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ETF Portfolio

Last updated Mar 2, 2024

Asset Allocation


IGHY.L 33.33%MXWO.L 33.33%EMXC.DE 33.33%BondBondEquityEquity
PositionCategory/SectorWeight
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%

EMXC.DE
Lyxor MSCI Emerging Markets Ex China UCITS ETF - Acc
Emerging Markets Equities

33.33%

S&P 500

Performance

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


10.00%15.00%20.00%25.00%30.00%OctoberNovemberDecember2024FebruaryMarch
25.60%
32.98%
ETF Portfolio
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jul 15, 2022, corresponding to the inception date of EMXC.DE

Returns


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
7.70%6.01%13.76%29.03%12.89%10.63%
ETF Portfolio2.08%2.48%10.28%17.23%N/AN/A
MXWO.L
Invesco MSCI World UCITS ETF
5.56%4.65%12.96%24.25%11.91%9.15%
IGHY.L
iShares Global High Yield Corporate Bond UCITS ETF
-1.26%-0.35%6.39%9.69%3.32%5.20%
EMXC.DE
Lyxor MSCI Emerging Markets Ex China UCITS ETF - Acc
1.96%3.12%11.48%17.96%N/AN/A

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
2024-0.71%2.27%
2023-2.65%-2.83%-2.68%8.15%5.53%

Sharpe Ratio

The current ETF Portfolio Sharpe ratio is 1.90. A Sharpe ratio greater than 1.0 is considered acceptable.

0.002.004.001.90

The Sharpe ratio of ETF Portfolio lies between the 25th and 75th percentiles. It indicates that the portfolio's 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.


Rolling 12-month Sharpe Ratio0.501.001.502.002.50OctoberNovemberDecember2024FebruaryMarch
1.90
2.44
ETF Portfolio
Benchmark (^GSPC)
Portfolio components

Dividend yield

ETF Portfolio granted a 1.63% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
ETF Portfolio1.63%1.62%1.31%1.28%1.58%1.64%1.57%1.66%1.52%1.71%1.61%1.44%
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
4.89%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%

Expense Ratio

The ETF Portfolio has a high expense ratio of 0.28%, indicating higher-than-average management fees. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


0.50%1.00%1.50%2.00%0.50%
0.50%1.00%1.50%2.00%0.19%

Risk-Adjusted Performance

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 ratioSortino ratioOmega ratioCalmar ratioUlcer Index
^GSPC
S&P 500
2.44
ETF Portfolio
1.90
MXWO.L
Invesco MSCI World UCITS ETF
2.08
IGHY.L
iShares Global High Yield Corporate Bond UCITS ETF
1.31
EMXC.DE
Lyxor MSCI Emerging Markets Ex China UCITS ETF - Acc
1.51

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.L1.000.620.67
MXWO.L0.621.000.69
EMXC.DE0.670.691.00

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%OctoberNovemberDecember2024FebruaryMarch00
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 13.33%, occurring on Oct 11, 2022. Recovery took 73 trading sessions.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-13.33%Aug 17, 202240Oct 11, 202273Jan 23, 2023113
-8.45%Jul 31, 202364Oct 26, 202326Dec 1, 202390
-7.32%Feb 3, 202329Mar 15, 202354Jun 2, 202383
-2.92%Dec 29, 202313Jan 17, 202414Feb 6, 202427
-2.22%Jun 16, 20236Jun 23, 202313Jul 12, 202319

Volatility Chart

The current ETF Portfolio volatility is 2.48%, 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.


1.50%2.00%2.50%3.00%3.50%4.00%4.50%5.00%OctoberNovemberDecember2024FebruaryMarch
2.48%
3.47%
ETF Portfolio
Benchmark (^GSPC)
Portfolio components
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