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Portfolio 11B (5 ETF EU)
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Portfolio 11B (5 ETF EU)

Last updated Nov 6, 2024

IWDA + SC Value + Nasdaq 100 + VVSM

Asset Allocation

IWDA.AS 56%CNX1.L 20%VVSM.DE 9%ZPRV.DE 9%EXSA.DE 6%EquityEquity
PositionCategory/SectorWeight
CNX1.L
iShares NASDAQ 100 UCITS ETF USD (Acc)		Large Cap Growth Equities
20%
EXSA.DE
iShares STOXX Europe 600 UCITS ETF (DE)		Europe Equities
6%
IWDA.AS
iShares Core MSCI World UCITS ETF USD (Acc)		Global Equities
56%
VVSM.DE
VanEck Semiconductor UCITS ETF		Technology Equities
9%
ZPRV.DE
SPDR MSCI USA Small Cap Value Weighted UCITS ETF		Small Cap Value Equities
9%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Portfolio 11B (5 ETF EU), 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
9.32%
11.47%
Portfolio 11B (5 ETF EU)
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		21.24%0.55%11.47%32.45%13.43%11.05%
Portfolio 11B (5 ETF EU)18.19%0.32%9.32%32.59%N/AN/A
Portfolio components:
IWDA.AS
iShares Core MSCI World UCITS ETF USD (Acc)		18.55%0.30%9.55%30.21%12.01%11.25%
CNX1.L
iShares NASDAQ 100 UCITS ETF USD (Acc)		20.13%1.65%12.11%34.62%19.69%20.03%
VVSM.DE
VanEck Semiconductor UCITS ETF		24.87%-1.80%4.97%50.74%N/AN/A
ZPRV.DE
SPDR MSCI USA Small Cap Value Weighted UCITS ETF		9.34%1.23%9.31%30.13%12.98%N/A
EXSA.DE
iShares STOXX Europe 600 UCITS ETF (DE)		7.98%-2.11%1.86%20.45%7.25%7.17%

Monthly Returns

The table below presents the monthly returns of Portfolio 11B (5 ETF EU), with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20241.36%4.11%3.55%-3.51%3.67%4.40%0.67%0.89%2.16%-1.23%18.19%
20238.77%-1.20%3.67%0.86%2.26%6.21%3.63%-2.12%-4.47%-3.71%9.89%6.87%33.71%
2022-7.72%-2.55%3.14%-8.49%-1.63%-9.35%8.63%-4.12%-8.49%4.63%5.98%-4.06%-23.26%
20211.30%2.70%2.89%4.45%1.26%2.34%1.67%2.81%-3.90%5.10%0.52%4.86%28.93%
20202.51%2.51%

Expense Ratio

Portfolio 11B (5 ETF EU) has an expense ratio of 0.25%, 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.

CNX1.L
iShares NASDAQ 100 UCITS ETF USD (Acc)
Expense ratio chart for CNX1.L: 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%
ZPRV.DE
SPDR MSCI USA Small Cap Value Weighted UCITS ETF
Expense ratio chart for ZPRV.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%
IWDA.AS
iShares Core MSCI World UCITS ETF USD (Acc)
Expense ratio chart for IWDA.AS: 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%
EXSA.DE
iShares STOXX Europe 600 UCITS ETF (DE)
Expense ratio chart for EXSA.DE: 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%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Portfolio 11B (5 ETF EU) is 53, 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 Portfolio 11B (5 ETF EU) is 5353
Combined Rank
The Sharpe Ratio Rank of Portfolio 11B (5 ETF EU) is 5050Sharpe Ratio Rank
The Sortino Ratio Rank of Portfolio 11B (5 ETF EU) is 5353Sortino Ratio Rank
The Omega Ratio Rank of Portfolio 11B (5 ETF EU) is 5656Omega Ratio Rank
The Calmar Ratio Rank of Portfolio 11B (5 ETF EU) is 6262Calmar Ratio Rank
The Martin Ratio Rank of Portfolio 11B (5 ETF EU) is 4545Martin 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.

