Portfolio Marco Test
Asset Allocation
| Position | Category/Sector | Weight |
|---|---|---|
IWFQ.L iShares MSCI World Quality Factor UCITS | Global Equities | 15% |
MEUD.L Lyxor Core STOXX Europe 600 (DR) - UCITS ETF Acc | Europe Equities | 15% |
SGLP.L Invesco Physical Gold A | Precious Metals | 10% |
SWDA.L iShares Core MSCI World UCITS ETF USD (Acc) | Global Equities | 60% |
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Portfolio Marco Test, 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 6, 2014, corresponding to the inception date of IWFQ.L
Returns By Period
As of Nov 15, 2024, the Portfolio Marco Test returned 17.68% Year-To-Date and 9.47% of annualized return in the last 10 years.
| Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 24.72% | 2.30% | 12.31% | 32.12% | 13.81% | 11.31% |
| Portfolio Marco Test | 17.68% | -0.88% | 6.14% | 25.69% | 11.58% | 9.47% |
| Portfolio components: | ||||||
SWDA.L iShares Core MSCI World UCITS ETF USD (Acc) | 19.89% | 0.69% | 8.62% | 28.13% | 12.27% | 10.15% |
IWFQ.L iShares MSCI World Quality Factor UCITS | 19.28% | -0.82% | 6.57% | 26.74% | 12.37% | 10.58% |
SGLP.L Invesco Physical Gold A | 24.13% | -3.48% | 7.75% | 30.88% | 11.68% | 7.80% |
MEUD.L Lyxor Core STOXX Europe 600 (DR) - UCITS ETF Acc | 3.23% | -5.69% | -5.12% | 11.47% | 6.32% | 5.32% |
Monthly Returns
The table below presents the monthly returns of Portfolio Marco Test, 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 | 0.77% | 3.09% | 4.01% | -2.46% | 3.54% | 2.30% | 1.55% | 2.31% | 1.93% | -1.23% | 17.68% | ||
| 2023 | 6.22% | -2.70% | 3.61% | 2.42% | -1.31% | 4.67% | 3.17% | -2.03% | -4.24% | -2.12% | 8.16% | 5.30% | 22.26% |
| 2022 | -5.90% | -1.15% | 2.82% | -6.64% | -1.71% | -7.97% | 5.90% | -3.87% | -7.45% | 4.55% | 7.54% | -1.82% | -16.01% |
| 2021 | -1.17% | 1.42% | 3.03% | 4.54% | 2.83% | 0.05% | 2.14% | 1.88% | -4.06% | 4.78% | -1.53% | 3.97% | 18.97% |
| 2020 | -0.41% | -8.20% | -10.12% | 8.24% | 4.07% | 3.10% | 4.75% | 6.22% | -3.05% | -3.56% | 10.85% | 5.09% | 15.66% |
| 2019 | 6.50% | 3.32% | 1.16% | 2.92% | -4.51% | 6.20% | 0.45% | -1.74% | 2.05% | 2.70% | 2.32% | 3.37% | 27.11% |
| 2018 | 4.33% | -3.59% | -2.14% | 1.87% | -0.27% | -0.35% | 2.34% | -0.03% | 0.71% | -6.39% | 0.02% | -5.06% | -8.73% |
| 2017 | 1.82% | 2.62% | 2.02% | 1.65% | 2.08% | 0.25% | 2.41% | 0.54% | 1.42% | 1.76% | 1.73% | 1.80% | 22.03% |
| 2016 | -4.95% | 0.95% | 5.37% | 1.45% | -0.26% | -0.23% | 3.56% | 0.38% | 0.24% | -1.90% | -0.07% | 2.46% | 6.82% |
| 2015 | -0.68% | 4.19% | -1.67% | 2.46% | 0.15% | -2.36% | 1.44% | -5.20% | -4.25% | 7.38% | -0.89% | -1.84% | -1.94% |
| 2014 | 0.65% | 2.07% | -1.33% | 1.36% |
Expense Ratio
Portfolio Marco Test has an expense ratio of 0.20%, 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 rank of Portfolio Marco Test is 71, 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.
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 | |
|---|---|---|---|---|---|
SWDA.L iShares Core MSCI World UCITS ETF USD (Acc) | 2.67 | 3.68 | 1.49 | 3.86 | 16.75 |
IWFQ.L iShares MSCI World Quality Factor UCITS | 2.46 | 3.52 | 1.45 | 3.89 | 14.00 |
SGLP.L Invesco Physical Gold A | 2.06 | 2.71 | 1.36 | 3.86 | 12.47 |
MEUD.L Lyxor Core STOXX Europe 600 (DR) - UCITS ETF Acc | 0.94 | 1.38 | 1.16 | 1.21 | 4.35 |
Dividends
Dividend yield
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 Portfolio Marco Test. 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 Marco Test was 30.36%, occurring on Mar 23, 2020. Recovery took 93 trading sessions.
The current Portfolio Marco Test drawdown is 1.57%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -30.36% | Feb 18, 2020 | 25 | Mar 23, 2020 | 93 | Aug 5, 2020 | 118 |
| -25.81% | Jan 4, 2022 | 194 | Oct 11, 2022 | 298 | Dec 14, 2023 | 492 |
| -16.63% | May 22, 2015 | 169 | Jan 20, 2016 | 247 | Jan 11, 2017 | 416 |
| -15.99% | Jan 29, 2018 | 231 | Dec 24, 2018 | 121 | Jun 20, 2019 | 352 |
| -7.52% | Sep 3, 2020 | 42 | Oct 30, 2020 | 6 | Nov 9, 2020 | 48 |
Volatility
Volatility Chart
The current Portfolio Marco Test volatility is 2.66%, 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
| SGLP.L | MEUD.L | IWFQ.L | SWDA.L | |
|---|---|---|---|---|
| SGLP.L | 1.00 | 0.15 | 0.09 | 0.09 |
| MEUD.L | 0.15 | 1.00 | 0.85 | 0.87 |
| IWFQ.L | 0.09 | 0.85 | 1.00 | 0.97 |
| SWDA.L | 0.09 | 0.87 | 0.97 | 1.00 |