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BF
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Risk-Adjusted Performance
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BF

Last updated Jul 25, 2024

Asset Allocation

XEON.DE 20%XDEP.DE 5%SEGA.L 5%AAAU 2%BTC-USD 2%URTH 30%EMIM.L 10%MEUD.L 5%WLDS.L 5%XDEQ.L 4%JPGL.L 4%IWFV.L 4%BHMG.L 2%PUTW 2%BondBondCommodityCommodityCryptocurrencyCryptocurrencyEquityEquityMulti-AssetMulti-Asset
PositionCategory/SectorWeight
AAAU
Goldman Sachs Physical Gold ETF		Precious Metals, Gold

2%

BHMG.L
BH Macro Limited		Financial Services

2%

BTC-USD
Bitcoin

2%

EMIM.L
iShares Core MSCI Emerging Markets IMI UCITS ETF (Acc)		Emerging Markets Equities

10%

IWFV.L
iShares Edge MSCI World Value Factor UCITS ETF		Global Equities

4%

JPGL.L
JPM Global Equity Multi-Factor UCITS ETF USD Acc		Global Equities

4%

MEUD.L
Lyxor Core STOXX Europe 600 (DR) - UCITS ETF Acc		Europe Equities

5%

PUTW
WisdomTree CBOE S&P 500 PutWrite Strategy Fund		Hedge Fund

2%

SEGA.L
iShares Core Euro Government Bond UCITS ETF (Dist)		European Government Bonds

5%

URTH
iShares MSCI World ETF		Large Cap Growth Equities

30%

WLDS.L
iShares MSCI World Small Cap UCITS ETF		Small Cap Blend Equities

5%

XDEP.DE
Xtrackers iBoxx EUR Corporate Bond Yield Plus UCITS ETF		European Corporate Bonds

5%

XDEQ.L
Xtrackers MSCI World Quality Factor UCITS ETF 1C		Global Equities

4%

XEON.DE
Xtrackers II EUR Overnight Rate Swap UCITS ETF 1C		Bank Loan

20%

S&P 500

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 Quarterly

50.00%60.00%70.00%80.00%90.00%FebruaryMarchAprilMayJuneJuly
58.67%
79.73%
BF
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jul 16, 2019, corresponding to the inception date of JPGL.L

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		13.20%-1.28%10.32%18.23%12.31%10.58%
BF7.24%0.99%7.89%12.40%9.68%N/A
Portfolio components:
URTH
iShares MSCI World ETF		11.03%-0.81%9.34%17.05%11.37%9.29%
EMIM.L
iShares Core MSCI Emerging Markets IMI UCITS ETF (Acc)		6.42%-0.63%9.37%7.18%3.78%5.39%
XDEP.DE
Xtrackers iBoxx EUR Corporate Bond Yield Plus UCITS ETF		-0.73%2.90%1.50%4.54%-2.85%N/A
SEGA.L
iShares Core Euro Government Bond UCITS ETF (Dist)		-4.54%1.58%-0.37%1.11%30.57%17.20%
MEUD.L
Lyxor Core STOXX Europe 600 (DR) - UCITS ETF Acc		6.02%0.38%7.27%9.82%7.73%7.69%
XEON.DE
Xtrackers II EUR Overnight Rate Swap UCITS ETF 1C		0.48%1.84%1.87%2.72%0.30%0.20%
XDEQ.L
Xtrackers MSCI World Quality Factor UCITS ETF 1C		12.12%-2.14%10.12%19.46%11.85%N/A
JPGL.L
JPM Global Equity Multi-Factor UCITS ETF USD Acc		8.82%2.73%8.70%12.86%8.89%N/A
IWFV.L
iShares Edge MSCI World Value Factor UCITS ETF		6.34%2.82%6.73%10.70%7.34%N/A
AAAU
Goldman Sachs Physical Gold ETF		14.37%2.70%16.88%21.25%10.56%N/A
BTC-USD
Bitcoin		55.63%8.17%57.30%125.18%47.15%60.34%
PUTW
WisdomTree CBOE S&P 500 PutWrite Strategy Fund		10.15%-1.29%7.50%11.34%7.65%N/A
BHMG.L
BH Macro Limited		2.47%3.50%3.82%4.23%7.53%6.69%
WLDS.L
iShares MSCI World Small Cap UCITS ETF		4.85%5.77%8.33%9.91%7.54%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.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-0.81%3.01%2.90%-2.28%3.05%0.64%7.24%
20239.11%-3.11%3.28%1.65%-2.26%4.30%2.66%-2.58%-3.43%-1.24%6.97%4.71%20.88%
2022-3.16%-1.37%0.64%-6.62%-0.01%-7.00%4.72%-3.85%-7.23%3.79%7.46%-1.37%-14.25%
20210.41%2.09%2.04%2.92%1.41%-0.61%1.52%1.38%-3.35%3.49%-2.28%2.00%11.34%
20201.15%-5.54%-9.36%7.18%3.37%2.71%6.30%4.31%-2.47%-1.14%9.90%5.88%22.60%
2019-0.80%-1.87%0.90%2.78%0.59%2.96%4.56%

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.

