BF
Asset Allocation
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in BF, 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 every 3 months.
The earliest data available for this chart is Jul 16, 2019, corresponding to the inception date of JPGL.L
Returns By Period
YTD | 1M | 6M | 1Y | 5Y* | 10Y* | |
---|---|---|---|---|---|---|
S&P 500 | -0.93% | -3.71% | 3.77% | 21.81% | 12.17% | 11.26% |
BF | -1.02% | -3.99% | 2.39% | 14.97% | 10.19% | N/A |
Portfolio components: | ||||||
iShares MSCI World ETF | -0.80% | -3.74% | 1.90% | 17.79% | 10.86% | 10.34% |
iShares Core MSCI Emerging Markets IMI UCITS ETF (Acc) | -2.44% | -5.31% | -6.10% | 6.67% | 1.53% | 5.90% |
Xtrackers iBoxx EUR Corporate Bond Yield Plus UCITS ETF | -2.40% | -3.79% | -3.53% | -1.68% | -1.82% | N/A |
iShares Core Euro Government Bond UCITS ETF (Dist) | -2.95% | -4.60% | -6.03% | -6.69% | 29.26% | 16.83% |
Lyxor Core STOXX Europe 600 (DR) - UCITS ETF Acc | -0.44% | -3.14% | -6.72% | 3.09% | 5.01% | 8.03% |
Xtrackers II EUR Overnight Rate Swap UCITS ETF 1C | -1.47% | -2.22% | -4.35% | -2.97% | -0.51% | 0.36% |
Xtrackers MSCI World Quality Factor UCITS ETF 1C | -1.20% | -3.94% | -1.45% | 15.64% | 10.25% | 13.12% |
JPM Global Equity Multi-Factor UCITS ETF USD Acc | 0.22% | -2.72% | 1.08% | 10.84% | 7.85% | N/A |
iShares Edge MSCI World Value Factor UCITS ETF | -1.25% | -3.30% | -3.99% | 4.01% | 5.10% | 8.07% |
Goldman Sachs Physical Gold ETF | 2.58% | 1.64% | 11.11% | 31.21% | 11.40% | N/A |
Bitcoin | 1.22% | -6.71% | 45.78% | 126.26% | 60.85% | 87.29% |
WisdomTree CBOE S&P 500 PutWrite Strategy Fund | -0.72% | -3.20% | 1.90% | 15.54% | 8.08% | N/A |
BH Macro Limited | -2.60% | -2.21% | 1.49% | 8.69% | 7.54% | 7.10% |
iShares MSCI World Small Cap UCITS ETF | -1.81% | -5.60% | -0.44% | 8.68% | 5.91% | N/A |
Monthly Returns
The table below presents the monthly returns of BF, 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 | -0.81% | 4.63% | 3.72% | -3.65% | 3.89% | 0.06% | 2.33% | 1.17% | 2.44% | -1.26% | 4.89% | -2.90% | 15.00% |
2023 | 12.21% | -3.13% | 3.64% | 1.72% | -2.37% | 4.31% | 2.27% | -2.64% | -3.51% | -0.46% | 7.16% | 5.16% | 25.77% |
2022 | -3.75% | -0.89% | 1.01% | -7.29% | -0.83% | -8.32% | 5.86% | -4.21% | -7.28% | 3.97% | 6.92% | -1.70% | -16.55% |
2021 | 1.21% | 3.08% | 3.17% | 2.61% | -1.16% | -0.76% | 2.51% | 1.90% | -3.60% | 5.33% | -2.49% | 0.80% | 12.93% |
2020 | 0.89% | -5.63% | -9.53% | 6.63% | 3.22% | 2.74% | 6.86% | 4.17% | -2.39% | -1.04% | 9.52% | 5.91% | 21.48% |
2019 | -0.80% | -1.88% | 0.90% | 2.75% | 0.64% | 2.97% | 4.58% |
Expense Ratio
BF has an expense ratio of 0.19%, 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 BF is 19, meaning it’s performing worse than 81% of other portfolios on our website when it comes to balancing risk and reward. Below is a breakdown of how it compares using common performance measures.
