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tester New Final 2.76
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

tester New Final 2.76

Last updated Nov 13, 2024

Asset Allocation

ERNS.L 5%SGLN.L 5%XDEQ.L 40%XDEM.L 20%MVUS.L 15%FRIN.L 5%CSJP.L 5%XREP.L 5%BondBondCommodityCommodityEquityEquityReal EstateReal Estate
PositionCategory/SectorWeight
CSJP.L
iShares MSCI Japan UCITS ETF USD (Acc)		Japan Equities
5%
ERNS.L
iShares £ Ultrashort Bond UCITS ETF		Total Bond Market
5%
FRIN.L
Franklin FTSE India UCITS ETF		Asia Pacific Equities
5%
MVUS.L
iShares Edge S&P 500 Minimum Volatility UCITS ETF		Large Cap Blend Equities
15%
SGLN.L
iShares Physical Gold ETC		Precious Metals, Commodities
5%
XDEM.L
Xtrackers MSCI World Momentum Factor UCITS ETF 1C		Global Equities
20%
XDEQ.L
Xtrackers MSCI World Quality Factor UCITS ETF 1C		Global Equities
40%
XREP.L
Invesco Real Estate S&P US Select Sector UCITS ETF GBP		REIT
5%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in tester New Final 2.76, 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%JuneJulyAugustSeptemberOctoberNovember
9.36%
14.06%
tester New Final 2.76
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Oct 17, 2022, corresponding to the inception date of XREP.L

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		25.45%2.91%14.05%35.64%14.13%11.39%
tester New Final 2.7620.67%-0.45%9.36%30.44%N/AN/A
Portfolio components:
MVUS.L
iShares Edge S&P 500 Minimum Volatility UCITS ETF		22.19%1.27%11.61%29.66%11.12%13.10%
XDEQ.L
Xtrackers MSCI World Quality Factor UCITS ETF 1C		19.80%-0.39%9.01%29.84%13.00%12.99%
FRIN.L
Franklin FTSE India UCITS ETF		12.52%-5.94%4.26%24.17%13.03%N/A
XREP.L
Invesco Real Estate S&P US Select Sector UCITS ETF GBP		8.43%-0.28%14.62%29.91%N/AN/A
XDEM.L
Xtrackers MSCI World Momentum Factor UCITS ETF 1C		31.91%0.96%11.02%41.28%13.33%14.21%
CSJP.L
iShares MSCI Japan UCITS ETF USD (Acc)		7.61%-3.52%1.60%15.97%4.94%7.69%
ERNS.L
iShares £ Ultrashort Bond UCITS ETF		4.79%-2.12%3.77%9.64%2.38%1.57%
SGLN.L
iShares Physical Gold ETC		25.83%-2.10%10.43%33.47%12.13%10.30%

Monthly Returns

The table below presents the monthly returns of tester New Final 2.76, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20242.27%4.39%3.48%-3.06%3.65%3.44%0.86%2.45%1.70%-1.26%20.67%
20233.29%-3.45%2.91%2.51%-1.51%4.79%2.52%-1.12%-4.04%-1.64%7.71%5.13%17.63%
20224.77%6.25%-1.85%9.25%

Expense Ratio

tester New Final 2.76 has an expense ratio of 0.22%, 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.

CSJP.L
iShares MSCI Japan UCITS ETF USD (Acc)
Expense ratio chart for CSJP.L: current value at 0.48% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.48%
XDEQ.L
Xtrackers MSCI World Quality Factor UCITS ETF 1C
Expense ratio chart for XDEQ.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%
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%
MVUS.L
iShares Edge S&P 500 Minimum Volatility UCITS ETF
Expense ratio chart for MVUS.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%
FRIN.L
Franklin FTSE India UCITS ETF
Expense ratio chart for FRIN.L: current value at 0.19% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.19%
XREP.L
Invesco Real Estate S&P US Select Sector UCITS ETF GBP
Expense ratio chart for XREP.L: current value at 0.14% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.14%
ERNS.L
iShares £ Ultrashort Bond UCITS ETF
Expense ratio chart for ERNS.L: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of tester New Final 2.76 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 tester New Final 2.76 is 6464
Combined Rank
The Sharpe Ratio Rank of tester New Final 2.76 is 5959Sharpe Ratio Rank
The Sortino Ratio Rank of tester New Final 2.76 is 6868Sortino Ratio Rank
The Omega Ratio Rank of tester New Final 2.76 is 6464Omega Ratio Rank
The Calmar Ratio Rank of tester New Final 2.76 is 6969Calmar Ratio Rank
The Martin Ratio Rank of tester New Final 2.76 is 6060Martin 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.

