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World + Factors
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World + Factors

Last updated Sep 21, 2024

Asset Allocation

VWRP.L 70%XDEV.L 10%XDEQ.L 10%XDEM.L 10%EquityEquity
PositionCategory/SectorWeight
VWRP.L
Vanguard FTSE All-World UCITS ETF (USD) Accumulating		Global Equities
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 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
7.04%
8.95%
World + Factors
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jul 25, 2019, corresponding to the inception date of VWRP.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%
World + Factors17.11%1.54%7.04%28.39%11.64%N/A
Portfolio components:
XDEV.L
Xtrackers MSCI World Value Factor UCITS ETF 1C		9.03%2.15%2.78%16.47%8.00%N/A
XDEQ.L
Xtrackers MSCI World Quality Factor UCITS ETF 1C		18.47%0.51%7.14%32.39%13.40%N/A
XDEM.L
Xtrackers MSCI World Momentum Factor UCITS ETF 1C		28.34%1.01%5.75%42.45%12.82%N/A
VWRP.L
Vanguard FTSE All-World UCITS ETF (USD) Accumulating		16.45%1.67%7.81%27.55%11.62%N/A

Monthly Returns

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

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20241.22%3.91%3.72%-2.55%2.60%3.30%1.14%1.55%17.11%
20235.60%-2.94%2.67%1.95%-1.27%5.72%3.41%-2.03%-3.85%-3.24%8.51%5.45%20.78%
2022-5.76%-1.75%2.80%-7.31%-1.30%-8.14%5.49%-3.03%-7.91%4.81%7.01%-2.29%-17.41%
2021-0.03%2.26%3.01%4.11%1.77%0.79%0.94%2.20%-3.51%4.41%-1.79%3.85%19.19%
2020-1.23%-8.86%-11.47%8.84%3.78%3.42%3.90%7.21%-2.85%-3.07%12.05%4.91%14.80%
2019-0.70%-2.93%2.66%2.50%2.96%3.39%7.96%

Expense Ratio

World + Factors has an expense ratio of 0.23%, 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%
VWRP.L
Vanguard FTSE All-World UCITS ETF (USD) Accumulating
Expense ratio chart for VWRP.L: current value at 0.22% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.22%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of World + Factors is 56, 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 World + Factors is 5656
World + Factors
The Sharpe Ratio Rank of World + Factors is 5757Sharpe Ratio Rank
The Sortino Ratio Rank of World + Factors is 6565Sortino Ratio Rank
The Omega Ratio Rank of World + Factors is 5959Omega Ratio Rank
The Calmar Ratio Rank of World + Factors is 4949Calmar Ratio Rank
The Martin Ratio Rank of World + Factors is 5151Martin 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.

World + Factors
Sharpe ratio
The chart of Sharpe ratio for World + Factors, currently valued at 2.27, compared to the broader market-1.000.001.002.003.004.002.27
Sortino ratio
The chart of Sortino ratio for World + Factors, currently valued at 3.22, compared to the broader market-2.000.002.004.006.003.22
Omega ratio
The chart of Omega ratio for World + Factors, currently valued at 1.41, compared to the broader market0.801.001.201.401.601.801.41
Calmar ratio
The chart of Calmar ratio for World + Factors, currently valued at 2.07, compared to the broader market0.002.004.006.008.0010.002.07
Martin ratio
The chart of Martin ratio for World + Factors, currently valued at 12.85, compared to the broader market0.0010.0020.0030.0040.0012.85
^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
XDEV.L
Xtrackers MSCI World Value Factor UCITS ETF 1C		1.261.801.231.566.78
XDEQ.L
Xtrackers MSCI World Quality Factor UCITS ETF 1C		2.513.561.442.5913.91
XDEM.L
Xtrackers MSCI World Momentum Factor UCITS ETF 1C		2.393.101.431.8212.27
VWRP.L
Vanguard FTSE All-World UCITS ETF (USD) Accumulating		2.273.251.411.9813.06

Sharpe Ratio

The current World + Factors Sharpe ratio is 2.27. 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 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 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 Ratio1.001.502.002.503.00AprilMayJuneJulyAugustSeptember
2.27
2.32
World + Factors
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

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

TTM2023202220212020201920182017201620152014
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:
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%
VWRP.L
Vanguard FTSE All-World UCITS ETF (USD) Accumulating		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
-0.40%
-0.19%
World + Factors
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the 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 World + Factors was 32.97%, occurring on Mar 23, 2020. Recovery took 108 trading sessions.

The current World + Factors drawdown is 0.40%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-32.97%Feb 18, 202025Mar 23, 2020108Aug 26, 2020133
-26.67%Jan 6, 2022192Oct 11, 2022322Jan 22, 2024514
-8.38%Jul 17, 202414Aug 5, 202419Sep 2, 202433
-6.94%Sep 3, 202042Oct 30, 20204Nov 5, 202046
-6.33%Jul 29, 201914Aug 15, 201920Sep 13, 201934

Volatility

Volatility Chart

The current World + Factors volatility is 4.33%, 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%AprilMayJuneJulyAugustSeptember
4.33%
4.31%
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.
XDEV.LXDEM.LXDEQ.LVWRP.L
XDEV.L1.000.720.820.88
XDEM.L0.721.000.880.87
XDEQ.L0.820.881.000.96
VWRP.L0.880.870.961.00
The correlation results are calculated based on daily price changes starting from Jul 26, 2019