ETF Portfolio
Asset Allocation
| Position | Category/Sector | 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 Quarterly
The earliest data available for this chart is Jul 10, 2019, corresponding to the inception date of EMXC.DE
Returns By Period
| Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 20.57% | 4.18% | 10.51% | 35.06% | 14.29% | 11.53% |
| ETF Portfolio | 11.04% | 1.68% | 7.04% | 24.67% | 8.07% | N/A |
| Portfolio components: | ||||||
MXWO.L Invesco MSCI World UCITS ETF | 17.22% | 3.55% | 9.28% | 32.12% | 12.91% | 10.26% |
IGHY.L iShares Global High Yield Corporate Bond UCITS ETF | 5.17% | 0.56% | 5.81% | 16.04% | 3.20% | 5.24% |
EMXC.DE Lyxor MSCI Emerging Markets Ex China UCITS ETF - Acc | 10.79% | 0.96% | 6.00% | 26.03% | 7.59% | N/A |
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.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | -0.70% | 2.05% | 2.51% | -1.98% | 1.70% | 3.05% | 1.79% | 1.81% | 1.50% | 11.04% | |||
| 2023 | 5.11% | -3.40% | 2.59% | 1.30% | -0.58% | 4.42% | 2.85% | -2.65% | -2.82% | -2.68% | 8.15% | 5.52% | 18.39% |
| 2022 | -3.33% | -2.08% | 0.61% | -6.28% | -0.38% | -9.43% | 5.80% | -2.74% | -7.36% | 3.99% | 6.88% | -1.78% | -16.21% |
| 2021 | -0.49% | 1.08% | 1.74% | 2.80% | 2.12% | 0.26% | 0.34% | 1.70% | -2.71% | 1.66% | -2.15% | 3.33% | 9.90% |
| 2020 | -2.50% | -6.78% | -13.28% | 7.71% | 2.77% | 4.16% | 5.70% | 3.04% | -1.62% | -1.46% | 10.61% | 6.50% | 13.03% |
| 2019 | -1.19% | -2.51% | 1.96% | 2.38% | 0.89% | 4.23% | 5.74% |
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.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of ETF Portfolio is 33, 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 | |
|---|---|---|---|---|---|
MXWO.L Invesco MSCI World UCITS ETF | 2.50 | 3.55 | 1.46 | 2.32 | 15.38 |
IGHY.L iShares Global High Yield Corporate Bond UCITS ETF | 2.34 | 3.68 | 1.46 | 1.23 | 14.56 |
EMXC.DE Lyxor MSCI Emerging Markets Ex China UCITS ETF - Acc | 1.15 | 1.68 | 1.28 | 1.15 | 9.17 |
Dividends
Dividend yield
ETF Portfolio granted a 1.85% dividend yield in the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| ETF Portfolio | 1.85% | 1.62% | 1.31% | 1.28% | 1.58% | 1.64% | 1.57% | 1.66% | 1.52% | 1.71% | 1.61% | 1.44% |
| Portfolio components: | ||||||||||||
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 | 5.56% | 4.87% | 3.93% | 3.83% | 4.75% | 4.93% | 4.70% | 4.98% | 4.56% | 5.12% | 4.82% | 4.31% |
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.
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 32.18%, occurring on Mar 23, 2020. Recovery took 161 trading sessions.
The current ETF Portfolio drawdown is 4.23%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -32.18% | Jan 21, 2020 | 45 | Mar 23, 2020 | 161 | Nov 5, 2020 | 206 |
| -24.91% | Sep 7, 2021 | 284 | Oct 11, 2022 | 351 | Feb 23, 2024 | 635 |
| -5.79% | Jul 15, 2024 | 16 | Aug 5, 2024 | 10 | Aug 19, 2024 | 26 |
| -5.71% | Jul 16, 2019 | 23 | Aug 15, 2019 | 49 | Oct 23, 2019 | 72 |
| -4.69% | Feb 16, 2021 | 14 | Mar 5, 2021 | 27 | Apr 15, 2021 | 41 |
Volatility
Volatility Chart
The current ETF Portfolio volatility is 5.90%, 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
| IGHY.L | MXWO.L | EMXC.DE | |
|---|---|---|---|
| IGHY.L | 1.00 | 0.54 | 0.59 |
| MXWO.L | 0.54 | 1.00 | 0.71 |
| EMXC.DE | 0.59 | 0.71 | 1.00 |