Candidate portfolio
Asset Allocation
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
The earliest data available for this chart is Mar 15, 2021, corresponding to the inception date of GLDW.L
Returns By Period
Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
---|---|---|---|---|---|---|
S&P 500 | 22.29% | 1.65% | 15.83% | 39.98% | 13.99% | 11.23% |
Candidate portfolio | 13.35% | -0.57% | 11.09% | 26.44% | N/A | N/A |
Portfolio components: | ||||||
iShares Core MSCI World UCITS ETF USD (Acc) | 18.71% | 0.16% | 13.02% | 37.24% | 12.48% | 12.37% |
Xtrackers MSCI China UCITS ETF 1C | 25.01% | -0.25% | 20.54% | 22.39% | -1.28% | 4.16% |
iShares Euro Government Bond 7-10yr UCITS ETF (Acc) | -1.44% | -3.88% | 5.05% | 10.66% | -3.47% | 1.07% |
iShares Euro Government Bond 1-3yr UCITS ETF (Acc) | 0.11% | -2.95% | 4.14% | 6.10% | -0.68% | 0.78% |
Invesco Bloomberg Commodity UCITS ETF Acc | 3.43% | -1.19% | -0.84% | -1.34% | 6.47% | N/A |
WisdomTree Core Physical Gold | 34.06% | 4.61% | 20.61% | 38.12% | N/A | N/A |
Invesco NASDAQ 100 ETF | 22.73% | 2.74% | 18.19% | 44.31% | N/A | N/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.
Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2024 | -0.58% | 1.96% | 2.66% | -1.95% | 2.96% | 1.74% | 1.22% | 1.78% | 3.30% | 13.35% | |||
2023 | 5.71% | -3.78% | 4.55% | 1.41% | -1.01% | 3.99% | 3.08% | -1.92% | -4.16% | -1.30% | 6.71% | 4.49% | 18.37% |
2022 | -3.95% | -1.12% | 1.06% | -7.10% | -0.76% | -5.96% | 4.16% | -4.00% | -7.40% | 1.92% | 7.40% | -2.21% | -17.52% |
2021 | -0.71% | 3.77% | 1.63% | 0.19% | 1.09% | 1.07% | -3.20% | 3.07% | -1.18% | 1.73% | 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.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of Candidate portfolio is 43, 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 | |
---|---|---|---|---|---|
iShares Core MSCI World UCITS ETF USD (Acc) | 2.90 | 4.03 | 1.55 | 3.74 | 18.39 |
Xtrackers MSCI China UCITS ETF 1C | 0.70 | 1.20 | 1.14 | 0.35 | 1.95 |
iShares Euro Government Bond 7-10yr UCITS ETF (Acc) | 0.96 | 1.44 | 1.17 | 0.31 | 2.08 |
iShares Euro Government Bond 1-3yr UCITS ETF (Acc) | 0.83 | 1.27 | 1.16 | 0.34 | 2.27 |
Invesco Bloomberg Commodity UCITS ETF Acc | -0.11 | -0.07 | 0.99 | -0.05 | -0.23 |
WisdomTree Core Physical Gold | 2.99 | 3.90 | 1.51 | 6.86 | 18.55 |
Invesco NASDAQ 100 ETF | 2.16 | 2.85 | 1.39 | 2.69 | 9.85 |
Dividends
Dividend yield
Candidate portfolio provided a 0.07% dividend yield over the last twelve months.
TTM | 2023 | 2022 | 2021 | 2020 | |
---|---|---|---|---|---|
Candidate portfolio | 0.07% | 0.07% | 0.08% | 0.04% | 0.02% |
Portfolio components: | |||||
iShares Core MSCI World UCITS ETF USD (Acc) | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Xtrackers MSCI China UCITS ETF 1C | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
iShares Euro Government Bond 7-10yr UCITS ETF (Acc) | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
iShares Euro Government Bond 1-3yr UCITS ETF (Acc) | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Invesco Bloomberg Commodity UCITS ETF Acc | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
WisdomTree Core Physical Gold | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Invesco NASDAQ 100 ETF | 0.65% | 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.
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 26.01%, occurring on Oct 11, 2022. Recovery took 365 trading sessions.
The current Candidate portfolio drawdown is 0.57%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
---|---|---|---|---|---|---|
-26.01% | Nov 9, 2021 | 240 | Oct 11, 2022 | 365 | Mar 13, 2024 | 605 |
-4.82% | Sep 7, 2021 | 20 | Oct 4, 2021 | 24 | Nov 5, 2021 | 44 |
-4.65% | Jul 17, 2024 | 14 | Aug 5, 2024 | 10 | Aug 19, 2024 | 24 |
-3.38% | Apr 4, 2024 | 12 | Apr 19, 2024 | 14 | May 9, 2024 | 26 |
-2.81% | Aug 26, 2024 | 10 | Sep 6, 2024 | 9 | Sep 19, 2024 | 19 |
Volatility
Volatility Chart
The current Candidate portfolio volatility is 1.69%, 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
CMOP.L | XCX6.L | QQQM | GLDW.L | CE01.L | SWDA.L | CE31.L | |
---|---|---|---|---|---|---|---|
CMOP.L | 1.00 | 0.28 | 0.16 | 0.44 | 0.17 | 0.31 | 0.29 |
XCX6.L | 0.28 | 1.00 | 0.33 | 0.19 | 0.20 | 0.48 | 0.31 |
QQQM | 0.16 | 0.33 | 1.00 | 0.12 | 0.30 | 0.61 | 0.33 |
GLDW.L | 0.44 | 0.19 | 0.12 | 1.00 | 0.48 | 0.20 | 0.46 |
CE01.L | 0.17 | 0.20 | 0.30 | 0.48 | 1.00 | 0.37 | 0.79 |
SWDA.L | 0.31 | 0.48 | 0.61 | 0.20 | 0.37 | 1.00 | 0.46 |
CE31.L | 0.29 | 0.31 | 0.33 | 0.46 | 0.79 | 0.46 | 1.00 |