All World + Factors (5%)
Asset Allocation
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in All World + Factors (5%), 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
The earliest data available for this chart is Oct 17, 2014, corresponding to the inception date of XDEV.L
Returns By Period
Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
---|---|---|---|---|---|---|
S&P 500 | 19.55% | 1.45% | 8.95% | 31.70% | 13.79% | 11.17% |
All World + Factors (5%) | 15.57% | 1.68% | 6.90% | 26.61% | 9.71% | N/A |
Portfolio components: | ||||||
Xtrackers MSCI World Value Factor UCITS ETF 1C | 9.03% | 2.15% | 2.78% | 16.47% | 7.73% | N/A |
Xtrackers MSCI World Quality Factor UCITS ETF 1C | 18.47% | 0.51% | 7.14% | 32.39% | 12.94% | N/A |
Xtrackers MSCI World Momentum Factor UCITS ETF 1C | 28.34% | 1.01% | 5.75% | 42.45% | 12.37% | N/A |
FTSE All World | 15.03% | 1.77% | 7.20% | 25.96% | 9.44% | 6.84% |
Monthly Returns
The table below presents the monthly returns of All World + Factors (5%), with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.
Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2024 | 0.79% | 4.21% | 3.09% | -3.33% | 3.70% | 2.09% | 1.48% | 2.29% | 15.57% | ||||
2023 | 6.54% | -2.94% | 2.60% | 1.47% | -1.49% | 5.58% | 3.50% | -2.68% | -4.06% | -3.05% | 8.87% | 4.80% | 19.71% |
2022 | -5.05% | -2.44% | 2.11% | -7.99% | -0.23% | -8.54% | 6.34% | -3.68% | -9.42% | 5.99% | 7.61% | -3.57% | -18.95% |
2021 | -0.39% | 2.27% | 2.69% | 4.20% | 1.43% | 0.96% | 0.68% | 2.31% | -4.07% | 4.84% | -2.53% | 3.97% | 17.18% |
2020 | -1.12% | -8.34% | -13.35% | 10.17% | 4.13% | 2.96% | 4.62% | 6.20% | -3.24% | -2.72% | 12.29% | 4.54% | 13.87% |
2019 | 7.60% | 2.59% | 1.07% | 3.11% | -6.05% | 6.23% | 0.25% | -2.60% | 2.07% | 2.66% | 2.39% | 3.37% | 24.32% |
2018 | 5.51% | -4.03% | -2.51% | 1.04% | -0.19% | -0.76% | 2.82% | 0.61% | 0.46% | -7.62% | 1.11% | -7.08% | -10.89% |
2017 | 2.49% | 2.67% | 1.12% | 1.37% | 1.95% | 0.30% | 2.63% | 0.21% | 1.85% | 2.25% | 1.88% | 1.58% | 22.26% |
2016 | -6.10% | -0.65% | 7.24% | 1.23% | -0.13% | -0.90% | 4.26% | 0.20% | 0.41% | -1.64% | 0.69% | 2.10% | 6.31% |
2015 | -1.50% | 5.42% | -1.74% | 2.72% | -0.31% | -2.55% | 0.79% | -6.76% | -4.03% | 7.78% | -0.83% | -1.92% | -3.72% |
2014 | 5.60% | 1.53% | -1.87% | 5.20% |
Expense Ratio
All World + Factors (5%) has an expense ratio of 0.04%, 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.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current risk-adjusted rank of All World + Factors (5%) is 77, placing it in the top 23% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.
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.
Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
---|---|---|---|---|---|
Xtrackers MSCI World Value Factor UCITS ETF 1C | 1.75 | 2.46 | 1.33 | 2.13 | 9.57 |
Xtrackers MSCI World Quality Factor UCITS ETF 1C | 2.79 | 3.94 | 1.50 | 2.83 | 15.09 |
Xtrackers MSCI World Momentum Factor UCITS ETF 1C | 2.65 | 3.39 | 1.48 | 2.01 | 13.44 |
FTSE All World | 2.81 | 3.74 | 1.53 | 1.75 | 15.63 |
Dividends
Dividend yield
All World + Factors (5%) granted a 0.00% dividend yield in the last twelve months.
TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
---|---|---|---|---|---|---|---|---|---|---|---|
All World + Factors (5%) | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.09% |
Portfolio components: | |||||||||||
Xtrackers MSCI World Value Factor UCITS ETF 1C | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.74% |
Xtrackers MSCI World Quality Factor UCITS ETF 1C | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.51% |
Xtrackers MSCI World Momentum Factor UCITS ETF 1C | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.63% |
FTSE All World | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
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.
Worst Drawdowns
The table below displays the maximum drawdowns of the All World + Factors (5%). 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 All World + Factors (5%) was 33.64%, occurring on Mar 23, 2020. Recovery took 112 trading sessions.
The current All World + Factors (5%) drawdown is 0.29%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
---|---|---|---|---|---|---|
-33.64% | Feb 13, 2020 | 28 | Mar 23, 2020 | 112 | Aug 26, 2020 | 140 |
-27.03% | Nov 9, 2021 | 242 | Oct 12, 2022 | 350 | Feb 15, 2024 | 592 |
-20.3% | Jan 29, 2018 | 237 | Dec 25, 2018 | 239 | Nov 25, 2019 | 476 |
-19.93% | May 22, 2015 | 189 | Feb 11, 2016 | 262 | Feb 13, 2017 | 451 |
-8.45% | Jul 17, 2024 | 14 | Aug 5, 2024 | 19 | Aug 30, 2024 | 33 |
Volatility
Volatility Chart
The current All World + Factors (5%) volatility is 3.42%, 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.
Diversification
Asset Correlations Table
^AW01 | XDEV.L | XDEM.L | XDEQ.L | |
---|---|---|---|---|
^AW01 | 1.00 | 0.72 | 0.68 | 0.73 |
XDEV.L | 0.72 | 1.00 | 0.79 | 0.86 |
XDEM.L | 0.68 | 0.79 | 1.00 | 0.90 |
XDEQ.L | 0.73 | 0.86 | 0.90 | 1.00 |