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Candidate portfolio
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Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Candidate portfolio

Last updated Aug 27, 2024

Asset Allocation

CE01.L 20%CE31.L 10%CMOP.L 5%GLDW.L 5%SWDA.L 45%QQQM 10%XCX6.L 5%BondBondCommodityCommodityEquityEquity
PositionCategory/SectorWeight
CE01.L
iShares Euro Government Bond 7-10yr UCITS ETF (Acc)		European Government Bonds
20%
CE31.L
iShares Euro Government Bond 1-3yr UCITS ETF (Acc)		European Government Bonds
10%
CMOP.L
Invesco Bloomberg Commodity UCITS ETF Acc		Commodities
5%
GLDW.L
WisdomTree Core Physical Gold		Precious Metals
5%
QQQM
Invesco NASDAQ 100 ETF		Large Cap Growth Equities
10%
SWDA.L
iShares Core MSCI World UCITS ETF USD (Acc)		Global Equities
45%
XCX6.L
Xtrackers MSCI China UCITS ETF 1C		China Equities
5%

S&P 500

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Candidate portfolio, 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

10.00%20.00%30.00%40.00%MarchAprilMayJuneJulyAugust
15.57%
41.52%
Candidate portfolio
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Mar 15, 2021, corresponding to the inception date of GLDW.L

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		17.76%2.89%10.80%27.49%14.28%10.89%
Candidate portfolio10.12%2.86%8.40%18.80%N/AN/A
Portfolio components:
SWDA.L
iShares Core MSCI World UCITS ETF USD (Acc)		15.15%2.75%9.68%26.50%11.69%12.17%
XCX6.L
Xtrackers MSCI China UCITS ETF 1C		4.37%2.20%5.48%-0.66%-5.04%2.38%
CE01.L
iShares Euro Government Bond 7-10yr UCITS ETF (Acc)		1.01%3.74%5.74%9.75%-4.40%1.20%
CE31.L
iShares Euro Government Bond 1-3yr UCITS ETF (Acc)		1.93%2.68%4.50%6.88%-1.50%0.75%
CMOP.L
Invesco Bloomberg Commodity UCITS ETF Acc		-0.41%-0.15%1.32%-4.61%4.92%N/A
GLDW.L
WisdomTree Core Physical Gold		20.66%4.42%22.58%30.61%N/AN/A
QQQM
Invesco NASDAQ 100 ETF		16.49%2.67%8.97%30.57%N/AN/A

Monthly Returns

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

JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-0.58%1.96%2.63%-1.42%2.35%1.82%1.23%10.12%
20235.72%-3.79%4.55%1.41%-1.02%4.00%3.08%-1.92%-4.17%-1.29%6.71%4.49%18.37%
2022-3.96%-1.11%1.04%-7.09%-0.78%-5.94%4.16%-4.01%-7.40%1.92%7.40%-2.21%-17.52%
2021-0.72%3.78%1.63%0.19%1.09%1.07%-3.20%3.07%-1.19%1.75%7.50%

Expense Ratio

Candidate portfolio has an expense ratio of 0.20%, 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.

XCX6.L
Xtrackers MSCI China UCITS ETF 1C
Expense ratio chart for XCX6.L: current value at 0.65% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.65%
SWDA.L
iShares Core MSCI World UCITS ETF USD (Acc)
Expense ratio chart for SWDA.L: 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%
CMOP.L
Invesco Bloomberg Commodity UCITS ETF Acc
Expense ratio chart for CMOP.L: current value at 0.19% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.19%
CE01.L
iShares Euro Government Bond 7-10yr UCITS ETF (Acc)
Expense ratio chart for CE01.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%
CE31.L
iShares Euro Government Bond 1-3yr UCITS ETF (Acc)
Expense ratio chart for CE31.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%
QQQM
Invesco NASDAQ 100 ETF
Expense ratio chart for QQQM: 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%
GLDW.L
WisdomTree Core Physical Gold
Expense ratio chart for GLDW.L: current value at 0.12% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.12%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Candidate portfolio is 32, 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 Candidate portfolio is 3232
Candidate portfolio
The Sharpe Ratio Rank of Candidate portfolio is 3131Sharpe Ratio Rank
The Sortino Ratio Rank of Candidate portfolio is 4343Sortino Ratio Rank
The Omega Ratio Rank of Candidate portfolio is 3535Omega Ratio Rank
The Calmar Ratio Rank of Candidate portfolio is 2121Calmar Ratio Rank
The Martin Ratio Rank of Candidate portfolio is 3030Martin 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.

