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70/30/20
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

70/30/20

Last updated Jul 25, 2024

Asset Allocation

SWRD.L 50%EIMI.L 30%^GSPC 20%EquityEquity
PositionCategory/SectorWeight
^GSPC
S&P 500

20%

EIMI.L
iShares Core MSCI EM IMI UCITS ETF		Emerging Markets Equities

30%

SWRD.L
SPDR MSCI World UCITS ETF		Large Cap Growth Equities

50%

S&P 500

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in 70/30/20, 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%100.00%FebruaryMarchAprilMayJuneJuly
65.69%
93.33%
93.33%
70/30/20
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Mar 4, 2019, corresponding to the inception date of SWRD.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%
70/30/2010.50%-0.38%10.34%14.53%9.25%N/A
Portfolio components:
SWRD.L
SPDR MSCI World UCITS ETF		11.79%0.05%10.62%17.67%11.35%N/A
EIMI.L
iShares Core MSCI EM IMI UCITS ETF		6.48%-0.50%9.79%6.98%3.72%2.51%
^GSPC
S&P 500		13.20%-1.28%10.32%18.23%12.01%10.58%

Monthly Returns

The table below presents the monthly returns of 70/30/20, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20240.02%3.64%3.33%-2.27%2.62%3.76%10.50%
20236.94%-3.26%2.82%1.00%-1.29%6.12%4.08%-3.19%-3.84%-3.55%9.07%4.85%20.27%
2022-4.51%-2.54%1.79%-7.13%-0.95%-7.91%5.38%-2.31%-9.26%3.55%7.41%-2.57%-18.77%
20210.46%2.20%2.01%3.79%1.52%1.34%-0.19%2.22%-3.60%3.93%-2.27%3.91%16.09%
2020-1.94%-8.21%-12.17%9.63%3.02%4.33%5.97%6.37%-2.97%-2.05%11.40%5.22%16.98%
20191.26%2.91%-5.96%6.30%0.42%-3.48%2.46%2.57%2.40%4.03%13.03%

Expense Ratio

70/30/20 has an expense ratio of 0.11%, 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.

EIMI.L
iShares Core MSCI EM IMI UCITS ETF
Expense ratio chart for EIMI.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%
SWRD.L
SPDR MSCI World UCITS ETF
Expense ratio chart for SWRD.L: current value at 0.12% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.12%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of 70/30/20 is 43, 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.

The Risk-Adjusted Performance Rank of 70/30/20 is 4343
70/30/20
The Sharpe Ratio Rank of 70/30/20 is 4141Sharpe Ratio Rank
The Sortino Ratio Rank of 70/30/20 is 4545Sortino Ratio Rank
The Omega Ratio Rank of 70/30/20 is 4646Omega Ratio Rank
The Calmar Ratio Rank of 70/30/20 is 3333Calmar Ratio Rank
The Martin Ratio Rank of 70/30/20 is 5151Martin 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.

70/30/20
Sharpe ratio
The chart of Sharpe ratio for 70/30/20, currently valued at 1.53, compared to the broader market-1.000.001.002.003.004.001.53
Sortino ratio
The chart of Sortino ratio for 70/30/20, currently valued at 2.30, compared to the broader market-2.000.002.004.006.002.30
Omega ratio
The chart of Omega ratio for 70/30/20, 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 70/30/20, currently valued at 1.04, compared to the broader market0.002.004.006.008.001.04
Martin ratio
The chart of Martin ratio for 70/30/20, currently valued at 6.12, compared to the broader market0.0010.0020.0030.0040.006.12
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.72, compared to the broader market-1.000.001.002.003.004.001.72
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.42, compared to the broader market-2.000.002.004.006.002.42
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.31, compared to the broader market0.801.001.201.401.601.801.31
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.39, compared to the broader market0.002.004.006.008.001.39
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 8.11, compared to the broader market0.0010.0020.0030.0040.008.11
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
SWRD.L
SPDR MSCI World UCITS ETF		1.722.561.311.527.56
EIMI.L
iShares Core MSCI EM IMI UCITS ETF		0.631.041.120.302.39
^GSPC
S&P 500		1.722.421.311.398.11

Sharpe Ratio

The current 70/30/20 Sharpe ratio is 1.40. 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 lies between the 25th and 75th percentiles. This indicates that the its risk-adjusted performance is in line with the majority of portfolios. This suggests a balanced approach to risk and return, which might be suitable for a broad range of investors.

Use the chart below to compare the Sharpe ratio of 70/30/20 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 Ratio1.001.502.002.50FebruaryMarchAprilMayJuneJuly
1.53
1.72
1.72
70/30/20
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

70/30/20 doesn't pay dividends

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
-3.96%
-4.73%
-4.73%
70/30/20
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the 70/30/20. 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 70/30/20 was 33.59%, occurring on Mar 23, 2020. Recovery took 108 trading sessions.

The current 70/30/20 drawdown is 3.38%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-33.59%Jan 20, 202046Mar 23, 2020108Aug 24, 2020154
-26.54%Nov 17, 2021235Oct 12, 2022350Feb 22, 2024585
-7.14%Jul 5, 201930Aug 15, 201951Oct 25, 201981
-6.83%Sep 3, 202016Sep 24, 202012Oct 12, 202028
-6.53%May 6, 201917May 29, 201923Jul 1, 201940

Volatility

Volatility Chart

The current 70/30/20 volatility is 2.79%, 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
2.79%
3.79%
3.79%
70/30/20
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.
^GSPCEIMI.LSWRD.L
^GSPC1.000.470.59
EIMI.L0.471.000.72
SWRD.L0.590.721.00
The correlation results are calculated based on daily price changes starting from Mar 5, 2019