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Test international
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Risk-Adjusted Performance
Dividends
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Volatility
Diversification

Test international

Last updated Nov 13, 2024

Asset Allocation

DBMF 20%BTAL 10%GLD 10%VTI 40%VFMO 5%IDMO 5%QMOM 5%VBK 5%AlternativesAlternativesCommodityCommodityEquityEquity
PositionCategory/SectorWeight
BTAL
AGFiQ US Market Neutral Anti-Beta Fund		Long-Short
10%
DBMF
iM DBi Managed Futures Strategy ETF		Hedge Fund, Actively Managed
20%
GLD
SPDR Gold Trust		Precious Metals, Gold
10%
IDMO
Invesco S&P International Developed Momentum ETF		Global Equities
5%
QMOM
Alpha Architect U.S. Quantitative Momentum ETF		All Cap Equities
5%
VBK
Vanguard Small-Cap Growth ETF		Small Cap Blend Equities
5%
VFMO
Vanguard U.S. Momentum Factor ETF		All Cap Equities
5%
VTI
Vanguard Total Stock Market ETF		Large Cap Growth Equities
40%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Test international , 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

0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
7.62%
12.76%
Test international
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is May 8, 2019, corresponding to the inception date of DBMF

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%
Test international 21.33%1.11%7.62%25.56%12.23%N/A
Portfolio components:
VTI
Vanguard Total Stock Market ETF		26.21%2.78%13.59%35.35%15.16%12.90%
GLD
SPDR Gold Trust		24.30%-3.04%7.58%30.48%11.49%7.59%
DBMF
iM DBi Managed Futures Strategy ETF		7.67%-1.88%-6.05%3.45%6.52%N/A
VFMO
Vanguard U.S. Momentum Factor ETF		33.71%5.61%15.27%48.84%17.16%N/A
BTAL
AGFiQ US Market Neutral Anti-Beta Fund		13.98%-1.38%4.09%-0.37%-2.04%0.55%
IDMO
Invesco S&P International Developed Momentum ETF		14.49%-2.04%1.11%22.46%12.01%9.52%
QMOM
Alpha Architect U.S. Quantitative Momentum ETF		39.36%5.43%15.20%50.34%17.52%N/A
VBK
Vanguard Small-Cap Growth ETF		20.83%6.38%13.19%36.56%9.38%9.67%

Monthly Returns

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

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20241.90%4.40%3.97%-1.19%2.81%1.82%1.09%1.22%1.63%-0.75%21.33%
20233.11%-1.88%0.58%0.84%-0.67%4.12%1.75%-0.94%-1.92%-0.75%4.55%2.47%11.56%
2022-3.66%-0.29%3.71%-2.42%-0.12%-3.53%3.62%-1.64%-4.44%5.62%1.85%-2.83%-4.64%
20210.53%0.69%1.34%3.30%0.98%0.64%0.96%1.21%-2.80%4.70%-1.76%2.64%12.92%
20201.56%-4.99%-7.18%8.87%3.97%1.43%5.86%3.02%-2.64%-1.63%5.73%4.83%19.04%
2019-1.23%4.65%1.56%2.10%-0.78%1.12%2.06%1.52%11.40%

Expense Ratio

Test international features an expense ratio of 0.48%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.

BTAL
AGFiQ US Market Neutral Anti-Beta Fund
Expense ratio chart for BTAL: current value at 2.11% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%2.11%
DBMF
iM DBi Managed Futures Strategy ETF
Expense ratio chart for DBMF: current value at 0.85% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.85%
QMOM
Alpha Architect U.S. Quantitative Momentum ETF
Expense ratio chart for QMOM: current value at 0.49% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.49%
GLD
SPDR Gold Trust
Expense ratio chart for GLD: current value at 0.40% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.40%
IDMO
Invesco S&P International Developed Momentum ETF
Expense ratio chart for IDMO: 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%
VFMO
Vanguard U.S. Momentum Factor ETF
Expense ratio chart for VFMO: current value at 0.13% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.13%
VBK
Vanguard Small-Cap Growth ETF
Expense ratio chart for VBK: current value at 0.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.07%
VTI
Vanguard Total Stock Market ETF
Expense ratio chart for VTI: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Test international is 74, 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 Test international is 7474
Combined Rank
The Sharpe Ratio Rank of Test international is 7979Sharpe Ratio Rank
The Sortino Ratio Rank of Test international is 7878Sortino Ratio Rank
The Omega Ratio Rank of Test international is 8282Omega Ratio Rank
The Calmar Ratio Rank of Test international is 6262Calmar Ratio Rank
The Martin Ratio Rank of Test international is 6969Martin 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.

