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ETF World
Performance
Risk-Adjusted Performance
Dividends
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ETF World

Last updated Jul 22, 2024

Asset Allocation

VUAG.L 55%MEUD.L 23%EMIM.L 12%XDJP.DE 6%CPXJ.AS 4%EquityEquity
PositionCategory/SectorWeight
CPXJ.AS
iShares Core MSCI Pacific ex Japan UCITS ETF		Asia Pacific Equities

4%

EMIM.L
iShares Core MSCI Emerging Markets IMI UCITS ETF (Acc)		Emerging Markets Equities

12%

MEUD.L
Lyxor Core STOXX Europe 600 (DR) - UCITS ETF Acc		Europe Equities

23%

VUAG.L
Vanguard S&P 500 UCITS ETF (USD) Accumulating		Large Cap Blend Equities

55%

XDJP.DE
Xtrackers Nikkei 225 UCITS ETF 1D		Japan Equities

6%

S&P 500

Performance

Performance Chart

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

50.00%60.00%70.00%80.00%90.00%100.00%FebruaryMarchAprilMayJuneJuly
74.05%
93.15%
ETF World
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is May 16, 2019, corresponding to the inception date of VUAG.L

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		16.48%1.67%14.21%21.98%13.13%10.91%
ETF World12.16%1.22%12.58%16.92%10.69%N/A
Portfolio components:
VUAG.L
Vanguard S&P 500 UCITS ETF (USD) Accumulating		16.10%0.83%14.24%22.55%14.18%N/A
EMIM.L
iShares Core MSCI Emerging Markets IMI UCITS ETF (Acc)		8.34%0.41%12.95%9.42%4.07%5.59%
MEUD.L
Lyxor Core STOXX Europe 600 (DR) - UCITS ETF Acc		7.49%1.67%11.51%11.40%7.88%7.78%
CPXJ.AS
iShares Core MSCI Pacific ex Japan UCITS ETF		3.21%2.03%8.41%5.91%2.44%5.11%
XDJP.DE
Xtrackers Nikkei 225 UCITS ETF 1D		7.01%4.46%2.79%9.08%6.08%8.99%

Monthly Returns

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

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20240.55%3.57%3.34%-2.39%2.62%3.19%12.16%
20236.32%-2.98%3.16%2.11%-1.02%5.57%3.36%-2.69%-4.14%-3.46%8.91%5.47%21.40%
2022-5.61%-2.08%2.38%-6.91%-1.13%-8.33%6.23%-3.31%-8.34%4.36%7.85%-2.23%-17.26%
2021-0.23%2.38%2.79%4.26%1.78%0.85%0.88%2.31%-3.52%4.30%-1.83%4.24%19.42%
2020-1.59%-8.84%-11.75%9.12%3.78%3.78%4.62%6.78%-3.07%-2.99%12.15%5.06%15.18%
2019-3.27%5.89%0.59%-3.03%2.68%2.73%2.73%3.75%12.32%

Expense Ratio

ETF World 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.

CPXJ.AS
iShares Core MSCI Pacific ex Japan UCITS ETF
Expense ratio chart for CPXJ.AS: 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%
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%
MEUD.L
Lyxor Core STOXX Europe 600 (DR) - UCITS ETF Acc
Expense ratio chart for MEUD.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%
XDJP.DE
Xtrackers Nikkei 225 UCITS ETF 1D
Expense ratio chart for XDJP.DE: 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%
VUAG.L
Vanguard S&P 500 UCITS ETF (USD) Accumulating
Expense ratio chart for VUAG.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%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of ETF World is 26, 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 ETF World is 2626
ETF World
The Sharpe Ratio Rank of ETF World is 1313Sharpe Ratio Rank
The Sortino Ratio Rank of ETF World is 1414Sortino Ratio Rank
The Omega Ratio Rank of ETF World is 3838Omega Ratio Rank
The Calmar Ratio Rank of ETF World is 4343Calmar Ratio Rank
The Martin Ratio Rank of ETF World is 2020Martin 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.

