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Global ETFs Momentum
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Global ETFs Momentum

Last updated Sep 18, 2024

Asset Allocation

USD 15%IUIT.L 15%BIGT 15%XDEM.DE 10%SPMO 10%TQQQ 10%QDV5.DE 7.5%IUMF.L 7.5%SEC0.DE 5%C030.DE 5%EquityEquity
PositionCategory/SectorWeight
BIGT
Roundhill Magnificent Seven ETF		Technology Equities
15%
C030.DE
Amundi DJ Switzerland Titans 30 UCITS ETF Dist		Europe Equities
5%
IUIT.L
iShares S&P 500 Information Technology Sector UCITS ETF		Technology Equities
15%
IUMF.L
IShares Edge MSCI USA Momentum Factor ETF		Large Cap Growth Equities
7.50%
QDV5.DE
iShares MSCI India UCITS ETF USD (Acc)		Asia Pacific Equities
7.50%
SEC0.DE
iShares MSCI Global Semiconductors UCITS ETF USD (Acc)		Technology Equities
5%
SPMO
Invesco S&P 500® Momentum ETF		Large Cap Growth Equities
10%
TQQQ
ProShares UltraPro QQQ		Leveraged Equities, Leveraged
10%
USD
ProShares Ultra Semiconductors		Leveraged Equities, Leveraged
15%
XDEM.DE
Xtrackers MSCI World Momentum Factor UCITS ETF 1C		Global Equities
10%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Global ETFs Momentum , 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%0.00%10.00%20.00%30.00%AprilMayJuneJulyAugustSeptember
11.58%
7.84%
Global ETFs Momentum
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Apr 10, 2023, corresponding to the inception date of BIGT

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		18.13%1.45%8.81%26.52%13.43%10.88%
Global ETFs Momentum 39.28%-3.93%11.58%63.32%N/AN/A
Portfolio components:
USD
ProShares Ultra Semiconductors		99.65%-18.37%12.92%177.87%56.90%44.17%
IUIT.L
iShares S&P 500 Information Technology Sector UCITS ETF		25.66%-1.46%12.15%43.68%25.01%N/A
BIGT
Roundhill Magnificent Seven ETF		34.08%-1.80%13.66%44.28%N/AN/A
QDV5.DE
iShares MSCI India UCITS ETF USD (Acc)		22.13%2.21%17.53%33.99%16.08%N/A
IUMF.L
IShares Edge MSCI USA Momentum Factor ETF		26.13%1.20%6.77%38.92%10.14%N/A
XDEM.DE
Xtrackers MSCI World Momentum Factor UCITS ETF 1C		26.15%-0.15%5.90%38.02%11.95%N/A
SEC0.DE
iShares MSCI Global Semiconductors UCITS ETF USD (Acc)		14.11%-5.98%-0.21%39.99%N/AN/A
C030.DE
Amundi DJ Switzerland Titans 30 UCITS ETF Dist		10.90%0.07%9.34%17.77%9.38%8.97%
SPMO
Invesco S&P 500® Momentum ETF		35.68%-0.83%10.29%51.23%18.48%N/A
TQQQ
ProShares UltraPro QQQ		32.12%-6.75%8.18%70.50%33.27%33.85%

Monthly Returns

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

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20245.65%13.24%5.38%-5.66%10.97%10.73%-3.59%0.49%39.28%
20230.72%10.95%8.55%5.33%-1.82%-7.51%-4.64%15.86%9.77%40.70%

Expense Ratio

Global ETFs Momentum features an expense ratio of 0.44%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.