Test international
Sharpe ratio
The chart of Sharpe ratio for Test international , currently valued at 3.00, compared to the broader market0.002.004.006.003.00
Sortino ratio
The chart of Sortino ratio for Test international , currently valued at 4.07, compared to the broader market-2.000.002.004.006.004.07
Omega ratio
The chart of Omega ratio for Test international , currently valued at 1.57, compared to the broader market0.801.001.201.401.601.802.001.57
Calmar ratio
The chart of Calmar ratio for Test international , currently valued at 3.69, compared to the broader market0.005.0010.0015.003.69
Martin ratio
The chart of Martin ratio for Test international , currently valued at 18.21, compared to the broader market0.0010.0020.0030.0040.0050.0060.0018.21
^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
VTI
Vanguard Total Stock Market ETF		3.054.061.574.4719.77
GLD
SPDR Gold Trust		2.142.861.374.1013.62
DBMF
iM DBi Managed Futures Strategy ETF		0.090.201.030.060.20
VFMO
Vanguard U.S. Momentum Factor ETF		2.803.631.473.4817.59
BTAL
AGFiQ US Market Neutral Anti-Beta Fund		-0.14-0.080.99-0.07-0.43
IDMO
Invesco S&P International Developed Momentum ETF		1.592.141.282.239.38
QMOM
Alpha Architect U.S. Quantitative Momentum ETF		2.753.611.451.8519.91
VBK
Vanguard Small-Cap Growth ETF		2.263.081.381.4411.80

Sharpe Ratio

The current Test international Sharpe ratio is 3.04. 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 2.07 to 2.97, this portfolio's current Sharpe ratio is in the top 25%, it signifies superior risk-adjusted performance. This means that for the level of risk undertaken, the portfolio is generating impressive returns compared to most others.

Use the chart below to compare the Sharpe ratio of Test international 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
3.00
2.91
Test international
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Test international provided a 2.29% dividend yield over the last twelve months.

TTM20232022202120202019201820172016201520142013
Portfolio2.29%2.04%2.69%2.72%0.87%2.86%1.10%0.88%0.95%0.97%0.86%0.82%
Portfolio components:
VTI
Vanguard Total Stock Market ETF		1.26%1.44%1.67%1.21%1.42%1.78%2.04%1.71%1.92%1.98%1.76%1.74%
GLD
SPDR Gold Trust		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
DBMF
iM DBi Managed Futures Strategy ETF		5.21%2.91%7.72%10.38%0.86%9.35%0.00%0.00%0.00%0.00%0.00%0.00%
VFMO
Vanguard U.S. Momentum Factor ETF		0.64%0.89%1.72%0.81%0.45%1.23%0.70%0.00%0.00%0.00%0.00%0.00%
BTAL
AGFiQ US Market Neutral Anti-Beta Fund		5.39%6.14%1.00%0.00%0.00%0.88%0.39%0.00%0.00%0.00%0.00%0.00%
IDMO
Invesco S&P International Developed Momentum ETF		2.28%2.89%3.66%1.81%1.64%2.10%3.27%3.08%2.18%2.52%2.18%1.70%
QMOM
Alpha Architect U.S. Quantitative Momentum ETF		0.63%0.87%1.59%0.13%0.08%0.01%0.05%0.13%0.33%0.01%0.00%0.00%
VBK
Vanguard Small-Cap Growth ETF		0.59%0.68%0.55%0.36%0.44%0.57%0.79%0.82%1.08%0.98%1.01%0.65%

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%JuneJulyAugustSeptemberOctoberNovember
-0.61%
-0.27%
Test international
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Test international . 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 Test international was 22.16%, occurring on Mar 23, 2020. Recovery took 79 trading sessions.

The current Test international drawdown is 0.48%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-22.16%Feb 20, 202023Mar 23, 202079Jul 15, 2020102
-9.92%Nov 17, 2021219Sep 30, 2022188Jul 3, 2023407
-7.27%Jul 17, 202414Aug 5, 202432Sep 19, 202446
-6.69%Feb 16, 202113Mar 4, 202135Apr 23, 202148
-6.42%Sep 3, 202014Sep 23, 202046Nov 27, 202060

Volatility

Volatility Chart

The current Test international volatility is 2.57%, 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%JuneJulyAugustSeptemberOctoberNovember
2.57%
3.75%
Test international
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.
GLDDBMFBTALIDMOQMOMVTIVBKVFMO
GLD1.000.05-0.020.240.120.100.120.12
DBMF0.051.00-0.010.130.200.140.110.20
BTAL-0.02-0.011.00-0.38-0.41-0.59-0.65-0.52
IDMO0.240.13-0.381.000.650.710.670.72
QMOM0.120.20-0.410.651.000.750.810.91
VTI0.100.14-0.590.710.751.000.900.87
VBK0.120.11-0.650.670.810.901.000.90
VFMO0.120.20-0.520.720.910.870.901.00
The correlation results are calculated based on daily price changes starting from May 9, 2019