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ETF World
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

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


0.00%5.00%10.00%15.00%20.00%NovemberDecember2024FebruaryMarchApril
17.71%
19.37%
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
6.30%-3.13%19.37%22.56%11.65%10.55%
ETF World3.76%-3.73%17.71%15.97%N/AN/A
VUAG.L
Vanguard S&P 500 UCITS ETF (USD) Accumulating
5.51%-4.33%19.28%23.00%N/AN/A
EMIM.L
iShares Core MSCI Emerging Markets IMI UCITS ETF (Acc)
0.41%-2.05%10.89%8.38%3.10%N/A
MEUD.L
Lyxor Core STOXX Europe 600 (DR) - UCITS ETF Acc
2.40%-2.20%18.67%7.05%8.23%7.70%
CPXJ.AS
iShares Core MSCI Pacific ex Japan UCITS ETF
-3.39%-1.76%10.16%-1.43%2.70%5.38%
XDJP.DE
Xtrackers Nikkei 225 UCITS ETF 1D
3.70%-8.56%17.70%14.48%6.38%9.98%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
20240.55%3.57%3.34%
2023-4.14%-3.46%8.91%5.47%

Expense Ratio

The ETF World features an expense ratio of 0.11%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


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%
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%
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%
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%
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 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 0.83, compared to the broader market-1.000.001.002.003.004.005.000.83
Sortino ratio
The chart of Sortino ratio for ETF World, currently valued at 1.34, compared to the broader market0.002.004.006.001.34
Omega ratio
The chart of Omega ratio for ETF World, currently valued at 1.25, compared to the broader market0.801.001.201.401.601.801.25
Calmar ratio
The chart of Calmar ratio for ETF World, currently valued at 1.28, compared to the broader market0.002.004.006.008.001.28
Martin ratio
The chart of Martin ratio for ETF World, currently valued at 3.31, compared to the broader market0.0010.0020.0030.0040.0050.003.31
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.92, compared to the broader market-1.000.001.002.003.004.005.001.92
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.78, compared to the broader market0.002.004.006.002.78
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.33, compared to the broader market0.801.001.201.401.601.801.33
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.47, compared to the broader market0.002.004.006.008.001.47
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 7.64, compared to the broader market0.0010.0020.0030.0040.0050.007.64

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
VUAG.L
Vanguard S&P 500 UCITS ETF (USD) Accumulating
0.741.321.351.262.80
EMIM.L
iShares Core MSCI Emerging Markets IMI UCITS ETF (Acc)
0.590.981.110.291.78
MEUD.L
Lyxor Core STOXX Europe 600 (DR) - UCITS ETF Acc
0.610.991.110.561.85
CPXJ.AS
iShares Core MSCI Pacific ex Japan UCITS ETF
-0.020.081.01-0.02-0.06
XDJP.DE
Xtrackers Nikkei 225 UCITS ETF 1D
0.911.381.170.552.30

Sharpe Ratio

The current ETF World Sharpe ratio is 0.83. A Sharpe ratio between 0 and 1.0 is considered sub-optimal.

-1.000.001.002.003.004.005.000.83

The Sharpe ratio of ETF World is in the bottom 25%, suggesting that this portfolio isn't performing as well in terms of risk-adjusted returns compared to many others. This could be due to lower returns, higher volatility, or both. It might be an indication that the portfolio needs fine-tuning.


Rolling 12-month Sharpe Ratio0.501.001.502.002.503.00NovemberDecember2024FebruaryMarchApril
0.83
1.92
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%
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.


-15.00%-10.00%-5.00%0.00%NovemberDecember2024FebruaryMarchApril
-4.72%
-3.50%
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 4.72%.


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 3.13%, 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.


0.00%5.00%10.00%15.00%NovemberDecember2024FebruaryMarchApril
3.13%
3.58%
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.DE1.000.650.640.710.70
VUAG.L0.651.000.650.680.79
EMIM.L0.640.651.000.780.72
CPXJ.AS0.710.680.781.000.78
MEUD.L0.700.790.720.781.00