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Corser Core
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Risk-Adjusted Performance
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Corser Core

Last updated Oct 30, 2024

Asset Allocation

VAGS.L 5%SWDA.L 60%EQQQ.L 15%WLDS.L 12%EMIM.L 8%BondBondEquityEquity
PositionCategory/SectorWeight
EMIM.L
iShares Core MSCI Emerging Markets IMI UCITS ETF (Acc)		Emerging Markets Equities
8%
EQQQ.L
Invesco EQQQ NASDAQ-100 UCITS ETF		Large Cap Growth Equities
15%
SWDA.L
iShares Core MSCI World UCITS ETF USD (Acc)		Global Equities
60%
VAGS.L
Vanguard Global Aggregate Bond UCITS ETF GBP Hedged Accumulating		Global Bonds
5%
WLDS.L
iShares MSCI World Small Cap UCITS ETF		Small Cap Blend Equities
12%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Corser Core, 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%15.00%MayJuneJulyAugustSeptemberOctober
12.78%
15.83%
Corser Core
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jun 20, 2019, corresponding to the inception date of VAGS.L

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		22.29%1.65%15.83%39.98%13.99%11.23%
Corser Core16.71%-0.27%12.78%35.68%12.19%N/A
Portfolio components:
SWDA.L
iShares Core MSCI World UCITS ETF USD (Acc)		18.71%0.16%13.02%37.24%12.59%12.37%
WLDS.L
iShares MSCI World Small Cap UCITS ETF		7.76%-2.00%9.71%31.49%8.06%N/A
EMIM.L
iShares Core MSCI Emerging Markets IMI UCITS ETF (Acc)		13.22%-3.42%10.14%26.16%5.12%5.99%
VAGS.L
Vanguard Global Aggregate Bond UCITS ETF GBP Hedged Accumulating		4.02%-4.55%8.37%16.81%-0.81%N/A
EQQQ.L
Invesco EQQQ NASDAQ-100 UCITS ETF		21.71%2.53%16.66%43.96%20.99%20.40%

Monthly Returns

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

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20240.32%3.19%3.21%-3.14%3.14%3.64%1.52%1.18%2.50%16.71%
20237.12%-2.58%3.38%1.59%0.27%5.69%3.60%-2.28%-4.33%-3.57%8.94%6.29%25.62%
2022-6.59%-1.67%2.50%-7.92%-1.99%-8.22%7.09%-3.32%-8.26%3.79%6.20%-3.12%-20.90%
20210.22%2.08%2.21%4.28%1.25%1.68%1.06%2.32%-3.66%4.53%-1.23%3.28%19.24%
2020-0.65%-8.25%-11.25%9.78%4.04%3.99%5.04%7.36%-3.05%-2.57%11.56%5.62%20.61%
2019-0.20%0.93%-3.05%2.39%2.98%2.98%3.48%9.72%

Expense Ratio

Corser Core 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.

WLDS.L
iShares MSCI World Small Cap UCITS ETF
Expense ratio chart for WLDS.L: 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%
EQQQ.L
Invesco EQQQ NASDAQ-100 UCITS ETF
Expense ratio chart for EQQQ.L: 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%
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%
EMIM.L
iShares Core MSCI Emerging Markets IMI UCITS ETF (Acc)
Expense ratio chart for EMIM.L: current value at 0.18% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.18%
VAGS.L
Vanguard Global Aggregate Bond UCITS ETF GBP Hedged Accumulating
Expense ratio chart for VAGS.L: current value at 0.10% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.10%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Corser Core is 52, 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 Corser Core is 5252
Combined Rank
The Sharpe Ratio Rank of Corser Core is 4949Sharpe Ratio Rank
The Sortino Ratio Rank of Corser Core is 5656Sortino Ratio Rank
The Omega Ratio Rank of Corser Core is 5757Omega Ratio Rank
The Calmar Ratio Rank of Corser Core is 3939Calmar Ratio Rank
The Martin Ratio Rank of Corser Core is 5757Martin 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.

