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USA

Last updated Sep 21, 2023

Asset Allocation


TIPX 23%BBGE.L 12%SGLP.L 10%WFSPX 12%XMJP.L 12%IEFV.L 9%HEAE.L 6%SUSW.L 5%WLDS.L 4%SOXX 4%SUES.L 3%BondBondCommodityCommodityEquityEquity
PositionCategory/SectorWeight
TIPX
SPDR Bloomberg Barclays 1-10 Year TIPS ETF
Inflation-Protected Bonds23%
BBGE.L
JPMorgan BetaBuilders EUR Government Bond UCITS ETF EUR (Acc)
European Government Bonds12%
SGLP.L
Invesco Physical Gold A
Precious Metals10%
WFSPX
iShares S&P 500 Index Fund
Large Cap Blend Equities12%
XMJP.L
Xtrackers MSCI Japan UCITS ETF 1C
Japan Equities12%
IEFV.L
iShares Edge MSCI Europe Value Factor UCITS ETF
Europe Equities9%
HEAE.L
SPDR MSCI Europe Health Care UCITS ETF
Health & Biotech Equities6%
SUSW.L
iShares MSCI World SRI UCITS ETF EUR (Acc)
Global Equities5%
WLDS.L
iShares MSCI World Small Cap UCITS ETF
Small Cap Blend Equities4%
SOXX
iShares PHLX Semiconductor ETF
Technology Equities4%
SUES.L
iShares MSCI EM SRI UCITS ETF
Emerging Markets Equities3%

Performance

The chart shows the growth of an initial investment of $10,000 in USA, 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


0.00%5.00%10.00%15.00%AprilMayJuneJulyAugustSeptember
3.57%
11.48%
USA
Benchmark (^GSPC)
Portfolio components

Returns


1 month6 monthsYear-To-Date1 year5 years (annualized)10 years (annualized)
Benchmark0.06%11.82%14.66%14.17%-2.64%N/A
USA0.88%4.18%8.59%13.59%-1.88%N/A
WFSPX
iShares S&P 500 Index Fund
0.20%12.70%16.03%16.10%-1.04%N/A
SUES.L
iShares MSCI EM SRI UCITS ETF
-0.17%-0.35%-2.18%0.42%-13.14%N/A
IEFV.L
iShares Edge MSCI Europe Value Factor UCITS ETF
1.80%5.66%11.53%26.75%2.70%N/A
WLDS.L
iShares MSCI World Small Cap UCITS ETF
0.34%4.03%5.87%9.65%-5.55%N/A
SUSW.L
iShares MSCI World SRI UCITS ETF EUR (Acc)
1.70%7.84%15.06%18.78%-1.72%N/A
HEAE.L
SPDR MSCI Europe Health Care UCITS ETF
0.34%10.07%10.18%25.91%0.07%N/A
XMJP.L
Xtrackers MSCI Japan UCITS ETF 1C
6.34%11.57%15.84%24.46%2.20%N/A
TIPX
SPDR Bloomberg Barclays 1-10 Year TIPS ETF
0.27%-1.61%1.11%-0.17%-2.85%N/A
SGLP.L
Invesco Physical Gold A
2.29%-0.94%5.88%16.43%0.10%N/A
BBGE.L
JPMorgan BetaBuilders EUR Government Bond UCITS ETF EUR (Acc)
-2.28%-2.87%-0.15%4.06%-10.80%N/A
SOXX
iShares PHLX Semiconductor ETF
-4.77%10.84%35.85%35.67%0.80%N/A

Asset Correlations Table

The table below shows the correlation coefficients between the assets in the portfolio.

TIPXSGLP.LHEAE.LBBGE.LSOXXWFSPXSUES.LXMJP.LSUSW.LIEFV.LWLDS.L
TIPX1.000.420.270.530.210.270.230.310.290.280.31
SGLP.L0.421.000.370.600.180.190.400.440.230.360.33
HEAE.L0.270.371.000.460.260.410.450.470.540.630.52
BBGE.L0.530.600.461.000.340.360.390.470.390.480.43
SOXX0.210.180.260.341.000.840.540.510.580.510.59
WFSPX0.270.190.410.360.841.000.520.520.640.570.65
SUES.L0.230.400.450.390.540.521.000.640.660.710.73
XMJP.L0.310.440.470.470.510.520.641.000.660.660.70
SUSW.L0.290.230.540.390.580.640.660.661.000.790.89
IEFV.L0.280.360.630.480.510.570.710.660.791.000.84
WLDS.L0.310.330.520.430.590.650.730.700.890.841.00

Sharpe Ratio

The current USA Sharpe ratio is 1.71. A Sharpe ratio greater than 1.0 is considered acceptable.