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 | |
---|---|---|---|---|---|
iShares MSCI World ETF | 1.25 | 1.70 | 1.23 | 0.46 | 7.36 |
iShares Core MSCI Emerging Markets IMI UCITS ETF (Acc) | -0.09 | -0.02 | 1.00 | 0.62 | -0.27 |
Xtrackers iBoxx EUR Corporate Bond Yield Plus UCITS ETF | -0.18 | -0.20 | 0.98 | 0.50 | -0.43 |
iShares Core Euro Government Bond UCITS ETF (Dist) | -0.68 | -0.89 | 0.90 | -0.35 | -1.67 |
Lyxor Core STOXX Europe 600 (DR) - UCITS ETF Acc | -0.24 | -0.24 | 0.97 | 1.21 | -0.59 |
Xtrackers II EUR Overnight Rate Swap UCITS ETF 1C | -0.53 | -0.68 | 0.92 | 130.02 | -1.12 |
Xtrackers MSCI World Quality Factor UCITS ETF 1C | 1.05 | 1.52 | 1.20 | 0.36 | 5.20 |
JPM Global Equity Multi-Factor UCITS ETF USD Acc | 0.86 | 1.24 | 1.16 | 0.27 | 3.74 |
iShares Edge MSCI World Value Factor UCITS ETF | 0.03 | 0.12 | 1.02 | 0.00 | 0.10 |
Goldman Sachs Physical Gold ETF | 1.61 | 2.15 | 1.28 | 0.93 | 7.32 |
Bitcoin | 1.53 | 2.28 | 1.22 | 1.32 | 6.98 |
WisdomTree CBOE S&P 500 PutWrite Strategy Fund | 1.38 | 1.78 | 1.30 | 0.43 | 8.21 |
BH Macro Limited | 0.70 | 1.12 | 1.13 | 0.13 | 3.64 |
iShares MSCI World Small Cap UCITS ETF | 0.45 | 0.73 | 1.09 | 0.11 | 2.20 |
Dividends
Dividend yield
BF provided a 5.65% dividend yield over the last twelve months.
TTM | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|
Portfolio | 5.65% | 9.87% | 5.63% | 2.00% | 1.77% | 2.84% | 0.78% | 0.89% | 0.67% | 0.73% | 0.73% | 0.80% |
Portfolio components: | ||||||||||||
iShares MSCI World ETF | 1.49% | 1.47% | 1.70% | 1.68% | 1.50% | 1.52% | 2.16% | 2.30% | 1.88% | 2.14% | 2.35% | 2.32% |
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% |
Xtrackers iBoxx EUR Corporate Bond Yield Plus UCITS ETF | 2.28% | 2.26% | 1.68% | 2.51% | 1.53% | 1.85% | 1.40% | 0.72% | 0.00% | 0.00% | 0.00% | 0.00% |
iShares Core Euro Government Bond UCITS ETF (Dist) | 96.97% | 181.55% | 97.13% | 26.13% | 24.90% | 45.31% | 0.68% | 0.65% | 0.69% | 0.86% | 0.60% | 1.74% |
Lyxor Core STOXX Europe 600 (DR) - 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% |
Xtrackers II EUR Overnight Rate Swap UCITS ETF 1C | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
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% | 0.00% | 0.51% |
JPM Global Equity Multi-Factor 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% |
iShares Edge MSCI World Value Factor 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% |
Goldman Sachs Physical Gold 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% |
Bitcoin | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
WisdomTree CBOE S&P 500 PutWrite Strategy Fund | 12.08% | 11.99% | 8.94% | 3.27% | 0.00% | 1.43% | 1.47% | 6.46% | 3.52% | 2.27% | 0.00% | 0.00% |
BH Macro Limited | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
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% |
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 BF. 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 BF was 27.58%, occurring on Oct 11, 2022. Recovery took 436 trading sessions.