Candidate portfolio
Sharpe ratio
The chart of Sharpe ratio for Candidate portfolio, currently valued at 1.83, compared to the broader market-1.000.001.002.003.004.001.83
Sortino ratio
The chart of Sortino ratio for Candidate portfolio, currently valued at 2.76, compared to the broader market-2.000.002.004.002.76
Omega ratio
The chart of Omega ratio for Candidate portfolio, 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 Candidate portfolio, currently valued at 1.16, compared to the broader market0.002.004.006.008.001.16
Martin ratio
The chart of Martin ratio for Candidate portfolio, currently valued at 7.84, compared to the broader market0.005.0010.0015.0020.0025.0030.007.84
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.28, compared to the broader market-1.000.001.002.003.004.002.28
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.09, compared to the broader market-2.000.002.004.003.09
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.41, compared to the broader market0.801.001.201.401.601.801.41
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 2.00, compared to the broader market0.002.004.006.008.002.00
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 10.55, compared to the broader market0.005.0010.0015.0020.0025.0030.0010.55
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
SWDA.L
iShares Core MSCI World UCITS ETF USD (Acc)		1.952.761.361.778.47
XCX6.L
Xtrackers MSCI China UCITS ETF 1C		-0.24-0.200.98-0.10-0.54
CE01.L
iShares Euro Government Bond 7-10yr UCITS ETF (Acc)		0.941.411.170.302.14
CE31.L
iShares Euro Government Bond 1-3yr UCITS ETF (Acc)		0.981.481.180.382.96
CMOP.L
Invesco Bloomberg Commodity UCITS ETF Acc		-0.48-0.600.93-0.22-0.99
GLDW.L
WisdomTree Core Physical Gold		2.012.801.362.4411.18
QQQM
Invesco NASDAQ 100 ETF		1.572.151.281.957.47

Sharpe Ratio

The current Candidate portfolio Sharpe ratio is 1.83. 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 1.79 to 2.40, 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 Candidate portfolio 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 Ratio1.502.002.503.00MarchAprilMayJuneJulyAugust
1.83
2.28
Candidate portfolio
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Candidate portfolio granted a 0.07% dividend yield in the last twelve months.

TTM2023202220212020
Candidate portfolio0.07%0.07%0.08%0.04%0.02%
Portfolio components:
SWDA.L
iShares Core MSCI World UCITS ETF USD (Acc)		0.00%0.00%0.00%0.00%0.00%
XCX6.L
Xtrackers MSCI China UCITS ETF 1C		0.00%0.00%0.00%0.00%0.00%
CE01.L
iShares Euro Government Bond 7-10yr UCITS ETF (Acc)		0.00%0.00%0.00%0.00%0.00%
CE31.L
iShares Euro Government Bond 1-3yr UCITS ETF (Acc)		0.00%0.00%0.00%0.00%0.00%
CMOP.L
Invesco Bloomberg Commodity UCITS ETF Acc		0.00%0.00%0.00%0.00%0.00%
GLDW.L
WisdomTree Core Physical Gold		0.00%0.00%0.00%0.00%0.00%
QQQM
Invesco NASDAQ 100 ETF		0.66%0.65%0.83%0.40%0.16%

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%MarchAprilMayJuneJulyAugust
-0.21%
-0.89%
Candidate portfolio
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Candidate portfolio. 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 Candidate portfolio was 26.02%, occurring on Oct 11, 2022. Recovery took 364 trading sessions.

The current Candidate portfolio drawdown is 0.21%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-26.02%Nov 9, 2021240Oct 11, 2022364Mar 12, 2024604
-4.94%Jul 17, 202414Aug 5, 202412Aug 21, 202426
-4.82%Sep 7, 202120Oct 4, 202124Nov 5, 202144
-3.76%Mar 22, 202420Apr 19, 202418May 15, 202438
-2.45%May 10, 20213May 12, 20219May 25, 202112

Volatility

Volatility Chart

The current Candidate portfolio volatility is 3.03%, 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.

1.00%2.00%3.00%4.00%5.00%6.00%MarchAprilMayJuneJulyAugust
3.03%
5.88%
Candidate portfolio
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.
CMOP.LQQQMXCX6.LGLDW.LCE01.LSWDA.LCE31.L
CMOP.L1.000.150.270.440.190.320.31
QQQM0.151.000.330.110.300.600.31
XCX6.L0.270.331.000.190.200.490.31
GLDW.L0.440.110.191.000.500.220.47
CE01.L0.190.300.200.501.000.390.79
SWDA.L0.320.600.490.220.391.000.49
CE31.L0.310.310.310.470.790.491.00
The correlation results are calculated based on daily price changes starting from Mar 16, 2021