ETF World
Sharpe ratio
The chart of Sharpe ratio for ETF World, currently valued at 0.78, compared to the broader market-1.000.001.002.003.004.000.78
Sortino ratio
The chart of Sortino ratio for ETF World, currently valued at 1.28, compared to the broader market-2.000.002.004.006.001.28
Omega ratio
The chart of Omega ratio for ETF World, currently valued at 1.24, compared to the broader market0.801.001.201.401.601.801.24
Calmar ratio
The chart of Calmar ratio for ETF World, currently valued at 1.20, compared to the broader market0.002.004.006.008.0010.001.20
Martin ratio
The chart of Martin ratio for ETF World, currently valued at 3.09, compared to the broader market0.0010.0020.0030.0040.003.09
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.99, compared to the broader market-1.000.001.002.003.004.001.99
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.81, compared to the broader market-2.000.002.004.006.002.81
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.35, compared to the broader market0.801.001.201.401.601.801.35
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.59, compared to the broader market0.002.004.006.008.0010.001.59
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 7.44, compared to the broader market0.0010.0020.0030.0040.007.44
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
VUAG.L
Vanguard S&P 500 UCITS ETF (USD) Accumulating		0.661.221.321.142.43
EMIM.L
iShares Core MSCI Emerging Markets IMI UCITS ETF (Acc)		0.510.861.100.241.46
MEUD.L
Lyxor Core STOXX Europe 600 (DR) - UCITS ETF Acc		0.811.281.150.732.44
CPXJ.AS
iShares Core MSCI Pacific ex Japan UCITS ETF		0.320.551.060.230.81
XDJP.DE
Xtrackers Nikkei 225 UCITS ETF 1D		0.470.781.090.271.14

Sharpe Ratio

The current ETF World Sharpe ratio is 0.81. 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 1.33 to 2.10, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests that it may not be performing as well in terms of risk-adjusted returns compared to many other portfolios. The lower performance could be due to either lower returns, higher volatility, or a combination of both. This might indicate that the portfolio requires some fine-tuning. You can use the Portfolio Optimization tool to find an allocation that maximizes the Sharpe ratio.

Use the chart below to compare the Sharpe ratio of ETF World 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 Ratio1.001.502.002.503.00FebruaryMarchAprilMayJuneJuly
0.78
1.99
ETF World
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

ETF World granted a 0.00% dividend yield in the last twelve months.

TTM20232022202120202019201820172016201520142013
ETF World0.00%0.05%0.16%0.07%0.07%0.07%0.08%0.05%0.05%0.01%0.08%0.03%
Portfolio components:
VUAG.L
Vanguard S&P 500 UCITS ETF (USD) Accumulating		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%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%
MEUD.L
Lyxor Core STOXX Europe 600 (DR) - 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%
CPXJ.AS
iShares Core MSCI Pacific ex Japan 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%
XDJP.DE
Xtrackers Nikkei 225 UCITS ETF 1D		0.00%0.79%2.60%1.16%1.14%1.11%1.28%0.75%0.89%0.16%1.40%0.43%

Drawdowns

Drawdowns Chart

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

-6.00%-5.00%-4.00%-3.00%-2.00%-1.00%0.00%FebruaryMarchAprilMayJuneJuly
-2.47%
-1.97%
ETF World
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the ETF World. 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 World was 33.52%, occurring on Mar 23, 2020. Recovery took 109 trading sessions.

The current ETF World drawdown is 2.63%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-33.52%Feb 18, 202025Mar 23, 2020109Aug 25, 2020134
-26.84%Jan 6, 2022197Oct 11, 2022283Nov 16, 2023480
-11.14%Nov 17, 20231Nov 17, 202376Mar 7, 202477
-7.1%Sep 3, 202042Oct 30, 20204Nov 5, 202046
-6.74%Jul 5, 201930Aug 15, 201921Sep 13, 201951

Volatility

Volatility Chart

The current ETF World volatility is 2.30%, 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%FebruaryMarchAprilMayJuneJuly
2.30%
2.94%
ETF World
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.
XDJP.DEVUAG.LEMIM.LCPXJ.ASMEUD.L
XDJP.DE1.000.650.640.710.68
VUAG.L0.651.000.650.670.78
EMIM.L0.640.651.000.780.71
CPXJ.AS0.710.670.781.000.77
MEUD.L0.680.780.710.771.00
The correlation results are calculated based on daily price changes starting from May 17, 2019