Corser Core
Sharpe ratio
The chart of Sharpe ratio for Corser Core, currently valued at 2.98, compared to the broader market0.002.004.006.002.98
Sortino ratio
The chart of Sortino ratio for Corser Core, currently valued at 4.17, compared to the broader market-2.000.002.004.006.004.17
Omega ratio
The chart of Omega ratio for Corser Core, currently valued at 1.56, compared to the broader market0.801.001.201.401.601.802.001.56
Calmar ratio
The chart of Calmar ratio for Corser Core, currently valued at 2.53, compared to the broader market0.005.0010.002.53
Martin ratio
The chart of Martin ratio for Corser Core, currently valued at 19.62, compared to the broader market0.0010.0020.0030.0040.0050.0060.0019.62
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 3.43, compared to the broader market0.002.004.006.003.43
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 4.52, compared to the broader market-2.000.002.004.006.004.52
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.64, compared to the broader market0.801.001.201.401.601.802.001.64
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 3.17, compared to the broader market0.005.0010.003.17
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 22.22, compared to the broader market0.0010.0020.0030.0040.0050.0060.0022.22
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
SWDA.L
iShares Core MSCI World UCITS ETF USD (Acc)		3.294.591.633.2521.56
WLDS.L
iShares MSCI World Small Cap UCITS ETF		0.921.521.331.213.45
EMIM.L
iShares Core MSCI Emerging Markets IMI UCITS ETF (Acc)		1.862.691.330.9510.48
VAGS.L
Vanguard Global Aggregate Bond UCITS ETF GBP Hedged Accumulating		1.752.701.340.627.13
EQQQ.L
Invesco EQQQ NASDAQ-100 UCITS ETF		2.683.511.483.5312.45

Sharpe Ratio

The current Corser Core Sharpe ratio is 2.98. 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 2.49 to 3.44, 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 Corser Core 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 Ratio1.001.502.002.503.003.50MayJuneJulyAugustSeptemberOctober
2.98
3.43
Corser Core
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Corser Core provided a 0.06% dividend yield over the last twelve months.

TTM20232022202120202019201820172016201520142013
Corser Core0.06%0.06%0.08%0.04%0.06%0.08%0.09%0.10%0.12%0.11%0.15%0.14%
Portfolio components:
SWDA.L
iShares Core MSCI World UCITS ETF USD (Acc)		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
WLDS.L
iShares MSCI World Small Cap 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%
EMIM.L
iShares Core MSCI Emerging Markets IMI UCITS ETF (Acc)		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
VAGS.L
Vanguard Global Aggregate Bond UCITS ETF GBP Hedged Accumulating		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
EQQQ.L
Invesco EQQQ NASDAQ-100 UCITS ETF		0.41%0.39%0.56%0.25%0.41%0.56%0.63%0.67%0.77%0.72%1.01%0.95%

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%MayJuneJulyAugustSeptemberOctober
-0.86%
-0.54%
Corser Core
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Corser Core. 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 Corser Core was 32.32%, occurring on Mar 23, 2020. Recovery took 93 trading sessions.

The current Corser Core drawdown is 0.86%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-32.32%Feb 18, 202025Mar 23, 202093Aug 5, 2020118
-28.49%Nov 9, 2021231Oct 11, 2022328Jan 30, 2024559
-7.72%Jul 17, 202414Aug 5, 202414Aug 23, 202428
-7.53%Sep 3, 202016Sep 24, 202030Nov 5, 202046
-6.64%Feb 16, 202114Mar 5, 202120Apr 6, 202134

Volatility

Volatility Chart

The current Corser Core volatility is 1.95%, 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%MayJuneJulyAugustSeptemberOctober
1.95%
2.71%
Corser Core
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.
VAGS.LEMIM.LEQQQ.LWLDS.LSWDA.L
VAGS.L1.000.350.280.390.38
EMIM.L0.351.000.640.700.74
EQQQ.L0.280.641.000.690.88
WLDS.L0.390.700.691.000.88
SWDA.L0.380.740.880.881.00
The correlation results are calculated based on daily price changes starting from Jun 21, 2019