Portfolio 11B (5 ETF EU)
Sharpe ratio
The chart of Sharpe ratio for Portfolio 11B (5 ETF EU), currently valued at 2.44, compared to the broader market0.002.004.002.44
Sortino ratio
The chart of Sortino ratio for Portfolio 11B (5 ETF EU), currently valued at 3.36, compared to the broader market-2.000.002.004.006.003.36
Omega ratio
The chart of Omega ratio for Portfolio 11B (5 ETF EU), currently valued at 1.45, compared to the broader market0.801.001.201.401.601.801.45
Calmar ratio
The chart of Calmar ratio for Portfolio 11B (5 ETF EU), currently valued at 3.34, compared to the broader market0.002.004.006.008.0010.0012.0014.003.34
Martin ratio
The chart of Martin ratio for Portfolio 11B (5 ETF EU), currently valued at 13.81, compared to the broader market0.0010.0020.0030.0040.0050.0013.81
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.70, compared to the broader market0.002.004.002.70
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.58, compared to the broader market-2.000.002.004.006.003.58
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.50, compared to the broader market0.801.001.201.401.601.801.50
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 3.49, compared to the broader market0.002.004.006.008.0010.0012.0014.003.49
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 17.22, compared to the broader market0.0010.0020.0030.0040.0050.0017.22
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
IWDA.AS
iShares Core MSCI World UCITS ETF USD (Acc)		2.773.851.523.9117.37
CNX1.L
iShares NASDAQ 100 UCITS ETF USD (Acc)		1.992.671.362.619.09
VVSM.DE
VanEck Semiconductor UCITS ETF		1.512.021.261.914.84
ZPRV.DE
SPDR MSCI USA Small Cap Value Weighted UCITS ETF		1.722.571.322.589.22
EXSA.DE
iShares STOXX Europe 600 UCITS ETF (DE)		1.702.481.292.058.61

Sharpe Ratio

The current Portfolio 11B (5 ETF EU) Sharpe ratio is 2.44. 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 2.02 to 2.81, 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 Portfolio 11B (5 ETF EU) 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
2.44
2.70
Portfolio 11B (5 ETF EU)
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Portfolio 11B (5 ETF EU) provided a 0.16% dividend yield over the last twelve months.

TTM20232022202120202019201820172016201520142013
Portfolio0.16%0.16%0.17%0.13%0.11%0.17%0.18%0.26%0.21%0.18%0.19%0.20%
Portfolio components:
IWDA.AS
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%
CNX1.L
iShares NASDAQ 100 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%
VVSM.DE
VanEck Semiconductor 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%
ZPRV.DE
SPDR MSCI USA Small Cap Value Weighted 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%
EXSA.DE
iShares STOXX Europe 600 UCITS ETF (DE)		2.73%2.68%2.76%2.23%1.85%2.87%3.03%4.42%3.42%2.97%3.14%3.40%

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.

-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.70%
-1.40%
Portfolio 11B (5 ETF EU)
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Portfolio 11B (5 ETF EU). 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 Portfolio 11B (5 ETF EU) was 29.67%, occurring on Oct 12, 2022. Recovery took 302 trading sessions.

The current Portfolio 11B (5 ETF EU) drawdown is 1.70%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-29.67%Jan 3, 2022201Oct 12, 2022302Dec 14, 2023503
-9.49%Jul 17, 202414Aug 5, 202433Sep 19, 202447
-6.96%Feb 16, 202114Mar 5, 202120Apr 6, 202134
-6.42%Sep 7, 202120Oct 4, 202120Nov 1, 202140
-6.1%Mar 22, 202419Apr 19, 202418May 15, 202437

Volatility

Volatility Chart

The current Portfolio 11B (5 ETF EU) volatility is 2.89%, 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
2.89%
3.19%
Portfolio 11B (5 ETF EU)
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.
ZPRV.DEVVSM.DECNX1.LEXSA.DEIWDA.AS
ZPRV.DE1.000.560.550.730.78
VVSM.DE0.561.000.810.640.78
CNX1.L0.550.811.000.640.85
EXSA.DE0.730.640.641.000.88
IWDA.AS0.780.780.850.881.00
The correlation results are calculated based on daily price changes starting from Dec 4, 2020