Portfolio 01B (4 ETF EU) (80/10/6/4)
IWDA + EMIM + SC Value
Asset Allocation
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Portfolio 01B (4 ETF EU) (80/10/6/4), 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
The earliest data available for this chart is Feb 25, 2015, corresponding to the inception date of ZPRX.DE
Returns By Period
| Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 19.79% | 2.08% | 9.01% | 29.79% | 13.85% | 11.12% |
| Portfolio 01B (4 ETF EU) (80/10/6/4) | 16.83% | 2.27% | 8.21% | 26.08% | 11.73% | N/A |
| Portfolio components: | ||||||
IWDA.AS iShares Core MSCI World UCITS ETF USD (Acc) | 18.58% | 2.29% | 8.39% | 27.60% | 12.43% | 11.28% |
EMIM.L iShares Core MSCI Emerging Markets IMI UCITS ETF (Acc) | 10.03% | 0.00% | 5.79% | 16.40% | 4.83% | 5.47% |
ZPRV.DE SPDR MSCI USA Small Cap Value Weighted UCITS ETF | 9.37% | 4.98% | 8.49% | 24.72% | 13.50% | N/A |
ZPRX.DE SPDR MSCI Europe Small Cap Value Weighted UCITS ETF | 9.13% | 3.28% | 9.39% | 20.53% | 8.16% | N/A |
Monthly Returns
The table below presents the monthly returns of Portfolio 01B (4 ETF EU) (80/10/6/4), with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | 0.74% | 3.24% | 3.61% | -2.82% | 2.88% | 3.00% | 2.01% | 1.33% | 16.83% | ||||
| 2023 | 7.19% | -2.34% | 1.82% | 1.61% | -1.18% | 6.06% | 3.68% | -2.48% | -3.99% | -3.70% | 8.94% | 5.59% | 22.06% |
| 2022 | -5.55% | -1.92% | 2.52% | -6.82% | -1.32% | -8.68% | 6.72% | -3.27% | -8.40% | 4.91% | 6.66% | -2.94% | -18.11% |
| 2021 | 0.69% | 3.01% | 2.97% | 4.24% | 1.64% | 1.08% | 1.13% | 2.28% | -3.56% | 4.38% | -1.71% | 3.71% | 21.42% |
| 2020 | -1.17% | -8.94% | -12.69% | 9.11% | 3.55% | 3.58% | 4.66% | 7.17% | -3.14% | -2.43% | 13.06% | 4.91% | 15.61% |
| 2019 | 7.68% | 2.98% | 0.78% | 3.49% | -5.71% | 5.74% | 0.53% | -2.97% | 2.63% | 2.44% | 2.88% | 3.25% | 25.59% |
| 2018 | 5.10% | -3.89% | -2.40% | 1.79% | -0.01% | -0.21% | 2.38% | 0.61% | 0.47% | -7.68% | 0.71% | -6.55% | -9.95% |
| 2017 | 2.23% | 2.67% | 1.40% | 1.70% | 1.80% | 0.75% | 3.04% | -0.09% | 2.13% | 2.01% | 1.76% | 1.89% | 23.46% |
| 2016 | -7.83% | 0.83% | 6.84% | 1.13% | 0.53% | -1.42% | 5.02% | 0.46% | 0.83% | -1.72% | 1.49% | 1.90% | 7.59% |
| 2015 | -0.31% | -1.27% | 3.30% | -0.72% | -2.38% | 0.60% | -6.60% | -3.54% | 7.41% | -0.33% | -1.10% | -5.44% |
Expense Ratio
Portfolio 01B (4 ETF EU) (80/10/6/4) has an expense ratio of 0.21%, 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.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current risk-adjusted rank of Portfolio 01B (4 ETF EU) (80/10/6/4) is 78, placing it in the top 22% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.
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.
| Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|
IWDA.AS iShares Core MSCI World UCITS ETF USD (Acc) | 2.77 | 3.88 | 1.51 | 2.44 | 16.78 |
EMIM.L iShares Core MSCI Emerging Markets IMI UCITS ETF (Acc) | 1.34 | 2.02 | 1.24 | 0.65 | 7.28 |
ZPRV.DE SPDR MSCI USA Small Cap Value Weighted UCITS ETF | 1.43 | 2.18 | 1.27 | 1.78 | 7.48 |
ZPRX.DE SPDR MSCI Europe Small Cap Value Weighted UCITS ETF | 1.47 | 2.13 | 1.25 | 1.02 | 6.82 |
Dividends
Dividend yield
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.
Worst Drawdowns
The table below displays the maximum drawdowns of the Portfolio 01B (4 ETF EU) (80/10/6/4). 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 Portfolio 01B (4 ETF EU) (80/10/6/4) was 34.97%, occurring on Mar 23, 2020. Recovery took 111 trading sessions.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -34.97% | Feb 18, 2020 | 25 | Mar 23, 2020 | 111 | Aug 27, 2020 | 136 |
| -26.06% | Nov 9, 2021 | 239 | Oct 12, 2022 | 309 | Dec 27, 2023 | 548 |
| -20.36% | May 22, 2015 | 188 | Feb 11, 2016 | 231 | Jan 4, 2017 | 419 |
| -18.54% | Jan 29, 2018 | 234 | Dec 24, 2018 | 215 | Oct 28, 2019 | 449 |
| -7.66% | Jul 17, 2024 | 14 | Aug 5, 2024 | 14 | Aug 23, 2024 | 28 |
Volatility
Volatility Chart
The current Portfolio 01B (4 ETF EU) (80/10/6/4) volatility is 4.30%, 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.
Diversification
Asset Correlations Table
| EMIM.L | ZPRV.DE | ZPRX.DE | IWDA.AS | |
|---|---|---|---|---|
| EMIM.L | 1.00 | 0.48 | 0.58 | 0.71 |
| ZPRV.DE | 0.48 | 1.00 | 0.65 | 0.70 |
| ZPRX.DE | 0.58 | 0.65 | 1.00 | 0.73 |
| IWDA.AS | 0.71 | 0.70 | 0.73 | 1.00 |