PUTW
WisdomTree CBOE S&P 500 PutWrite Strategy Fund
Expense ratio chart for PUTW: current value at 0.44% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.44%
WLDS.L
iShares MSCI World Small Cap UCITS ETF
Expense ratio chart for WLDS.L: 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%
IWFV.L
iShares Edge MSCI World Value Factor UCITS ETF
Expense ratio chart for IWFV.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%
XDEP.DE
Xtrackers iBoxx EUR Corporate Bond Yield Plus UCITS ETF
Expense ratio chart for XDEP.DE: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%
XDEQ.L
Xtrackers MSCI World Quality Factor UCITS ETF 1C
Expense ratio chart for XDEQ.L: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%
URTH
iShares MSCI World ETF
Expense ratio chart for URTH: current value at 0.24% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.24%
JPGL.L
JPM Global Equity Multi-Factor UCITS ETF USD Acc
Expense ratio chart for JPGL.L: current value at 0.19% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.19%
EMIM.L
iShares Core MSCI Emerging Markets IMI UCITS ETF (Acc)
Expense ratio chart for EMIM.L: current value at 0.18% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.18%
AAAU
Goldman Sachs Physical Gold ETF
Expense ratio chart for AAAU: current value at 0.18% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.18%
MEUD.L
Lyxor Core STOXX Europe 600 (DR) - UCITS ETF Acc
Expense ratio chart for MEUD.L: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%
XEON.DE
Xtrackers II EUR Overnight Rate Swap UCITS ETF 1C
Expense ratio chart for XEON.DE: current value at 0.10% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.10%
SEGA.L
iShares Core Euro Government Bond UCITS ETF (Dist)
Expense ratio chart for SEGA.L: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current risk-adjusted rank of BF is 86, placing it in the top 14% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.

The Risk-Adjusted Performance Rank of BF is 8686
BF
The Sharpe Ratio Rank of BF is 9393Sharpe Ratio Rank
The Sortino Ratio Rank of BF is 9494Sortino Ratio Rank
The Omega Ratio Rank of BF is 9494Omega Ratio Rank
The Calmar Ratio Rank of BF is 5555Calmar Ratio Rank
The Martin Ratio Rank of BF is 9494Martin 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.

BF
Sharpe ratio
The chart of Sharpe ratio for BF, currently valued at 2.53, compared to the broader market-1.000.001.002.003.004.002.53
Sortino ratio
The chart of Sortino ratio for BF, currently valued at 3.70, compared to the broader market-2.000.002.004.006.003.70
Omega ratio
The chart of Omega ratio for BF, currently valued at 1.44, compared to the broader market0.801.001.201.401.601.801.44
Calmar ratio
The chart of Calmar ratio for BF, currently valued at 1.33, compared to the broader market0.002.004.006.008.001.33
Martin ratio
The chart of Martin ratio for BF, currently valued at 17.62, compared to the broader market0.0010.0020.0030.0040.0017.62
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.58, compared to the broader market-1.000.001.002.003.004.001.58
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.22, compared to the broader market-2.000.002.004.006.002.22
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.28, compared to the broader market0.801.001.201.401.601.801.28
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.29, compared to the broader market0.002.004.006.008.001.29
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 5.98, compared to the broader market0.0010.0020.0030.0040.005.98
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
URTH
iShares MSCI World ETF		2.723.791.491.6620.46
EMIM.L
iShares Core MSCI Emerging Markets IMI UCITS ETF (Acc)		1.322.041.230.188.60
XDEP.DE
Xtrackers iBoxx EUR Corporate Bond Yield Plus UCITS ETF		1.051.581.190.062.34
SEGA.L
iShares Core Euro Government Bond UCITS ETF (Dist)		0.330.521.060.050.57
MEUD.L
Lyxor Core STOXX Europe 600 (DR) - UCITS ETF Acc		1.862.721.321.0311.38
XEON.DE
Xtrackers II EUR Overnight Rate Swap UCITS ETF 1C		0.711.031.130.052.46
XDEQ.L
Xtrackers MSCI World Quality Factor UCITS ETF 1C		2.553.691.461.4214.97
JPGL.L
JPM Global Equity Multi-Factor UCITS ETF USD Acc		2.703.841.501.3618.14
IWFV.L
iShares Edge MSCI World Value Factor UCITS ETF		2.072.951.381.1712.71
AAAU
Goldman Sachs Physical Gold ETF		1.982.641.351.5711.62
BTC-USD
Bitcoin		2.643.041.321.5914.62
PUTW
WisdomTree CBOE S&P 500 PutWrite Strategy Fund		2.583.591.511.1418.89
BHMG.L
BH Macro Limited		0.540.911.100.051.71
WLDS.L
iShares MSCI World Small Cap UCITS ETF		-0.22-0.090.980.48-2.12

Sharpe Ratio

The current BF Sharpe ratio is 2.77. 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 1.24 to 1.94, this portfolio's current Sharpe ratio is in the top 25%, it signifies superior risk-adjusted performance. This means that for the level of risk undertaken, the portfolio is generating impressive returns compared to most others.

