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Vwce+euna 90/10
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


VWCE.DE 90%EUNA.AS 10%EquityEquity
PositionCategory/SectorWeight
EUNA.AS
iShares STOXX Europe 50 UCITS ETF
Europe Equities
10%
VWCE.DE
Vanguard FTSE All-World UCITS ETF
Global Equities
90%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Vwce+euna 90/10, 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


60.00%70.00%80.00%90.00%100.00%JulyAugustSeptemberOctoberNovemberDecember
71.11%
97.96%
Vwce+euna 90/10
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jul 25, 2019, corresponding to the inception date of VWCE.DE

Returns By Period


YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500
24.66%0.49%8.64%26.56%13.06%11.10%
Vwce+euna 90/1015.87%-0.08%4.58%16.89%9.51%N/A
VWCE.DE
Vanguard FTSE All-World UCITS ETF
17.48%-0.10%5.83%18.58%9.88%N/A
EUNA.AS
iShares STOXX Europe 50 UCITS ETF
1.79%0.14%-6.54%2.22%5.91%6.75%
*Annualized

Monthly Returns

The table below presents the monthly returns of Vwce+euna 90/10, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20240.82%3.38%3.46%-2.69%2.93%3.10%1.30%1.87%2.17%-1.84%3.04%15.87%
20236.61%-2.48%2.87%1.95%-1.23%5.55%3.24%-2.41%-3.88%-3.38%8.71%5.14%21.56%
2022-5.11%-2.25%2.36%-6.62%-1.23%-8.16%6.09%-3.30%-8.35%4.68%7.45%-2.63%-17.18%
2021-0.43%2.28%2.83%4.04%1.85%1.01%0.94%2.27%-3.81%4.39%-1.96%3.95%18.40%
2020-1.59%-8.88%-11.13%8.20%3.44%3.74%4.40%6.60%-2.82%-3.01%11.96%5.18%14.28%
2019-0.68%-2.49%2.49%2.45%2.68%3.85%8.43%

Expense Ratio

Vwce+euna 90/10 has an expense ratio of 0.23%, 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.


Expense ratio chart for EUNA.AS: current value at 0.35% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.35%
Expense ratio chart for VWCE.DE: current value at 0.22% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.22%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Vwce+euna 90/10 is 51, indicating average performance compared to other portfolios on our website. Here’s a breakdown of how it compares using common performance measures.


The Risk-Adjusted Performance Rank of Vwce+euna 90/10 is 5151
Overall Rank
The Sharpe Ratio Rank of Vwce+euna 90/10 is 5151
Sharpe Ratio Rank
The Sortino Ratio Rank of Vwce+euna 90/10 is 5454
Sortino Ratio Rank
The Omega Ratio Rank of Vwce+euna 90/10 is 5151
Omega Ratio Rank
The Calmar Ratio Rank of Vwce+euna 90/10 is 4545
Calmar Ratio Rank
The Martin Ratio Rank of Vwce+euna 90/10 is 5353
Martin 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.


Sharpe ratio
The chart of Sharpe ratio for Vwce+euna 90/10, currently valued at 1.48, compared to the broader market-6.00-4.00-2.000.002.004.001.482.12
The chart of Sortino ratio for Vwce+euna 90/10, currently valued at 2.11, compared to the broader market-6.00-4.00-2.000.002.004.006.002.112.83
The chart of Omega ratio for Vwce+euna 90/10, currently valued at 1.27, compared to the broader market0.400.600.801.001.201.401.601.801.271.39
The chart of Calmar ratio for Vwce+euna 90/10, currently valued at 2.08, compared to the broader market0.002.004.006.008.0010.0012.002.083.13
The chart of Martin ratio for Vwce+euna 90/10, currently valued at 9.03, compared to the broader market0.0010.0020.0030.0040.0050.009.0313.67
Vwce+euna 90/10
^GSPC

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
VWCE.DE
Vanguard FTSE All-World UCITS ETF
1.622.291.302.279.98
EUNA.AS
iShares STOXX Europe 50 UCITS ETF
0.140.281.030.150.41

The current Vwce+euna 90/10 Sharpe ratio is 1.71. 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 1.26 to 2.06, 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 Vwce+euna 90/10 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 Ratio1.001.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
1.48
2.12
Vwce+euna 90/10
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Vwce+euna 90/10 provided a 0.27% dividend yield over the last twelve months.


TTM20232022202120202019201820172016201520142013
Portfolio0.27%0.26%0.26%0.22%0.24%0.30%0.35%0.32%0.33%0.30%0.28%0.27%
VWCE.DE
Vanguard FTSE All-World 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%
EUNA.AS
iShares STOXX Europe 50 UCITS ETF
2.67%2.56%2.62%2.22%2.42%2.96%3.51%3.24%3.29%3.05%2.80%2.74%

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%JulyAugustSeptemberOctoberNovemberDecember
-3.58%
-2.37%
Vwce+euna 90/10
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Vwce+euna 90/10. 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 Vwce+euna 90/10 was 33.79%, occurring on Mar 23, 2020. Recovery took 109 trading sessions.

The current Vwce+euna 90/10 drawdown is 2.35%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-33.79%Feb 20, 202023Mar 23, 2020109Aug 26, 2020132
-25.86%Jan 5, 2022199Oct 12, 2022309Dec 27, 2023508
-7.58%Jul 15, 202416Aug 5, 202414Aug 23, 202430
-7.03%Oct 13, 202014Oct 30, 20206Nov 9, 202020
-6.51%Sep 3, 202016Sep 24, 202012Oct 12, 202028

Volatility

Volatility Chart

The current Vwce+euna 90/10 volatility is 2.39%, 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%JulyAugustSeptemberOctoberNovemberDecember
2.39%
3.87%
Vwce+euna 90/10
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.

EUNA.ASVWCE.DE
EUNA.AS1.000.86
VWCE.DE0.861.00
The correlation results are calculated based on daily price changes starting from Jul 26, 2019
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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