balancing risk and reward. Below is a breakdown of how it compares using common performance measures.


The Risk-Adjusted Performance Rank of BOJ is 1818
Overall Rank
The Sharpe Ratio Rank of BOJ is 1818
Sharpe Ratio Rank
The Sortino Ratio Rank of BOJ is 1717
Sortino Ratio Rank
The Omega Ratio Rank of BOJ is 1818
Omega Ratio Rank
The Calmar Ratio Rank of BOJ is 1313
Calmar Ratio Rank
The Martin Ratio Rank of BOJ is 2525
Martin 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.


Sharpe ratio
The chart of Sharpe ratio for BOJ, currently valued at 0.92, compared to the broader market-1.000.001.002.003.004.000.921.56
The chart of Sortino ratio for BOJ, currently valued at 1.29, compared to the broader market-2.000.002.004.001.292.12
The chart of Omega ratio for BOJ, currently valued at 1.17, compared to the broader market0.801.001.201.401.601.171.29
The chart of Calmar ratio for BOJ, currently valued at 0.75, compared to the broader market0.002.004.006.008.0010.000.752.32
The chart of Martin ratio for BOJ, currently valued at 5.03, compared to the broader market0.0010.0020.0030.005.039.65
BOJ
^GSPC

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
EWUS
iShares MSCI United Kingdom Small-Cap ETF
0.090.241.030.050.30
MIDD.L
iShares FTSE 250 UCITS ETF
0.090.221.030.050.30
^GSPC
S&P 500
1.562.121.292.329.65
ASHR
Xtrackers Harvest CSI 300 China A-Shares Fund
0.290.641.100.180.71
IGLT.L
iShares Core UK Gilts UCITS ETF
-0.55-0.690.92-0.15-1.17
GILS.L
Lyxor Core UK Government Bond (DR) UCITS ETF - Dist
-0.79-1.000.88-0.19-1.55
SPXB
ProShares S&P 500 Bond ETF
-0.56-0.670.83-0.13-0.55
USRT
iShares Core U.S. REIT ETF
0.550.841.110.402.40
DBC
Invesco DB Commodity Index Tracking Fund
0.320.561.070.160.85
USD=X
USD Cash
CUKX.L
iShares FTSE 100 UCITS ETF
0.751.111.130.972.57

The current BOJ Sharpe ratio is 1.14. 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 1.33 to 2.07, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests that it may not be performing as well in terms of risk-adjusted returns compared to many other portfolios. The lower performance could be due to either lower returns, higher volatility, or a combination of both. This might indicate that the portfolio requires some fine-tuning. You can use the Portfolio Optimization tool to find an allocation that maximizes the Sharpe ratio.

Use the chart below to compare the Sharpe ratio of BOJ 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 Ratio1.001.502.002.503.003.50AugustSeptemberOctoberNovemberDecember2025
0.92
1.56
1.56
BOJ
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

BOJ provided a 1.54% dividend yield over the last twelve months.


TTM20242023202220212020201920182017201620152014
Portfolio1.54%1.50%1.73%1.19%0.90%0.86%1.28%1.40%0.86%0.94%2.40%0.89%
EWUS
iShares MSCI United Kingdom Small-Cap ETF
3.89%3.67%2.88%2.03%3.54%1.97%2.59%3.52%2.61%3.18%2.85%3.33%
MIDD.L
iShares FTSE 250 UCITS ETF
3.18%3.05%3.17%2.76%2.01%1.51%2.72%3.07%2.80%2.67%2.80%2.54%
^GSPC
S&P 500
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
ASHR
Xtrackers Harvest CSI 300 China A-Shares Fund
1.20%1.13%2.48%1.13%0.88%0.81%0.98%1.32%0.84%0.73%30.13%0.27%
IGLT.L
iShares Core UK Gilts UCITS ETF
3.76%3.69%2.40%1.32%0.79%0.95%1.25%1.31%1.30%1.88%2.05%2.04%
GILS.L
Lyxor Core UK Government Bond (DR) UCITS ETF - Dist
0.00%0.00%0.00%0.02%0.02%0.02%0.03%0.03%0.03%0.03%0.00%0.00%
SPXB
ProShares S&P 500 Bond ETF
1.22%1.22%4.05%3.14%2.00%2.64%3.48%2.52%0.00%0.00%0.00%0.00%
USRT
iShares Core U.S. REIT ETF
2.96%2.85%3.18%3.47%2.27%3.12%3.34%5.66%3.43%3.98%3.59%3.46%
DBC
Invesco DB Commodity Index Tracking Fund
5.04%5.22%4.94%0.59%0.00%0.00%1.59%1.30%0.00%0.00%0.00%0.00%
USD=X
USD Cash
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
CUKX.L
iShares FTSE 100 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%

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%AugustSeptemberOctoberNovemberDecember2025
-5.35%
-4.32%
-4.32%
BOJ
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the BOJ. 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 BOJ was 29.04%, occurring on Mar 23, 2020. Recovery took 170 trading sessions.

The current BOJ drawdown is 4.12%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-29.04%Jan 20, 202046Mar 23, 2020170Nov 16, 2020216
-27.32%Jan 5, 2022190Sep 27, 2022498Aug 23, 2024688
-13.33%Jun 12, 2018140Dec 24, 201894May 3, 2019234
-5.35%Oct 1, 202474Jan 10, 2025
-4.92%Jul 5, 201929Aug 14, 201922Sep 13, 201951

Volatility

Volatility Chart

The current BOJ volatility is 2.89%, 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%AugustSeptemberOctoberNovemberDecember2025
2.89%
4.54%
4.54%
BOJ
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.

USD=XDBCSPXBASHRUSRTGILS.LIGLT.L^GSPCCUKX.LMIDD.LEWUS
USD=X0.000.000.000.000.000.000.000.000.000.000.00
DBC0.001.000.020.290.150.090.090.290.360.270.27
SPXB0.000.021.000.060.250.430.440.190.110.150.19
ASHR0.000.290.061.000.220.150.170.420.390.350.38
USRT0.000.150.250.221.000.270.270.610.360.370.49
GILS.L0.000.090.430.150.271.000.960.180.290.360.36
IGLT.L0.000.090.440.170.270.961.000.200.320.370.37
^GSPC0.000.290.190.420.610.180.201.000.490.480.63
CUKX.L0.000.360.110.390.360.290.320.491.000.820.71
MIDD.L0.000.270.150.350.370.360.370.480.821.000.84
EWUS0.000.270.190.380.490.360.370.630.710.841.00
The correlation results are calculated based on daily price changes starting from May 4, 2018
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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