Use the chart below to compare the Sharpe ratio of BF 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 Ratio1.001.502.002.503.003.504.004.50FebruaryMarchAprilMayJuneJuly
2.53
1.58
BF
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

BF granted a 9.82% dividend yield in the last twelve months.

TTM20232022202120202019201820172016201520142013
BF9.82%5.54%1.88%1.69%2.75%0.78%0.85%0.67%0.73%0.73%0.78%0.31%
Portfolio components:
URTH
iShares MSCI World ETF		1.56%1.70%1.68%1.50%1.52%2.16%2.30%1.88%2.15%2.35%2.31%1.04%
EMIM.L
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%
XDEP.DE
Xtrackers iBoxx EUR Corporate Bond Yield Plus UCITS ETF		0.00%0.00%0.00%0.00%0.00%1.40%0.00%0.00%0.00%0.00%0.00%0.00%
SEGA.L
iShares Core Euro Government Bond UCITS ETF (Dist)		183.02%97.13%26.13%24.90%45.31%0.68%0.65%0.69%0.86%0.60%1.74%0.00%
MEUD.L
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%
XEON.DE
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%
XDEQ.L
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%0.01%0.00%
JPGL.L
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%
IWFV.L
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%
AAAU
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%
BTC-USD
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%
PUTW
WisdomTree CBOE S&P 500 PutWrite Strategy Fund		9.91%8.92%3.27%0.00%1.43%1.47%6.46%3.52%2.27%0.00%0.00%0.00%
BHMG.L
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%
WLDS.L
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.

-5.00%-4.00%-3.00%-2.00%-1.00%0.00%FebruaryMarchAprilMayJuneJuly
-2.61%
-4.73%
BF
Benchmark (^GSPC)
Portfolio components

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 24.53%, occurring on Oct 11, 2022. Recovery took 429 trading sessions.

The current BF drawdown is 2.27%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-24.53%Nov 9, 2021337Oct 11, 2022429Dec 14, 2023766
-23.97%Jan 21, 202063Mar 23, 2020119Jul 20, 2020182
-4.94%Sep 3, 202022Sep 24, 202018Oct 12, 202040
-4.54%Sep 7, 202128Oct 4, 202132Nov 5, 202160
-4.4%Oct 13, 202018Oct 30, 20206Nov 5, 202024

Volatility

Volatility Chart

The current BF volatility is 2.11%, 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.

1.50%2.00%2.50%3.00%3.50%4.00%FebruaryMarchAprilMayJuneJuly
2.11%
3.80%
BF
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.
BTC-USDAAAUBHMG.LSEGA.LPUTWXEON.DEXDEP.DEEMIM.LURTHJPGL.LXDEQ.LWLDS.LIWFV.LMEUD.L
BTC-USD1.000.110.050.110.180.150.140.180.250.150.190.180.160.19
AAAU0.111.000.150.350.050.340.340.210.120.110.120.140.160.20
BHMG.L0.050.151.000.260.090.270.270.160.160.190.210.230.240.27
SEGA.L0.110.350.261.000.110.590.700.240.230.170.250.260.260.35
PUTW0.180.050.090.111.000.140.210.360.730.370.450.410.410.39
XEON.DE0.150.340.270.590.141.000.770.330.290.260.310.330.360.44
XDEP.DE0.140.340.270.700.210.771.000.390.380.380.390.430.420.52
EMIM.L0.180.210.160.240.360.330.391.000.540.560.650.640.650.66
URTH0.250.120.160.230.730.290.380.541.000.520.630.580.580.60
JPGL.L0.150.110.190.170.370.260.380.560.521.000.760.780.760.75
XDEQ.L0.190.120.210.250.450.310.390.650.630.761.000.780.760.80
WLDS.L0.180.140.230.260.410.330.430.640.580.780.781.000.810.78
IWFV.L0.160.160.240.260.410.360.420.650.580.760.760.811.000.82
MEUD.L0.190.200.270.350.390.440.520.660.600.750.800.780.821.00
The correlation results are calculated based on daily price changes starting from Jul 17, 2019