The current BF drawdown is 4.87%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
---|---|---|---|---|---|---|
-27.58% | Nov 9, 2021 | 337 | Oct 11, 2022 | 436 | Dec 21, 2023 | 773 |
-24.39% | Jan 21, 2020 | 63 | Mar 23, 2020 | 120 | Jul 21, 2020 | 183 |
-5.91% | Jul 17, 2024 | 20 | Aug 5, 2024 | 16 | Aug 21, 2024 | 36 |
-5.23% | Sep 7, 2021 | 23 | Sep 29, 2021 | 20 | Oct 19, 2021 | 43 |
-4.87% | Dec 9, 2024 | 34 | Jan 11, 2025 | — | — | — |
Volatility
Volatility Chart
The current BF volatility is 3.55%, 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
BTC-USD | AAAU | BHMG.L | SEGA.L | PUTW | XEON.DE | XDEP.DE | EMIM.L | URTH | JPGL.L | XDEQ.L | WLDS.L | IWFV.L | MEUD.L | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
BTC-USD | 1.00 | 0.12 | 0.06 | 0.11 | 0.19 | 0.15 | 0.15 | 0.19 | 0.26 | 0.16 | 0.21 | 0.20 | 0.17 | 0.20 |
AAAU | 0.12 | 1.00 | 0.17 | 0.35 | 0.06 | 0.33 | 0.34 | 0.23 | 0.13 | 0.11 | 0.15 | 0.16 | 0.17 | 0.21 |
BHMG.L | 0.06 | 0.17 | 1.00 | 0.25 | 0.10 | 0.28 | 0.28 | 0.18 | 0.18 | 0.20 | 0.21 | 0.23 | 0.24 | 0.27 |
SEGA.L | 0.11 | 0.35 | 0.25 | 1.00 | 0.11 | 0.62 | 0.74 | 0.24 | 0.24 | 0.17 | 0.24 | 0.26 | 0.25 | 0.35 |
PUTW | 0.19 | 0.06 | 0.10 | 0.11 | 1.00 | 0.13 | 0.20 | 0.36 | 0.74 | 0.37 | 0.47 | 0.41 | 0.41 | 0.39 |
XEON.DE | 0.15 | 0.33 | 0.28 | 0.62 | 0.13 | 1.00 | 0.79 | 0.35 | 0.28 | 0.26 | 0.32 | 0.34 | 0.36 | 0.45 |
XDEP.DE | 0.15 | 0.34 | 0.28 | 0.74 | 0.20 | 0.79 | 1.00 | 0.40 | 0.38 | 0.38 | 0.40 | 0.43 | 0.44 | 0.54 |
EMIM.L | 0.19 | 0.23 | 0.18 | 0.24 | 0.36 | 0.35 | 0.40 | 1.00 | 0.54 | 0.56 | 0.64 | 0.63 | 0.65 | 0.66 |
URTH | 0.26 | 0.13 | 0.18 | 0.24 | 0.74 | 0.28 | 0.38 | 0.54 | 1.00 | 0.52 | 0.64 | 0.59 | 0.59 | 0.60 |
JPGL.L | 0.16 | 0.11 | 0.20 | 0.17 | 0.37 | 0.26 | 0.38 | 0.56 | 0.52 | 1.00 | 0.77 | 0.78 | 0.77 | 0.75 |
XDEQ.L | 0.21 | 0.15 | 0.21 | 0.24 | 0.47 | 0.32 | 0.40 | 0.64 | 0.64 | 0.77 | 1.00 | 0.77 | 0.75 | 0.79 |
WLDS.L | 0.20 | 0.16 | 0.23 | 0.26 | 0.41 | 0.34 | 0.43 | 0.63 | 0.59 | 0.78 | 0.77 | 1.00 | 0.81 | 0.77 |
IWFV.L | 0.17 | 0.17 | 0.24 | 0.25 | 0.41 | 0.36 | 0.44 | 0.65 | 0.59 | 0.77 | 0.75 | 0.81 | 1.00 | 0.82 |
MEUD.L | 0.20 | 0.21 | 0.27 | 0.35 | 0.39 | 0.45 | 0.54 | 0.66 | 0.60 | 0.75 | 0.79 | 0.77 | 0.82 | 1.00 |