BOJ
Asset Allocation
Position | Category/Sector | 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 Quarterly
The earliest data available for this chart is May 3, 2018, corresponding to the inception date of SPXB
Returns By Period
Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
---|---|---|---|---|---|---|
^GSPC S&P 500 | 17.76% | 2.89% | 10.80% | 27.49% | 14.28% | 10.89% |
BOJ | 8.92% | 2.22% | 9.37% | 16.15% | 5.57% | N/A |
Portfolio components: | ||||||
EWUS iShares MSCI United Kingdom Small-Cap ETF | 13.78% | 1.56% | 17.30% | 24.76% | 4.42% | 2.59% |
MIDD.L iShares FTSE 250 UCITS ETF | 13.06% | 1.54% | 16.18% | 25.52% | 5.50% | 5.27% |
^GSPC S&P 500 | 17.76% | 2.89% | 10.61% | 26.70% | 13.46% | 10.89% |
ASHR Xtrackers Harvest CSI 300 China A-Shares Fund | -1.92% | -0.55% | -2.33% | -8.41% | -1.67% | 3.15% |
IGLT.L iShares Core UK Gilts UCITS ETF | 3.05% | 3.72% | 7.78% | 12.46% | -3.34% | 0.31% |
GILS.L Lyxor Core UK Government Bond (DR) UCITS ETF - Dist | 3.08% | 3.73% | 7.68% | 10.00% | -5.07% | -1.48% |
SPXB ProShares S&P 500 Bond ETF | -3.45% | 0.00% | -1.23% | 3.00% | -0.88% | N/A |
USRT iShares Core U.S. REIT ETF | 11.69% | 6.01% | 15.83% | 22.08% | 5.11% | 6.64% |
DBC Invesco DB Commodity Index Tracking Fund | 2.04% | 1.12% | 1.72% | -3.18% | 9.53% | -0.24% |
USD=X USD Cash | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
CUKX.L iShares FTSE 100 UCITS ETF | 13.77% | 2.88% | 14.82% | 22.17% | 7.92% | 5.89% |
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.
Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2024 | -1.33% | 0.75% | 3.01% | -1.42% | 3.19% | -0.17% | 3.40% | 8.92% | |||||
2023 | 5.92% | -3.04% | 1.43% | 2.12% | -3.43% | 2.69% | 3.45% | -2.58% | -3.58% | -3.21% | 7.05% | 4.95% | 11.47% |
2022 | -3.73% | -1.65% | -0.15% | -5.61% | -0.14% | -6.58% | 4.56% | -6.47% | -9.53% | 4.77% | 8.57% | -2.72% | -18.50% |
2021 | -0.58% | 2.00% | 1.34% | 3.84% | 2.49% | -0.79% | 1.64% | 1.33% | -3.65% | 3.78% | -2.54% | 3.74% | 12.99% |
2020 | -1.61% | -5.77% | -12.61% | 7.14% | 1.83% | 1.81% | 4.46% | 3.53% | -3.44% | -1.43% | 9.89% | 4.81% | 6.70% |
2019 | 6.83% | 2.94% | 1.02% | 1.96% | -4.43% | 3.67% | -1.10% | -0.63% | 2.27% | 3.05% | 1.52% | 3.81% | 22.49% |
2018 | 1.05% | -0.85% | 0.68% | -0.79% | 0.14% | -5.48% | -0.83% | -3.72% | -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.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of BOJ is 28, 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.
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 | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
---|---|---|---|---|---|
EWUS iShares MSCI United Kingdom Small-Cap ETF | 1.30 | 1.85 | 1.25 | 0.64 | 5.56 |
MIDD.L iShares FTSE 250 UCITS ETF | 1.49 | 2.27 | 1.28 | 0.69 | 6.37 |
^GSPC S&P 500 | 2.13 | 2.90 | 1.39 | 1.85 | 10.00 |
ASHR Xtrackers Harvest CSI 300 China A-Shares Fund | -0.44 | -0.56 | 0.94 | -0.14 | -0.99 |
IGLT.L iShares Core UK Gilts UCITS ETF | 1.20 | 1.74 | 1.22 | 0.34 | 3.45 |
GILS.L Lyxor Core UK Government Bond (DR) UCITS ETF - Dist | 0.99 | 1.45 | 1.18 | 0.26 | 2.83 |
SPXB ProShares S&P 500 Bond ETF | 0.53 | 0.81 | 1.12 | 0.16 | 1.12 |
USRT iShares Core U.S. REIT ETF | 1.18 | 1.76 | 1.22 | 0.71 | 4.47 |
DBC Invesco DB Commodity Index Tracking Fund | -0.42 | -0.50 | 0.94 | -0.22 | -0.83 |
USD=X USD Cash | — | — | — | — | — |
CUKX.L iShares FTSE 100 UCITS ETF | 1.71 | 2.53 | 1.31 | 2.13 | 8.67 |
Dividends
Dividend yield
BOJ granted a 1.63% dividend yield in the last twelve months.
TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|
BOJ | 1.63% | 1.73% | 1.19% | 0.90% | 0.86% | 1.28% | 1.40% | 0.86% | 0.94% | 2.40% | 0.89% | 0.73% |
Portfolio components: | ||||||||||||
EWUS iShares MSCI United Kingdom Small-Cap ETF | 2.72% | 2.88% | 2.03% | 3.54% | 1.97% | 2.59% | 3.53% | 2.61% | 3.18% | 2.85% | 3.33% | 0.80% |
MIDD.L iShares FTSE 250 UCITS ETF | 2.96% | 3.17% | 2.76% | 2.01% | 1.51% | 2.72% | 3.07% | 2.80% | 2.67% | 2.80% | 2.54% | 2.25% |
^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 | 2.53% | 2.48% | 1.13% | 0.88% | 0.81% | 0.98% | 1.32% | 0.84% | 0.73% | 30.13% | 0.27% | 0.00% |
IGLT.L iShares Core UK Gilts UCITS ETF | 2.93% | 2.40% | 1.32% | 0.79% | 0.95% | 1.25% | 1.31% | 1.30% | 1.88% | 2.05% | 2.04% | 2.14% |
GILS.L Lyxor Core UK Government Bond (DR) UCITS ETF - Dist | 0.00% | 0.00% | 0.02% | 0.02% | 0.02% | 0.03% | 0.03% | 0.03% | 0.03% | 0.00% | 0.00% | 0.00% |
SPXB ProShares S&P 500 Bond ETF | 3.16% | 4.05% | 3.14% | 2.00% | 2.64% | 3.48% | 2.52% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
USRT iShares Core U.S. REIT ETF | 2.86% | 3.18% | 3.46% | 2.27% | 3.12% | 3.34% | 5.66% | 3.44% | 3.98% | 3.59% | 3.46% | 3.84% |
DBC Invesco DB Commodity Index Tracking Fund | 4.84% | 4.94% | 0.59% | 0.00% | 0.00% | 1.59% | 1.30% | 0.00% | 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.
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 28.69%, occurring on Mar 23, 2020. Recovery took 167 trading sessions.
The current BOJ drawdown is 1.44%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
---|---|---|---|---|---|---|
-28.69% | Jan 20, 2020 | 46 | Mar 23, 2020 | 167 | Nov 11, 2020 | 213 |
-28.33% | Jan 5, 2022 | 190 | Sep 27, 2022 | — | — | — |
-13.23% | Jun 12, 2018 | 140 | Dec 24, 2018 | 79 | Apr 12, 2019 | 219 |
-5.19% | May 6, 2019 | 73 | Aug 14, 2019 | 25 | Sep 18, 2019 | 98 |
-4.48% | Sep 7, 2021 | 22 | Oct 6, 2021 | 60 | Dec 29, 2021 | 82 |
Volatility
Volatility Chart
The current BOJ volatility is 3.20%, 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.
Diversification
Asset Correlations Table
USD=X | DBC | SPXB | ASHR | USRT | GILS.L | IGLT.L | ^GSPC | CUKX.L | MIDD.L | EWUS | |
---|---|---|---|---|---|---|---|---|---|---|---|
USD=X | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 |
DBC | 0.00 | 1.00 | 0.02 | 0.28 | 0.16 | 0.10 | 0.10 | 0.31 | 0.36 | 0.28 | 0.29 |
SPXB | 0.00 | 0.02 | 1.00 | 0.07 | 0.26 | 0.45 | 0.45 | 0.20 | 0.11 | 0.15 | 0.20 |
ASHR | 0.00 | 0.28 | 0.07 | 1.00 | 0.23 | 0.15 | 0.16 | 0.43 | 0.39 | 0.35 | 0.39 |
USRT | 0.00 | 0.16 | 0.26 | 0.23 | 1.00 | 0.25 | 0.25 | 0.62 | 0.35 | 0.36 | 0.49 |
GILS.L | 0.00 | 0.10 | 0.45 | 0.15 | 0.25 | 1.00 | 0.97 | 0.17 | 0.28 | 0.34 | 0.33 |
IGLT.L | 0.00 | 0.10 | 0.45 | 0.16 | 0.25 | 0.97 | 1.00 | 0.19 | 0.30 | 0.35 | 0.34 |
^GSPC | 0.00 | 0.31 | 0.20 | 0.43 | 0.62 | 0.17 | 0.19 | 1.00 | 0.49 | 0.48 | 0.63 |
CUKX.L | 0.00 | 0.36 | 0.11 | 0.39 | 0.35 | 0.28 | 0.30 | 0.49 | 1.00 | 0.82 | 0.69 |
MIDD.L | 0.00 | 0.28 | 0.15 | 0.35 | 0.36 | 0.34 | 0.35 | 0.48 | 0.82 | 1.00 | 0.83 |
EWUS | 0.00 | 0.29 | 0.20 | 0.39 | 0.49 | 0.33 | 0.34 | 0.63 | 0.69 | 0.83 | 1.00 |