USD
ProShares Ultra Semiconductors
Expense ratio chart for USD: current value at 0.95% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.95%
TQQQ
ProShares UltraPro QQQ
Expense ratio chart for TQQQ: current value at 0.95% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.95%
QDV5.DE
iShares MSCI India UCITS ETF USD (Acc)
Expense ratio chart for QDV5.DE: current value at 0.65% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.65%
SEC0.DE
iShares MSCI Global Semiconductors UCITS ETF USD (Acc)
Expense ratio chart for SEC0.DE: current value at 0.35% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.35%
BIGT
Roundhill Magnificent Seven ETF
Expense ratio chart for BIGT: current value at 0.29% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.29%
XDEM.DE
Xtrackers MSCI World Momentum Factor UCITS ETF 1C
Expense ratio chart for XDEM.DE: 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%
C030.DE
Amundi DJ Switzerland Titans 30 UCITS ETF Dist
Expense ratio chart for C030.DE: 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%
IUMF.L
IShares Edge MSCI USA Momentum Factor ETF
Expense ratio chart for IUMF.L: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%
IUIT.L
iShares S&P 500 Information Technology Sector UCITS ETF
Expense ratio chart for IUIT.L: 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%
SPMO
Invesco S&P 500® Momentum ETF
Expense ratio chart for SPMO: current value at 0.13% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.13%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current risk-adjusted rank of Global ETFs Momentum is 79, placing it in the top 21% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.

The Risk-Adjusted Performance Rank of Global ETFs Momentum is 7979
Global ETFs Momentum
The Sharpe Ratio Rank of Global ETFs Momentum is 8787Sharpe Ratio Rank
The Sortino Ratio Rank of Global ETFs Momentum is 7474Sortino Ratio Rank
The Omega Ratio Rank of Global ETFs Momentum is 8080Omega Ratio Rank
The Calmar Ratio Rank of Global ETFs Momentum is 8787Calmar Ratio Rank
The Martin Ratio Rank of Global ETFs Momentum is 6464Martin 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.

Global ETFs Momentum
Sharpe ratio
The chart of Sharpe ratio for Global ETFs Momentum , currently valued at 2.61, compared to the broader market-1.000.001.002.003.004.002.61
Sortino ratio
The chart of Sortino ratio for Global ETFs Momentum , currently valued at 3.14, compared to the broader market-2.000.002.004.006.003.14
Omega ratio
The chart of Omega ratio for Global ETFs Momentum , currently valued at 1.43, compared to the broader market0.801.001.201.401.601.801.43
Calmar ratio
The chart of Calmar ratio for Global ETFs Momentum , currently valued at 3.42, compared to the broader market0.002.004.006.008.003.42
Martin ratio
The chart of Martin ratio for Global ETFs Momentum , currently valued at 11.25, compared to the broader market0.0010.0020.0030.0011.25
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.10, compared to the broader market-1.000.001.002.003.004.002.10
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.82, compared to the broader market-2.000.002.004.006.002.82
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.38, compared to the broader market0.801.001.201.401.601.801.38
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.88, compared to the broader market0.002.004.006.008.001.88
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 11.08, compared to the broader market0.0010.0020.0030.0011.08
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
USD
ProShares Ultra Semiconductors		2.572.731.364.1912.27
IUIT.L
iShares S&P 500 Information Technology Sector UCITS ETF		2.383.061.413.3411.23
BIGT
Roundhill Magnificent Seven ETF		2.112.691.362.899.43
QDV5.DE
iShares MSCI India UCITS ETF USD (Acc)		2.212.821.455.1220.30
IUMF.L
IShares Edge MSCI USA Momentum Factor ETF		2.282.961.403.2111.94
XDEM.DE
Xtrackers MSCI World Momentum Factor UCITS ETF 1C		2.503.251.463.1213.37
SEC0.DE
iShares MSCI Global Semiconductors UCITS ETF USD (Acc)		1.632.161.291.905.62
C030.DE
Amundi DJ Switzerland Titans 30 UCITS ETF Dist		1.652.261.321.588.66
SPMO
Invesco S&P 500® Momentum ETF		3.174.071.554.2817.23
TQQQ
ProShares UltraPro QQQ		1.832.231.302.548.17

Sharpe Ratio

The current Global ETFs Momentum Sharpe ratio is 2.61. 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 1.73 to 2.40, this portfolio's current Sharpe ratio is in the top 25%, it signifies superior risk-adjusted performance. This means that for the level of risk undertaken, the portfolio is generating impressive returns compared to most others.