tester New Final 2.76
Sharpe ratio
The chart of Sharpe ratio for tester New Final 2.76, currently valued at 2.73, compared to the broader market0.002.004.006.002.73
Sortino ratio
The chart of Sortino ratio for tester New Final 2.76, currently valued at 3.88, compared to the broader market-2.000.002.004.006.003.88
Omega ratio
The chart of Omega ratio for tester New Final 2.76, currently valued at 1.51, compared to the broader market0.801.001.201.401.601.802.001.51
Calmar ratio
The chart of Calmar ratio for tester New Final 2.76, currently valued at 4.08, compared to the broader market0.005.0010.0015.004.08
Martin ratio
The chart of Martin ratio for tester New Final 2.76, currently valued at 17.17, compared to the broader market0.0010.0020.0030.0040.0050.0060.0017.17
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.90, compared to the broader market0.002.004.006.002.90
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.87, compared to the broader market-2.000.002.004.006.003.87
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.54, compared to the broader market0.801.001.201.401.601.802.001.54
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 4.19, compared to the broader market0.005.0010.0015.004.19
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 18.72, compared to the broader market0.0010.0020.0030.0040.0050.0060.0018.72
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
MVUS.L
iShares Edge S&P 500 Minimum Volatility UCITS ETF		3.134.601.575.6520.32
XDEQ.L
Xtrackers MSCI World Quality Factor UCITS ETF 1C		2.413.431.443.8313.85
FRIN.L
Franklin FTSE India UCITS ETF		1.491.951.302.448.91
XREP.L
Invesco Real Estate S&P US Select Sector UCITS ETF GBP		1.442.091.271.835.16
XDEM.L
Xtrackers MSCI World Momentum Factor UCITS ETF 1C		2.333.041.442.8912.40
CSJP.L
iShares MSCI Japan UCITS ETF USD (Acc)		0.801.171.161.093.68
ERNS.L
iShares £ Ultrashort Bond UCITS ETF		1.181.661.211.715.56
SGLN.L
iShares Physical Gold ETC		2.272.961.395.0714.23

Sharpe Ratio

The current tester New Final 2.76 Sharpe ratio is 2.73. 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 2.07 to 2.98, 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 tester New Final 2.76 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 Ratio1.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.73
2.90
tester New Final 2.76
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

tester New Final 2.76 provided a 0.26% dividend yield over the last twelve months.

TTM20232022202120202019201820172016201520142013
Portfolio0.26%0.23%0.06%0.01%0.04%0.05%0.04%0.03%0.04%0.04%0.36%0.00%
Portfolio components:
MVUS.L
iShares Edge S&P 500 Minimum Volatility 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%
XDEQ.L
Xtrackers MSCI World Quality Factor UCITS ETF 1C		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.51%0.00%
FRIN.L
Franklin FTSE India 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%
XREP.L
Invesco Real Estate S&P US Select Sector UCITS ETF GBP		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.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%
CSJP.L
iShares MSCI Japan 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%
ERNS.L
iShares £ Ultrashort Bond UCITS ETF		5.25%4.54%1.14%0.28%0.75%1.04%0.74%0.52%0.81%0.72%0.55%0.06%
SGLN.L
iShares Physical Gold ETC		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.

-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.21%
-0.29%
tester New Final 2.76
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the tester New Final 2.76. 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 tester New Final 2.76 was 7.68%, occurring on Oct 27, 2023. Recovery took 16 trading sessions.

The current tester New Final 2.76 drawdown is 1.21%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-7.68%Jul 26, 202367Oct 27, 202316Nov 20, 202383
-6.81%Jul 17, 202414Aug 5, 202412Aug 21, 202426
-6.21%Feb 3, 202329Mar 15, 202317Apr 11, 202346
-4.67%Mar 22, 202419Apr 19, 202417May 15, 202436
-4.27%Dec 2, 202222Jan 5, 20238Jan 17, 202330

Volatility

Volatility Chart

The current tester New Final 2.76 volatility is 2.33%, 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%JuneJulyAugustSeptemberOctoberNovember
2.33%
3.86%
tester New Final 2.76
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.
SGLN.LFRIN.LXREP.LERNS.LCSJP.LMVUS.LXDEM.LXDEQ.L
SGLN.L1.000.270.210.480.330.200.190.20
FRIN.L0.271.000.320.360.450.430.430.45
XREP.L0.210.321.000.350.380.630.390.54
ERNS.L0.480.360.351.000.480.390.420.45
CSJP.L0.330.450.380.481.000.450.610.61
MVUS.L0.200.430.630.390.451.000.710.80
XDEM.L0.190.430.390.420.610.711.000.86
XDEQ.L0.200.450.540.450.610.800.861.00
The correlation results are calculated based on daily price changes starting from Oct 18, 2022