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Regional + Factors
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Regional + Factors

Last updated Sep 21, 2024

Asset Allocation

^NDX 30%^GSPC 25%XDEM.L 10%XDEV.DE 10%IEUX.L 10%EMIM.L 8%CUKX.L 7%EquityEquity
PositionCategory/SectorWeight
^GSPC
S&P 500
25%
^NDX
NASDAQ 100
30%
CUKX.L
iShares FTSE 100 UCITS ETF
7%
EMIM.L
iShares Core MSCI Emerging Markets IMI UCITS ETF (Acc)		Emerging Markets Equities
8%
IEUX.L
iShares MSCI Europe ex-UK UCITS		Europe Equities
10%
XDEM.L
Xtrackers MSCI World Momentum Factor UCITS ETF 1C		Global Equities
10%
XDEV.DE
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 Regional + 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
7.40%
8.95%
8.95%
Regional + Factors
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Oct 17, 2014, corresponding to the inception date of XDEM.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%
Regional + Factors16.82%1.52%7.40%29.35%13.42%N/A
Portfolio components:
XDEM.L
Xtrackers MSCI World Momentum Factor UCITS ETF 1C		28.34%1.01%5.75%42.45%12.49%N/A
XDEV.DE
Xtrackers MSCI World Value Factor UCITS ETF 1C		9.07%1.89%3.19%16.22%7.76%N/A
EMIM.L
iShares Core MSCI Emerging Markets IMI UCITS ETF (Acc)		10.98%1.44%8.27%18.38%5.03%5.53%
CUKX.L
iShares FTSE 100 UCITS ETF		14.44%1.28%11.28%20.46%7.25%5.96%
^NDX
NASDAQ 100		17.62%1.54%7.92%34.63%19.86%17.23%
^GSPC
S&P 500		19.55%2.37%8.95%32.00%13.41%11.17%
IEUX.L
iShares MSCI Europe ex-UK UCITS		9.55%-0.22%3.95%21.98%8.66%8.13%

Monthly Returns

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

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20241.05%4.35%3.06%-3.09%4.52%3.08%0.52%1.71%16.82%
20237.28%-2.09%4.63%1.68%0.49%5.95%3.55%-2.38%-4.11%-2.80%9.19%5.04%28.56%
2022-5.56%-2.99%2.40%-9.05%-0.29%-8.68%7.42%-4.24%-9.38%5.60%7.87%-4.58%-21.28%
2021-0.07%1.64%2.55%4.79%0.82%2.15%1.37%2.72%-4.34%5.62%-1.25%3.41%20.80%
2020-0.30%-7.67%-11.32%10.82%4.43%4.33%5.16%7.62%-4.11%-3.20%12.10%5.10%21.99%
20197.85%2.66%2.10%3.85%-6.70%6.68%0.61%-2.47%1.93%3.17%2.87%3.81%28.75%
20186.61%-3.20%-2.83%1.21%1.40%-0.14%2.84%1.82%0.48%-8.06%0.54%-7.23%-7.28%
20173.28%2.98%1.88%2.05%2.81%-0.41%3.27%0.68%1.45%3.13%1.79%1.35%27.06%
2016-6.13%-0.87%7.17%-0.29%1.30%-1.37%5.00%0.75%0.96%-1.78%0.42%2.01%6.75%
2015-1.59%6.01%-2.12%2.77%0.56%-2.71%1.91%-6.69%-3.32%8.70%-0.33%-2.00%0.23%
20146.19%2.76%-1.94%7.00%

Expense Ratio

Regional + Factors has an expense ratio of 0.11%, 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.

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%
XDEV.DE
Xtrackers MSCI World Value Factor UCITS ETF 1C
Expense ratio chart for XDEV.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%
EMIM.L
iShares Core MSCI Emerging Markets IMI UCITS ETF (Acc)
Expense ratio chart for EMIM.L: current value at 0.18% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.18%
CUKX.L
iShares FTSE 100 UCITS ETF
Expense ratio chart for CUKX.L: current value at 0.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.07%
IEUX.L
iShares MSCI Europe ex-UK UCITS
Expense ratio chart for IEUX.L: current value at 0.40% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.40%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Regional + Factors is 64, 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 Regional + Factors is 6464
Regional + Factors
The Sharpe Ratio Rank of Regional + Factors is 7070Sharpe Ratio Rank
The Sortino Ratio Rank of Regional + Factors is 6868Sortino Ratio Rank
The Omega Ratio Rank of Regional + Factors is 7474Omega Ratio Rank
The Calmar Ratio Rank of Regional + Factors is 5656Calmar Ratio Rank
The Martin Ratio Rank of Regional + Factors is 5353Martin 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.