Use the chart below to compare the Sharpe ratio of Global ETFs Momentum 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 Ratio1.502.002.503.003.50MayJuneJulyAugustSeptember
2.61
2.10
Global ETFs Momentum
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Global ETFs Momentum granted a 0.22% dividend yield in the last twelve months.

TTM20232022202120202019201820172016201520142013
Global ETFs Momentum 0.22%0.36%0.38%0.14%0.25%0.37%0.39%0.26%0.75%0.10%0.34%0.09%
Portfolio components:
USD
ProShares Ultra Semiconductors		0.02%0.05%0.30%0.00%0.14%0.72%0.93%0.32%3.71%0.39%1.80%0.63%
IUIT.L
iShares S&P 500 Information Technology Sector 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%
BIGT
Roundhill Magnificent Seven ETF		0.33%0.44%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
QDV5.DE
iShares MSCI India UCITS ETF USD (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%
IUMF.L
IShares Edge MSCI USA Momentum Factor 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%
XDEM.DE
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%0.00%
SEC0.DE
iShares MSCI Global Semiconductors UCITS ETF USD (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%
C030.DE
Amundi DJ Switzerland Titans 30 UCITS ETF Dist		0.00%0.00%2.21%1.70%2.04%2.37%2.78%2.76%0.00%0.00%0.00%0.00%
SPMO
Invesco S&P 500® Momentum ETF		0.41%1.63%1.66%0.52%1.27%1.39%1.05%0.77%1.94%0.36%0.00%0.00%
TQQQ
ProShares UltraPro QQQ		1.29%1.26%0.57%0.00%0.00%0.06%0.11%0.00%0.00%0.01%0.03%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.

-20.00%-15.00%-10.00%-5.00%0.00%AprilMayJuneJulyAugustSeptember
-11.54%
-0.58%
Global ETFs Momentum
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Global ETFs Momentum . 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 Global ETFs Momentum was 21.04%, occurring on Aug 5, 2024. The portfolio has not yet recovered.

The current Global ETFs Momentum drawdown is 11.54%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-21.04%Jul 11, 202418Aug 5, 2024———
-14.99%Jul 20, 202371Oct 26, 202313Nov 14, 202384
-12.42%Mar 8, 202430Apr 19, 202418May 15, 202448
-6.34%Jun 20, 20243Jun 24, 202410Jul 8, 202413
-4.9%Dec 29, 20234Jan 4, 20246Jan 12, 202410

Volatility

Volatility Chart

The current Global ETFs Momentum volatility is 8.99%, 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%4.00%6.00%8.00%10.00%12.00%14.00%AprilMayJuneJulyAugustSeptember
8.99%
4.08%
Global ETFs Momentum
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.
C030.DEQDV5.DEBIGTSPMOIUIT.LUSDIUMF.LSEC0.DETQQQXDEM.DE
C030.DE1.000.390.210.320.310.220.400.360.280.56
QDV5.DE0.391.000.320.330.270.330.330.350.380.40
BIGT0.210.321.000.650.560.750.440.490.910.49
SPMO0.320.330.651.000.450.670.570.480.750.61
IUIT.L0.310.270.560.451.000.600.760.830.610.74
USD0.220.330.750.670.601.000.510.660.840.54
IUMF.L0.400.330.440.570.760.511.000.720.540.88
SEC0.DE0.360.350.490.480.830.660.721.000.590.76
TQQQ0.280.380.910.750.610.840.540.591.000.57
XDEM.DE0.560.400.490.610.740.540.880.760.571.00
The correlation results are calculated based on daily price changes starting from Apr 11, 2023