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4 ETFs - Neutral + Balanced(SC)V
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


VWRA.L 70%USSC.L 15%ISVL 10.5%EMVL.L 4.5%EquityEquity
PositionCategory/SectorWeight
EMVL.L
iShares Edge MSCI EM Value Factor UCITS ETF USD(Acc)
Emerging Markets Equities

4.50%

ISVL
iShares International Developed Small Cap Value Factor ETF
Small Cap Value Equities

10.50%

USSC.L
SPDR MSCI USA Small Cap Value Weighted UCITS ETF
Small Cap Blend Equities

15%

VWRA.L
Vanguard FTSE All-World UCITS ETF USD Accumulating
Global Equities

70%

S&P 500

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in 4 ETFs - Neutral + Balanced(SC)V, 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%20.00%NovemberDecember2024FebruaryMarchApril
19.01%
19.37%
4 ETFs - Neutral + Balanced(SC)V
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Mar 25, 2021, corresponding to the inception date of ISVL

Returns By Period


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
6.30%-3.13%19.37%22.56%11.65%10.55%
4 ETFs - Neutral + Balanced(SC)V3.20%-2.28%19.01%17.48%N/AN/A
VWRA.L
Vanguard FTSE All-World UCITS ETF USD Accumulating
4.56%-2.60%18.46%18.12%N/AN/A
USSC.L
SPDR MSCI USA Small Cap Value Weighted UCITS ETF
-2.81%-2.35%20.94%19.04%10.66%N/A
ISVL
iShares International Developed Small Cap Value Factor ETF
2.03%-1.06%20.39%10.82%N/AN/A
EMVL.L
iShares Edge MSCI EM Value Factor UCITS ETF USD(Acc)
4.98%0.27%17.12%16.85%4.68%N/A

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
2024-0.31%2.89%3.83%
2023-3.91%-4.07%9.08%6.81%

Expense Ratio

The 4 ETFs - Neutral + Balanced(SC)V has a high expense ratio of 0.25%, indicating higher-than-average management fees. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


Expense ratio chart for EMVL.L: 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%
Expense ratio chart for USSC.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%
Expense ratio chart for ISVL: 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%
Expense ratio chart for VWRA.L: current value at 0.22% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.22%

Risk-Adjusted Performance

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.


4 ETFs - Neutral + Balanced(SC)V
Sharpe ratio
The chart of Sharpe ratio for 4 ETFs - Neutral + Balanced(SC)V, currently valued at 1.60, compared to the broader market-1.000.001.002.003.004.005.001.60
Sortino ratio
The chart of Sortino ratio for 4 ETFs - Neutral + Balanced(SC)V, currently valued at 2.40, compared to the broader market0.002.004.006.002.40
Omega ratio
The chart of Omega ratio for 4 ETFs - Neutral + Balanced(SC)V, currently valued at 1.30, compared to the broader market0.801.001.201.401.601.801.30
Calmar ratio
The chart of Calmar ratio for 4 ETFs - Neutral + Balanced(SC)V, currently valued at 1.35, compared to the broader market0.002.004.006.008.001.35
Martin ratio
The chart of Martin ratio for 4 ETFs - Neutral + Balanced(SC)V, currently valued at 5.23, compared to the broader market0.0010.0020.0030.0040.0050.005.23
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.92, compared to the broader market-1.000.001.002.003.004.005.001.92
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.78, compared to the broader market0.002.004.006.002.78
Omega ratio
The chart of Omega ratio for ^GSPC, 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 ^GSPC, currently valued at 1.47, compared to the broader market0.002.004.006.008.001.47
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 7.64, compared to the broader market0.0010.0020.0030.0040.0050.007.64

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
VWRA.L
Vanguard FTSE All-World UCITS ETF USD Accumulating
1.722.541.321.425.90
USSC.L
SPDR MSCI USA Small Cap Value Weighted UCITS ETF
1.171.871.221.324.09
ISVL
iShares International Developed Small Cap Value Factor ETF
0.851.331.160.632.58
EMVL.L
iShares Edge MSCI EM Value Factor UCITS ETF USD(Acc)
1.131.731.200.804.68

Sharpe Ratio

The current 4 ETFs - Neutral + Balanced(SC)V Sharpe ratio is 1.60. A Sharpe ratio greater than 1.0 is considered acceptable.

-1.000.001.002.003.004.005.001.60

The Sharpe ratio of 4 ETFs - Neutral + Balanced(SC)V lies between the 25th and 75th percentiles. It indicates that the portfolio's 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.


Rolling 12-month Sharpe Ratio0.501.001.502.002.503.00NovemberDecember2024FebruaryMarchApril
1.60
1.92
4 ETFs - Neutral + Balanced(SC)V
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

4 ETFs - Neutral + Balanced(SC)V granted a 0.39% dividend yield in the last twelve months.


TTM202320222021
4 ETFs - Neutral + Balanced(SC)V0.39%0.40%0.35%0.30%
VWRA.L
Vanguard FTSE All-World UCITS ETF USD Accumulating
0.00%0.00%0.00%0.00%
USSC.L
SPDR MSCI USA Small Cap Value Weighted UCITS ETF
0.00%0.00%0.00%0.00%
ISVL
iShares International Developed Small Cap Value Factor ETF
3.75%3.82%3.37%2.82%
EMVL.L
iShares Edge MSCI EM Value Factor UCITS ETF USD(Acc)
0.00%0.00%0.00%0.00%

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.


-15.00%-10.00%-5.00%0.00%NovemberDecember2024FebruaryMarchApril
-3.10%
-3.50%
4 ETFs - Neutral + Balanced(SC)V
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the 4 ETFs - Neutral + Balanced(SC)V. 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 4 ETFs - Neutral + Balanced(SC)V was 25.51%, occurring on Oct 12, 2022. Recovery took 312 trading sessions.

The current 4 ETFs - Neutral + Balanced(SC)V drawdown is 3.10%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-25.51%Nov 9, 2021241Oct 12, 2022312Dec 27, 2023553
-5.56%Sep 7, 202122Oct 6, 202114Oct 26, 202136
-4.78%Apr 1, 202415Apr 19, 2024
-3.49%Jun 15, 202125Jul 19, 20218Jul 29, 202133
-3.34%Jan 2, 202412Jan 17, 20249Jan 30, 202421

Volatility

Volatility Chart

The current 4 ETFs - Neutral + Balanced(SC)V volatility is 3.35%, 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%NovemberDecember2024FebruaryMarchApril
3.35%
3.58%
4 ETFs - Neutral + Balanced(SC)V
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.

ISVLEMVL.LUSSC.LVWRA.L
ISVL1.000.600.570.67
EMVL.L0.601.000.560.73
USSC.L0.570.561.000.80
VWRA.L0.670.730.801.00