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euro etfs
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Risk-Adjusted Performance
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euro etfs

Last updated Nov 13, 2024

iShares Core EUR Govt Bond UCITS ETF (Dist EUR):

Ticker: EUNH.DE Allocation: 10%

VanEck Bitcoin ETN (Acc EUR):

Ticker: VBTC.DE Allocation: 10%

iShares NASDAQ 100 UCITS ETF USD (Acc, EUR):

Ticker: NQSE.DE Allocation: 35%

Vanguard FTSE All-World UCITS ETF (Acc EUR):

Ticker: VWCE.DE Allocation: 10%

iShares Developed Markets Property Yield UCITS ETF (Dist EUR):

Ticker: IQQ6.DE Allocation: 10%

iShares S&P 500 Industrials Sector UCITS (Acc EUR):

Ticker: 2B7C.DE Allocation: 25%

Asset Allocation

BTCE.DE 10%SXRV.DE 35%QDV5.DE 15%VVSM.DE 10%IS3R.DE 10%SXR8.DE 10%SPYE.DE 10%CryptocurrencyCryptocurrencyEquityEquity
PositionCategory/SectorWeight
BTCE.DE
ETC Group Physical Bitcoin		Blockchain
10%
IS3R.DE
iShares Edge MSCI World Momentum Factor UCITS ETF (Acc)		Global Equities
10%
QDV5.DE
iShares MSCI India UCITS ETF USD (Acc)		Asia Pacific Equities
15%
SPYE.DE
SPDR MSCI Europe UCITS ETF		Europe Equities
10%
SXR8.DE
iShares Core S&P 500 UCITS ETF USD (Acc)		Large Cap Blend Equities
10%
SXRV.DE
iShares NASDAQ 100 UCITS ETF USD (Acc)		Large Cap Growth Equities
35%
VVSM.DE
VanEck Semiconductor UCITS ETF		Technology Equities
10%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in euro etfs, 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

-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
11.23%
12.76%
euro etfs
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Dec 3, 2020, corresponding to the inception date of VVSM.DE

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		25.48%2.14%12.76%33.14%13.96%11.39%
euro etfs29.95%2.79%11.24%41.37%N/AN/A
Portfolio components:
VVSM.DE
VanEck Semiconductor UCITS ETF		23.75%-7.25%-0.22%38.61%N/AN/A
SXRV.DE
iShares NASDAQ 100 UCITS ETF USD (Acc)		25.00%3.25%13.73%33.34%21.70%19.90%
BTCE.DE
ETC Group Physical Bitcoin		111.77%39.53%40.80%148.83%N/AN/A
IS3R.DE
iShares Edge MSCI World Momentum Factor UCITS ETF (Acc)		31.99%0.31%8.92%38.50%13.74%14.05%
SXR8.DE
iShares Core S&P 500 UCITS ETF USD (Acc)		26.63%2.56%13.74%34.37%16.33%14.86%
QDV5.DE
iShares MSCI India UCITS ETF USD (Acc)		10.09%-7.83%1.66%20.63%13.05%N/A
SPYE.DE
SPDR MSCI Europe UCITS ETF		2.78%-7.34%-6.30%10.56%6.87%6.80%

Monthly Returns

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

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20242.18%8.90%4.20%-3.80%4.37%5.04%-0.13%-0.63%2.68%-0.83%29.95%
202310.25%-0.96%7.67%1.36%3.41%6.23%2.53%-2.25%-3.53%-0.07%9.93%7.77%49.85%
2022-9.22%-2.96%4.48%-9.70%-4.53%-11.38%10.88%-4.65%-7.51%3.46%3.50%-4.70%-29.83%
20213.89%5.11%5.43%3.21%-1.92%2.29%3.13%6.30%-4.30%8.87%0.30%1.54%38.68%
20207.59%7.59%

Expense Ratio

euro etfs features an expense ratio of 0.53%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.

