PortfoliosLab logo
PortfoliosLab logo
​
Tools
Performance Analysis
Portfolio Analysis
Risk Analysis
Optimization
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Screeners
Discussions
VHVG VUAG
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

VHVG VUAG

Last updated Sep 19, 2024

Asset Allocation

VUAG.L 75%VHVG.L 25%EquityEquity
PositionCategory/SectorWeight
VHVG.L
Vanguard FTSE Developed World UCITS ETF Acc		Global Equities
25%
VUAG.L
Vanguard S&P 500 UCITS ETF (USD) Accumulating		Large Cap Blend Equities
75%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in VHVG VUAG, 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

-5.00%0.00%5.00%10.00%AprilMayJuneJulyAugustSeptember
5.91%
7.19%
VHVG VUAG
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Sep 26, 2019, corresponding to the inception date of VHVG.L

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		17.79%0.18%7.53%26.42%13.48%10.85%
VHVG VUAG17.55%0.42%5.91%27.23%N/AN/A
Portfolio components:
VHVG.L
Vanguard FTSE Developed World UCITS ETF Acc		15.01%0.41%4.95%24.49%N/AN/A
VUAG.L
Vanguard S&P 500 UCITS ETF (USD) Accumulating		18.40%0.42%6.23%28.14%13.59%N/A

Monthly Returns

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

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20241.78%4.06%3.44%-2.69%2.35%5.19%0.80%1.33%17.55%
20235.42%-2.26%3.08%2.07%0.63%6.13%3.14%-1.20%-4.49%-3.16%8.82%5.57%25.36%
2022-6.69%-1.75%4.30%-7.71%-2.15%-8.06%7.81%-2.93%-7.59%5.38%4.05%-3.29%-18.57%
2021-0.14%2.56%3.99%4.88%0.97%2.01%2.19%2.84%-3.68%5.52%-0.26%4.29%27.83%
2020-0.06%-9.57%-10.21%10.67%3.83%2.47%4.75%8.01%-3.21%-3.27%10.92%4.17%16.96%
20190.54%2.07%3.79%3.01%9.72%

Expense Ratio

VHVG VUAG has an expense ratio of 0.08%, 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.

VHVG.L
Vanguard FTSE Developed World UCITS ETF Acc
Expense ratio chart for VHVG.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%
VUAG.L
Vanguard S&P 500 UCITS ETF (USD) Accumulating
Expense ratio chart for VUAG.L: current value at 0.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.07%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of VHVG VUAG is 25, 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 VHVG VUAG is 2525
VHVG VUAG
The Sharpe Ratio Rank of VHVG VUAG is 99Sharpe Ratio Rank
The Sortino Ratio Rank of VHVG VUAG is 1010Sortino Ratio Rank
The Omega Ratio Rank of VHVG VUAG is 4848Omega Ratio Rank
The Calmar Ratio Rank of VHVG VUAG is 4848Calmar Ratio Rank
The Martin Ratio Rank of VHVG VUAG is 1111Martin 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.

VHVG VUAG
Sharpe ratio
The chart of Sharpe ratio for VHVG VUAG, currently valued at 1.02, compared to the broader market-1.000.001.002.003.004.001.02
Sortino ratio
The chart of Sortino ratio for VHVG VUAG, currently valued at 1.61, compared to the broader market-2.000.002.004.006.001.61
Omega ratio
The chart of Omega ratio for VHVG VUAG, currently valued at 1.35, compared to the broader market0.801.001.201.401.601.801.35
Calmar ratio
The chart of Calmar ratio for VHVG VUAG, currently valued at 1.82, compared to the broader market0.002.004.006.008.001.82
Martin ratio
The chart of Martin ratio for VHVG VUAG, currently valued at 4.58, compared to the broader market0.0010.0020.0030.004.58
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.06, compared to the broader market-1.000.001.002.003.004.002.06
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.78, compared to the broader market-2.000.002.004.006.002.78
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.37, compared to the broader market0.801.001.201.401.601.801.37
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.85, compared to the broader market0.002.004.006.008.001.85
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 11.09, compared to the broader market0.0010.0020.0030.0011.09
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
VHVG.L
Vanguard FTSE Developed World UCITS ETF Acc		1.962.761.351.8911.17
VUAG.L
Vanguard S&P 500 UCITS ETF (USD) Accumulating		0.841.441.361.463.22

Sharpe Ratio

The current VHVG VUAG Sharpe ratio is 1.02. 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 1.71 to 2.36, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests that it may not be performing as well in terms of risk-adjusted returns compared to many other portfolios. The lower performance could be due to either lower returns, higher volatility, or a combination of both. This might indicate that the portfolio requires some fine-tuning. You can use the Portfolio Optimization tool to find an allocation that maximizes the Sharpe ratio.

Use the chart below to compare the Sharpe ratio of VHVG VUAG 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 Ratio1.001.502.002.503.00AprilMayJuneJulyAugustSeptember
1.02
2.06
VHVG VUAG
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

VHVG VUAG doesn't pay dividends

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.

-8.00%-6.00%-4.00%-2.00%0.00%AprilMayJuneJulyAugustSeptember
-1.10%
-0.86%
VHVG VUAG
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the VHVG VUAG. 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 VHVG VUAG was 33.54%, occurring on Mar 23, 2020. Recovery took 98 trading sessions.

The current VHVG VUAG drawdown is 1.10%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-33.54%Feb 18, 202025Mar 23, 202098Aug 12, 2020123
-25.53%Jan 4, 2022194Oct 11, 2022279Nov 16, 2023473
-14.96%Nov 17, 20231Nov 17, 202386Mar 21, 202487
-8.47%Sep 3, 202013Sep 21, 202035Nov 9, 202048
-8.05%Jul 17, 202414Aug 5, 202430Sep 17, 202444

Volatility

Volatility Chart

The current VHVG VUAG volatility is 4.42%, 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.

2.00%3.00%4.00%5.00%6.00%AprilMayJuneJulyAugustSeptember
4.42%
3.99%
VHVG VUAG
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.
VHVG.LVUAG.L
VHVG.L1.000.96
VUAG.L0.961.00
The correlation results are calculated based on daily price changes starting from Sep 27, 2019