Regional + Factors
Sharpe ratio
The chart of Sharpe ratio for Regional + Factors, currently valued at 2.43, compared to the broader market-1.000.001.002.003.004.002.43
Sortino ratio
The chart of Sortino ratio for Regional + Factors, currently valued at 3.28, compared to the broader market-2.000.002.004.006.003.28
Omega ratio
The chart of Omega ratio for Regional + Factors, currently valued at 1.45, compared to the broader market0.801.001.201.401.601.801.45
Calmar ratio
The chart of Calmar ratio for Regional + Factors, currently valued at 2.28, compared to the broader market0.002.004.006.008.0010.002.28
Martin ratio
The chart of Martin ratio for Regional + Factors, currently valued at 13.08, compared to the broader market0.0010.0020.0030.0040.0013.08
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.64, compared to the broader market-1.000.001.002.003.004.002.64
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.53, compared to the broader market-2.000.002.004.006.003.53
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.49, compared to the broader market0.801.001.201.401.601.801.49
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 2.33, compared to the broader market0.002.004.006.008.0010.002.33
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 16.09, compared to the broader market0.0010.0020.0030.0040.0016.09
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
XDEM.L
Xtrackers MSCI World Momentum Factor UCITS ETF 1C		2.463.181.441.8712.54
XDEV.DE
Xtrackers MSCI World Value Factor UCITS ETF 1C		1.411.961.261.637.78
EMIM.L
iShares Core MSCI Emerging Markets IMI UCITS ETF (Acc)		1.382.081.240.667.47
CUKX.L
iShares FTSE 100 UCITS ETF		1.712.561.312.1810.76
^NDX
NASDAQ 100		1.942.571.342.329.10
^GSPC
S&P 500		2.643.531.492.3316.09
IEUX.L
iShares MSCI Europe ex-UK UCITS		1.782.591.311.449.32

Sharpe Ratio

The current Regional + Factors Sharpe ratio is 2.43. 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 Regional + 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 Ratio1.001.502.002.50AprilMayJuneJulyAugustSeptember
2.43
2.64
2.64
Regional + Factors
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Regional + Factors granted a 0.23% dividend yield in the last twelve months.

TTM20232022202120202019201820172016201520142013
Regional + Factors0.23%0.23%0.23%0.17%0.14%0.24%0.26%0.22%0.22%0.21%0.35%0.21%
Portfolio components:
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%0.00%
XDEV.DE
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%0.73%0.00%
EMIM.L
iShares Core MSCI Emerging Markets IMI 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%
CUKX.L
iShares FTSE 100 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%
^NDX
NASDAQ 100		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
^GSPC
S&P 500		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
IEUX.L
iShares MSCI Europe ex-UK UCITS		2.30%2.33%2.25%1.65%1.44%2.42%2.60%2.23%2.17%2.11%2.13%2.14%

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.

-10.00%-8.00%-6.00%-4.00%-2.00%0.00%AprilMayJuneJulyAugustSeptember
-0.59%
-0.19%
-0.19%
Regional + Factors
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Regional + 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 Regional + Factors was 31.92%, occurring on Mar 23, 2020. Recovery took 94 trading sessions.

The current Regional + Factors drawdown is 0.59%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-31.92%Feb 20, 202023Mar 23, 202094Aug 3, 2020117
-28.73%Jan 4, 2022200Oct 11, 2022308Dec 19, 2023508
-18.45%Aug 30, 201883Dec 24, 201883Apr 23, 2019166
-17.94%May 22, 2015187Feb 11, 2016215Dec 9, 2016402
-9.58%Jul 17, 202414Aug 5, 2024———

Volatility

Volatility Chart

The current Regional + Factors volatility is 4.47%, 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
4.47%
4.19%
4.19%
Regional + 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.
^NDX^GSPCEMIM.LXDEV.DECUKX.LXDEM.LIEUX.L
^NDX1.000.900.490.410.370.520.45
^GSPC0.901.000.520.530.480.550.53
EMIM.L0.490.521.000.670.700.710.72
XDEV.DE0.410.530.671.000.770.700.77
CUKX.L0.370.480.700.771.000.710.84
XDEM.L0.520.550.710.700.711.000.78
IEUX.L0.450.530.720.770.840.781.00
The correlation results are calculated based on daily price changes starting from Oct 20, 2014