vwrl / vusa
Asset Allocation
| Position | Category/Sector | Weight |
|---|---|---|
VUSA.L Vanguard S&P 500 UCITS ETF | Large Cap Blend Equities | 45% |
VUTY.L Vanguard USD Treasury Bond UCITS ETF Distributing | Government Bonds | 10% |
VWRL.L Vanguard FTSE All-World UCITS ETF Distributing | Global Equities | 45% |
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in vwrl / vusa, 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 Feb 25, 2016, corresponding to the inception date of VUTY.L
Returns By Period
| Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 25.45% | 2.91% | 14.05% | 35.64% | 14.13% | 11.39% |
| vwrl / vusa | 19.89% | 1.43% | 11.01% | 30.00% | 12.53% | N/A |
| Portfolio components: | ||||||
VUSA.L Vanguard S&P 500 UCITS ETF | 26.33% | 3.19% | 14.94% | 37.18% | 15.98% | 15.90% |
VWRL.L Vanguard FTSE All-World UCITS ETF Distributing | 18.76% | 0.23% | 9.42% | 29.42% | 11.74% | 12.17% |
VUTY.L Vanguard USD Treasury Bond UCITS ETF Distributing | -2.07% | -1.17% | 0.83% | 3.01% | -0.90% | N/A |
Monthly Returns
The table below presents the monthly returns of vwrl / vusa, 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 | 1.17% | 3.32% | 3.26% | -3.03% | 2.82% | 4.31% | 1.05% | 1.38% | 1.87% | -0.60% | 19.89% | ||
| 2023 | 5.40% | -2.69% | 3.22% | 1.84% | -0.02% | 5.39% | 2.97% | -1.50% | -4.06% | -2.91% | 8.14% | 5.28% | 22.21% |
| 2022 | -5.54% | -1.89% | 3.15% | -6.95% | -1.88% | -7.07% | 6.52% | -2.79% | -7.38% | 4.07% | 5.06% | -2.79% | -17.32% |
| 2021 | -0.25% | 2.10% | 3.08% | 4.20% | 1.24% | 1.68% | 1.52% | 2.43% | -3.48% | 4.61% | -0.44% | 3.51% | 21.84% |
| 2020 | -0.39% | -7.95% | -9.13% | 9.06% | 3.35% | 2.96% | 4.22% | 6.95% | -2.73% | -2.83% | 9.84% | 4.41% | 16.81% |
| 2019 | 6.76% | 2.91% | 1.76% | 3.04% | -4.52% | 5.46% | 1.36% | -2.29% | 2.38% | 2.01% | 3.07% | 3.16% | 27.59% |
| 2018 | 4.21% | -3.07% | -2.66% | 1.60% | 0.69% | 0.49% | 2.47% | 1.41% | 0.80% | -6.39% | 0.80% | -6.21% | -6.31% |
| 2017 | 1.16% | 3.07% | 1.42% | 0.93% | 1.27% | 1.09% | 2.23% | 0.38% | 1.34% | 2.28% | 2.20% | 1.97% | 21.10% |
| 2016 | 0.62% | 5.81% | 0.26% | 0.91% | 0.57% | 3.51% | 0.53% | 0.20% | -1.06% | 1.70% | 2.27% | 16.24% |
Expense Ratio
vwrl / vusa has an expense ratio of 0.14%, 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 vwrl / vusa is 70, 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 | |
|---|---|---|---|---|---|
VUSA.L Vanguard S&P 500 UCITS ETF | 3.11 | 4.26 | 1.59 | 4.54 | 19.45 |
VWRL.L Vanguard FTSE All-World UCITS ETF Distributing | 2.53 | 3.50 | 1.46 | 3.46 | 15.69 |
VUTY.L Vanguard USD Treasury Bond UCITS ETF Distributing | 0.30 | 0.47 | 1.06 | 0.12 | 0.73 |
Dividends
Dividend yield
vwrl / vusa provided a 0.98% dividend yield over the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 0.98% | 1.77% | 1.80% | 1.29% | 1.58% | 1.85% | 2.07% | 1.79% | 1.65% | 1.67% | 1.64% | 1.61% |
| Portfolio components: | ||||||||||||
VUSA.L Vanguard S&P 500 UCITS ETF | 0.74% | 1.25% | 1.41% | 1.05% | 1.46% | 1.48% | 1.70% | 1.60% | 1.55% | 1.73% | 1.50% | 1.62% |
VWRL.L Vanguard FTSE All-World UCITS ETF Distributing | 1.13% | 1.73% | 2.04% | 1.45% | 1.58% | 1.95% | 2.23% | 1.90% | 1.85% | 1.98% | 2.14% | 1.95% |
VUTY.L Vanguard USD Treasury Bond UCITS ETF Distributing | 1.35% | 4.34% | 2.52% | 1.64% | 2.10% | 3.09% | 2.97% | 2.13% | 1.22% | 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 vwrl / vusa. 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 vwrl / vusa was 29.53%, occurring on Mar 23, 2020. Recovery took 94 trading sessions.
The current vwrl / vusa drawdown is 0.50%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -29.53% | Feb 18, 2020 | 25 | Mar 23, 2020 | 94 | Aug 6, 2020 | 119 |
| -24.58% | Dec 31, 2021 | 195 | Oct 11, 2022 | 301 | Dec 19, 2023 | 496 |
| -14.59% | Sep 24, 2018 | 66 | Dec 24, 2018 | 68 | Apr 2, 2019 | 134 |
| -8.59% | Jan 30, 2018 | 9 | Feb 9, 2018 | 138 | Aug 29, 2018 | 147 |
| -7.21% | Sep 3, 2020 | 13 | Sep 21, 2020 | 35 | Nov 9, 2020 | 48 |
Volatility
Volatility Chart
The current vwrl / vusa volatility is 2.70%, 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
| VUTY.L | VUSA.L | VWRL.L | |
|---|---|---|---|
| VUTY.L | 1.00 | 0.02 | 0.03 |
| VUSA.L | 0.02 | 1.00 | 0.95 |
| VWRL.L | 0.03 | 0.95 | 1.00 |