BTCE.DE
ETC Group Physical Bitcoin
Expense ratio chart for BTCE.DE: current value at 2.00% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%2.00%
QDV5.DE
iShares MSCI India UCITS ETF USD (Acc)
Expense ratio chart for QDV5.DE: 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%
SXRV.DE
iShares NASDAQ 100 UCITS ETF USD (Acc)
Expense ratio chart for SXRV.DE: current value at 0.36% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.36%
VVSM.DE
VanEck Semiconductor UCITS ETF
Expense ratio chart for VVSM.DE: 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%
IS3R.DE
iShares Edge MSCI World Momentum Factor UCITS ETF (Acc)
Expense ratio chart for IS3R.DE: current value at 0.30% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.30%
SPYE.DE
SPDR MSCI Europe UCITS ETF
Expense ratio chart for SPYE.DE: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%
SXR8.DE
iShares Core S&P 500 UCITS ETF USD (Acc)
Expense ratio chart for SXR8.DE: 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 euro etfs is 57, 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 euro etfs is 5757
Combined Rank
The Sharpe Ratio Rank of euro etfs is 6161Sharpe Ratio Rank
The Sortino Ratio Rank of euro etfs is 5656Sortino Ratio Rank
The Omega Ratio Rank of euro etfs is 5959Omega Ratio Rank
The Calmar Ratio Rank of euro etfs is 6060Calmar Ratio Rank
The Martin Ratio Rank of euro etfs is 4848Martin 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.

euro etfs
Sharpe ratio
The chart of Sharpe ratio for euro etfs, currently valued at 2.74, compared to the broader market0.002.004.006.002.74
Sortino ratio
The chart of Sortino ratio for euro etfs, currently valued at 3.60, compared to the broader market-2.000.002.004.006.003.60
Omega ratio
The chart of Omega ratio for euro etfs, currently valued at 1.49, compared to the broader market0.801.001.201.401.601.802.001.49
Calmar ratio
The chart of Calmar ratio for euro etfs, currently valued at 3.65, compared to the broader market0.005.0010.0015.003.65
Martin ratio
The chart of Martin ratio for euro etfs, currently valued at 15.15, compared to the broader market0.0010.0020.0030.0040.0050.0060.0015.15
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.91, compared to the broader market0.002.004.006.002.91
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.88, compared to the broader market-2.000.002.004.006.003.88
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.55, compared to the broader market0.801.001.201.401.601.802.001.55
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 4.20, compared to the broader market0.005.0010.0015.004.20
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 18.80, compared to the broader market0.0010.0020.0030.0040.0050.0060.0018.80
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
VVSM.DE
VanEck Semiconductor UCITS ETF		1.241.741.221.583.93
SXRV.DE
iShares NASDAQ 100 UCITS ETF USD (Acc)		2.072.801.382.679.47
BTCE.DE
ETC Group Physical Bitcoin		2.893.261.413.1012.79
IS3R.DE
iShares Edge MSCI World Momentum Factor UCITS ETF (Acc)		2.323.051.442.3012.17
SXR8.DE
iShares Core S&P 500 UCITS ETF USD (Acc)		3.084.251.604.3819.35
QDV5.DE
iShares MSCI India UCITS ETF USD (Acc)		1.221.651.251.736.65
SPYE.DE
SPDR MSCI Europe UCITS ETF		0.741.111.130.923.48

Sharpe Ratio

The current euro etfs Sharpe ratio is 2.76. 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 2.06 to 2.97, 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 euro etfs 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 Ratio1.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.74
2.91
euro etfs
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

euro etfs doesn't pay dividends

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.

-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember0
-0.27%
euro etfs
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the euro etfs. 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 euro etfs was 35.00%, occurring on Oct 12, 2022. Recovery took 301 trading sessions.

The current euro etfs drawdown is 0.25%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-35%Nov 9, 2021238Oct 12, 2022301Dec 13, 2023539
-11.25%Jul 17, 202414Aug 5, 202450Oct 14, 202464
-9.16%Feb 22, 202110Mar 5, 202119Apr 1, 202129
-7.49%Apr 19, 202123May 19, 202146Jul 23, 202169
-6.85%Sep 7, 202120Oct 4, 202110Oct 18, 202130

Volatility

Volatility Chart

The current euro etfs volatility is 4.02%, 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%7.00%JuneJulyAugustSeptemberOctoberNovember
4.02%
3.75%
euro etfs
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.
BTCE.DEQDV5.DESPYE.DEVVSM.DEIS3R.DESXRV.DESXR8.DE
BTCE.DE1.000.250.330.340.350.360.37
QDV5.DE0.251.000.580.440.540.480.52
SPYE.DE0.330.581.000.640.770.680.78
VVSM.DE0.340.440.641.000.750.850.78
IS3R.DE0.350.540.770.751.000.820.87
SXRV.DE0.360.480.680.850.821.000.92
SXR8.DE0.370.520.780.780.870.921.00
The correlation results are calculated based on daily price changes starting from Dec 4, 2020