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ETF Portfolio
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


IGHY.L 33.33%MXWO.L 33.33%EMXC.DE 33.33%BondBondEquityEquity
PositionCategory/SectorTarget Weight
EMXC.DE
Lyxor MSCI Emerging Markets Ex China UCITS ETF - Acc
Emerging Markets Equities
33.33%
IGHY.L
iShares Global High Yield Corporate Bond UCITS ETF
High Yield Bonds
33.33%
MXWO.L
Invesco MSCI World UCITS ETF
Global Equities
33.33%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in ETF Portfolio, 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.


40.00%50.00%60.00%70.00%80.00%90.00%100.00%110.00%OctoberNovemberDecember2025FebruaryMarch
41.88%
87.59%
ETF Portfolio
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jul 10, 2019, corresponding to the inception date of EMXC.DE

Returns By Period


YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500
-2.43%-4.96%4.27%12.42%14.11%10.71%
ETF Portfolio-0.29%-2.42%-0.03%4.75%9.36%N/A
MXWO.L
Invesco MSCI World UCITS ETF
-1.63%-4.34%4.26%9.78%14.63%10.00%
IGHY.L
iShares Global High Yield Corporate Bond UCITS ETF
3.55%2.37%1.58%6.16%4.31%5.18%
EMXC.DE
Lyxor MSCI Emerging Markets Ex China UCITS ETF - Acc
-1.73%-3.83%-7.01%-2.97%8.16%N/A
*Annualized

Monthly Returns

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


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20252.66%-2.27%-0.29%
2024-0.50%2.23%2.68%-2.12%1.79%3.27%1.71%1.78%1.57%-2.35%1.36%-2.28%9.27%
20235.24%-3.29%2.59%1.33%-0.59%4.62%2.95%-2.68%-2.95%-2.82%8.31%5.58%18.92%
2022-3.57%-2.07%0.89%-6.39%-0.56%-9.44%5.89%-2.71%-7.52%4.12%6.73%-1.86%-16.55%
2021-0.48%1.13%1.82%2.88%2.15%0.31%0.37%1.81%-2.78%1.84%-2.14%3.43%10.63%
2020-2.50%-6.84%-13.38%7.60%2.84%3.96%5.63%3.18%-1.70%-1.52%10.55%6.28%12.20%
2019-1.19%-2.51%1.96%2.36%0.92%4.17%5.70%

Expense Ratio

ETF Portfolio features an expense ratio of 0.28%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


Expense ratio chart for IGHY.L: current value at 0.50% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.50%
Expense ratio chart for MXWO.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%
Expense ratio chart for EMXC.DE: 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%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of ETF Portfolio is 17, meaning it’s performing worse than 83% 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 ETF Portfolio is 1717
Overall Rank
The Sharpe Ratio Rank of ETF Portfolio is 1717
Sharpe Ratio Rank
The Sortino Ratio Rank of ETF Portfolio is 1616
Sortino Ratio Rank
The Omega Ratio Rank of ETF Portfolio is 1414
Omega Ratio Rank
The Calmar Ratio Rank of ETF Portfolio is 2323
Calmar Ratio Rank
The Martin Ratio Rank of ETF Portfolio is 1616
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 ETF Portfolio, currently valued at 0.52, compared to the broader market-6.00-4.00-2.000.002.000.520.89
The chart of Sortino ratio for ETF Portfolio, currently valued at 0.79, compared to the broader market-6.00-4.00-2.000.002.004.000.791.26
The chart of Omega ratio for ETF Portfolio, currently valued at 1.09, compared to the broader market0.400.600.801.001.201.401.601.091.17
The chart of Calmar ratio for ETF Portfolio, currently valued at 0.83, compared to the broader market0.002.004.006.008.000.831.40
The chart of Martin ratio for ETF Portfolio, currently valued at 2.26, compared to the broader market0.005.0010.0015.0020.0025.002.265.27
ETF Portfolio
^GSPC

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
MXWO.L
Invesco MSCI World UCITS ETF
0.811.151.151.314.64
IGHY.L
iShares Global High Yield Corporate Bond UCITS ETF
1.121.711.201.193.57
EMXC.DE
Lyxor MSCI Emerging Markets Ex China UCITS ETF - Acc
-0.15-0.110.99-0.17-0.38

The current ETF Portfolio Sharpe ratio is 0.53. 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 0.71 to 1.36, 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 ETF Portfolio 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 Ratio0.001.002.003.004.00OctoberNovemberDecember2025FebruaryMarch
0.52
0.74
ETF Portfolio
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

ETF Portfolio provided a 1.81% dividend yield over the last twelve months.


TTM20242023202220212020201920182017201620152014
Portfolio1.81%1.82%1.62%1.31%1.28%1.58%1.64%1.57%1.66%1.52%1.71%1.61%
MXWO.L
Invesco MSCI World 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%
IGHY.L
iShares Global High Yield Corporate Bond UCITS ETF
5.42%5.45%4.87%3.93%3.83%4.75%4.93%4.70%4.98%4.56%5.12%4.82%
EMXC.DE
Lyxor MSCI Emerging Markets Ex China UCITS ETF - Acc
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%OctoberNovemberDecember2025FebruaryMarch
-4.64%
-8.62%
ETF Portfolio
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the ETF Portfolio. 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 ETF Portfolio was 32.27%, occurring on Mar 23, 2020. Recovery took 161 trading sessions.

The current ETF Portfolio drawdown is 4.14%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-32.27%Jan 21, 202045Mar 23, 2020161Nov 5, 2020206
-24.99%Sep 7, 2021284Oct 11, 2022350Feb 22, 2024634
-6.28%Jul 15, 202416Aug 5, 202411Aug 20, 202427
-5.83%Sep 27, 202474Jan 13, 2025
-5.71%Jul 16, 201923Aug 15, 201949Oct 23, 201972

Volatility

Volatility Chart

The current ETF Portfolio volatility is 3.48%, 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%OctoberNovemberDecember2025FebruaryMarch
3.48%
5.14%
ETF Portfolio
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.

IGHY.LMXWO.LEMXC.DE
IGHY.L1.000.530.57
MXWO.L0.531.000.70
EMXC.DE0.570.701.00
The correlation results are calculated based on daily price changes starting from Jul 11, 2019
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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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