-1.000.001.002.003.004.001.71

The Sharpe ratio of USA 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.


Rolling 12-month Sharpe Ratio-0.500.000.501.001.502.00AprilMayJuneJulyAugustSeptember
1.71
1.24
USA
Benchmark (^GSPC)
Portfolio components

Dividend yield

USA granted a 0.92% dividend yield in the last twelve months.


TTM20222021202020192018201720162015201420132012
USA0.92%1.73%1.28%0.68%0.97%0.90%1.09%0.67%0.42%0.77%0.37%0.34%
WFSPX
iShares S&P 500 Index Fund
1.58%2.03%1.57%1.73%2.12%2.73%2.23%2.70%2.90%2.20%2.08%2.36%
SUES.L
iShares MSCI EM SRI 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%
IEFV.L
iShares Edge MSCI Europe Value Factor 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%
WLDS.L
iShares MSCI World Small Cap 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%
SUSW.L
iShares MSCI World SRI UCITS ETF EUR (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%
HEAE.L
SPDR MSCI Europe Health Care 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%
XMJP.L
Xtrackers MSCI Japan UCITS ETF 1C
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
TIPX
SPDR Bloomberg Barclays 1-10 Year TIPS ETF
2.99%6.24%4.63%1.91%2.91%2.25%3.42%1.29%0.08%1.91%0.32%0.00%
SGLP.L
Invesco Physical Gold A
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
BBGE.L
JPMorgan BetaBuilders EUR Government Bond UCITS ETF EUR (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%
SOXX
iShares PHLX Semiconductor ETF
0.97%1.26%0.65%0.83%1.28%1.44%0.96%1.16%1.40%1.72%1.32%1.41%

Expense Ratio

The USA features an expense ratio of 0.17%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


0.46%
0.00%2.15%
0.35%
0.00%2.15%
0.25%
0.00%2.15%
0.20%
0.00%2.15%
0.18%
0.00%2.15%
0.15%
0.00%2.15%
0.12%
0.00%2.15%
0.10%
0.00%2.15%
0.03%
0.00%2.15%

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
WFSPX
iShares S&P 500 Index Fund
0.85
SUES.L
iShares MSCI EM SRI UCITS ETF
-0.45
IEFV.L
iShares Edge MSCI Europe Value Factor UCITS ETF
1.15
WLDS.L
iShares MSCI World Small Cap UCITS ETF
0.07
SUSW.L
iShares MSCI World SRI UCITS ETF EUR (Acc)
0.99
HEAE.L
SPDR MSCI Europe Health Care UCITS ETF
1.11
XMJP.L
Xtrackers MSCI Japan UCITS ETF 1C
1.06
TIPX
SPDR Bloomberg Barclays 1-10 Year TIPS ETF
-0.06
SGLP.L
Invesco Physical Gold A
0.62
BBGE.L
JPMorgan BetaBuilders EUR Government Bond UCITS ETF EUR (Acc)
-0.62
SOXX
iShares PHLX Semiconductor ETF
0.99

Drawdowns Chart

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


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%AprilMayJuneJulyAugustSeptember
-3.20%
-4.07%
USA
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below shows the maximum drawdowns of the USA. A maximum drawdown is an indicator of risk. It shows a reduction in portfolio value from its maximum due to a series of losing trades.

The maximum drawdown since January 2010 for the USA is 18.74%, recorded on Oct 11, 2022. It took 198 trading sessions for the portfolio to recover.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-18.74%Apr 5, 2022135Oct 11, 2022198Jul 18, 2023333
-4.26%Jul 20, 202322Aug 18, 2023

Volatility Chart

The current USA volatility is 2.08%, 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.


1.00%2.00%3.00%4.00%5.00%AprilMayJuneJulyAugustSeptember
2.08%
3.27%
USA
Benchmark (^GSPC)
Portfolio components