Regional + Factors2
Asset Allocation
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Regional + Factors2, 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 20, 2015, corresponding to the inception date of USSC.L
Returns By Period
Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
---|---|---|---|---|---|---|
S&P 500 | 19.55% | 1.45% | 8.95% | 31.70% | 13.79% | 11.17% |
Regional + Factors2 | 16.81% | 1.71% | 8.00% | 30.57% | 14.19% | N/A |
Portfolio components: | ||||||
Xtrackers MSCI World Momentum Factor UCITS ETF 1C | 28.34% | 1.01% | 5.75% | 42.45% | 12.54% | N/A |
iShares Core MSCI Emerging Markets IMI UCITS ETF (Acc) | 10.98% | 1.44% | 8.27% | 18.38% | 5.05% | 5.53% |
iShares FTSE 100 UCITS ETF | 14.44% | 1.28% | 11.28% | 20.46% | 7.27% | 5.96% |
NASDAQ 100 | 17.62% | 1.54% | 7.92% | 34.63% | 19.94% | 17.23% |
S&P 500 | 19.55% | 2.37% | 8.95% | 32.00% | 13.46% | 11.17% |
iShares MSCI Europe ex-UK UCITS | 9.55% | -0.22% | 3.95% | 21.98% | 8.69% | 8.13% |
SPDR MSCI USA Small Cap Value Weighted UCITS ETF | 8.20% | 3.63% | 8.70% | 26.79% | 13.44% | N/A |
Monthly Returns
The table below presents the monthly returns of Regional + Factors2, 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 | 0.66% | 4.34% | 3.05% | -3.31% | 4.56% | 3.04% | 1.23% | 1.47% | 16.81% | ||||
2023 | 7.70% | -1.93% | 3.74% | 1.44% | 0.40% | 6.33% | 3.89% | -2.46% | -4.48% | -3.03% | 9.42% | 5.85% | 29.00% |
2022 | -6.09% | -2.49% | 2.57% | -9.12% | -0.59% | -8.76% | 8.16% | -4.04% | -9.39% | 5.92% | 7.14% | -4.84% | -21.37% |
2021 | 0.60% | 1.86% | 2.68% | 5.09% | 0.78% | 2.18% | 1.21% | 2.84% | -4.27% | 5.89% | -1.26% | 3.19% | 22.40% |
2020 | -0.45% | -7.84% | -12.32% | 11.82% | 4.59% | 4.59% | 5.60% | 7.83% | -4.34% | -2.46% | 12.73% | 5.29% | 24.09% |
2019 | 8.19% | 3.01% | 1.85% | 4.00% | -6.87% | 6.73% | 0.85% | -2.82% | 1.91% | 3.00% | 3.02% | 3.84% | 29.13% |
2018 | 6.20% | -3.28% | -2.60% | 1.12% | 2.17% | 0.17% | 2.67% | 2.21% | 0.12% | -8.20% | 0.56% | -7.72% | -7.33% |
2017 | 3.00% | 3.03% | 1.65% | 1.98% | 2.34% | -0.28% | 3.02% | 0.70% | 1.68% | 2.86% | 1.86% | 1.28% | 25.66% |
2016 | -6.36% | -0.63% | 7.30% | -0.04% | 1.29% | -1.35% | 5.11% | 0.70% | 1.01% | -2.01% | 1.43% | 2.17% | 8.25% |
2015 | 0.24% | -1.83% | 2.34% | 0.57% | -2.39% | 1.69% | -6.65% | -3.31% | 8.55% | -0.08% | -2.48% | -4.02% |
Expense Ratio
Regional + Factors2 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.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of Regional + Factors2 is 67, 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.
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 | |
---|---|---|---|---|---|
Xtrackers MSCI World Momentum Factor UCITS ETF 1C | 2.47 | 3.19 | 1.45 | 1.88 | 12.59 |
iShares Core MSCI Emerging Markets IMI UCITS ETF (Acc) | 1.42 | 2.13 | 1.25 | 0.68 | 7.66 |
iShares FTSE 100 UCITS ETF | 1.72 | 2.57 | 1.31 | 2.19 | 10.68 |
NASDAQ 100 | 1.94 | 2.58 | 1.35 | 2.33 | 9.13 |
S&P 500 | 2.61 | 3.50 | 1.48 | 2.30 | 15.91 |
iShares MSCI Europe ex-UK UCITS | 1.85 | 2.68 | 1.32 | 1.50 | 9.62 |
SPDR MSCI USA Small Cap Value Weighted UCITS ETF | 1.27 | 1.99 | 1.24 | 1.64 | 6.67 |
Dividends
Dividend yield
Regional + Factors2 granted a 0.23% dividend yield in the last twelve months.
TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|
Regional + Factors2 | 0.23% | 0.23% | 0.23% | 0.17% | 0.14% | 0.24% | 0.26% | 0.22% | 0.22% | 0.21% | 0.28% | 0.21% |
Portfolio components: | ||||||||||||
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% |
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% |
iShares FTSE 100 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% |
NASDAQ 100 | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
S&P 500 | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
iShares MSCI Europe ex-UK UCITS | 2.30% | 2.33% | 2.25% | 1.65% | 1.44% | 2.42% | 2.60% | 2.23% | 2.17% | 2.11% | 2.13% | 2.14% |
SPDR MSCI USA Small Cap Value Weighted 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% |
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 Regional + Factors2. 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 Regional + Factors2 was 32.91%, occurring on Mar 23, 2020. Recovery took 93 trading sessions.
The current Regional + Factors2 drawdown is 0.42%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
---|---|---|---|---|---|---|
-32.91% | Feb 20, 2020 | 23 | Mar 23, 2020 | 93 | Aug 3, 2020 | 116 |
-28.35% | Nov 9, 2021 | 240 | Oct 11, 2022 | 306 | Dec 19, 2023 | 546 |
-19.43% | Aug 30, 2018 | 83 | Dec 24, 2018 | 87 | Apr 29, 2019 | 170 |
-18.35% | May 22, 2015 | 187 | Feb 11, 2016 | 212 | Dec 7, 2016 | 399 |
-9.36% | Jan 29, 2018 | 9 | Feb 8, 2018 | 139 | Aug 24, 2018 | 148 |
Volatility
Volatility Chart
The current Regional + Factors2 volatility is 4.56%, 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
^NDX | USSC.L | ^GSPC | EMIM.L | CUKX.L | XDEM.L | IEUX.L | |
---|---|---|---|---|---|---|---|
^NDX | 1.00 | 0.31 | 0.90 | 0.49 | 0.37 | 0.52 | 0.45 |
USSC.L | 0.31 | 1.00 | 0.45 | 0.55 | 0.63 | 0.60 | 0.63 |
^GSPC | 0.90 | 0.45 | 1.00 | 0.52 | 0.48 | 0.55 | 0.53 |
EMIM.L | 0.49 | 0.55 | 0.52 | 1.00 | 0.70 | 0.71 | 0.72 |
CUKX.L | 0.37 | 0.63 | 0.48 | 0.70 | 1.00 | 0.71 | 0.84 |
XDEM.L | 0.52 | 0.60 | 0.55 | 0.71 | 0.71 | 1.00 | 0.78 |
IEUX.L | 0.45 | 0.63 | 0.53 | 0.72 | 0.84 | 0.78 | 1.00 |