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Vwce+zrpv+euna 80/10/10
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Vwce+zrpv+euna 80/10/10

Last updated Sep 21, 2024

Asset Allocation

VWCE.DE 80%EUNA.AS 10%ZPRV.DE 10%EquityEquity
PositionCategory/SectorWeight
EUNA.AS
iShares STOXX Europe 50 UCITS ETF		Europe Equities
10%
VWCE.DE
Vanguard FTSE All-World UCITS ETF		Global Equities
80%
ZPRV.DE
SPDR MSCI USA Small Cap Value Weighted UCITS ETF		Small Cap Value Equities
10%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Vwce+zrpv+euna 80/10/10, 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
8.06%
8.95%
Vwce+zrpv+euna 80/10/10
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jul 25, 2019, corresponding to the inception date of VWCE.DE

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		19.55%2.37%8.95%32.00%13.81%11.08%
Vwce+zrpv+euna 80/10/1015.19%1.42%8.06%26.59%11.57%N/A
Portfolio components:
EUNA.AS
iShares STOXX Europe 50 UCITS ETF		11.13%-1.64%4.93%19.55%9.36%6.66%
ZPRV.DE
SPDR MSCI USA Small Cap Value Weighted UCITS ETF		8.67%3.69%8.92%27.09%13.53%N/A
VWCE.DE
Vanguard FTSE All-World UCITS ETF		16.45%1.50%8.28%27.31%11.38%N/A

Monthly Returns

The table below presents the monthly returns of Vwce+zrpv+euna 80/10/10, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20240.37%3.15%3.63%-3.00%3.00%2.57%2.27%1.48%15.19%
20237.04%-2.27%1.76%1.68%-1.49%6.02%3.59%-2.47%-3.99%-3.71%8.76%5.98%21.69%
2022-5.13%-1.69%2.26%-6.45%-1.11%-8.37%6.43%-3.16%-8.40%5.26%7.07%-2.84%-16.42%
20210.45%2.91%3.21%4.02%1.98%0.77%0.66%2.24%-3.55%4.31%-2.08%3.99%20.25%
2020-2.01%-9.12%-12.52%8.83%3.48%3.72%4.12%6.71%-3.01%-2.39%13.13%5.26%13.99%
2019-0.50%-2.97%2.72%2.38%2.78%3.86%8.39%

Expense Ratio

Vwce+zrpv+euna 80/10/10 has an expense ratio of 0.24%, 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.

EUNA.AS
iShares STOXX Europe 50 UCITS ETF
Expense ratio chart for EUNA.AS: 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%
ZPRV.DE
SPDR MSCI USA Small Cap Value Weighted UCITS ETF
Expense ratio chart for ZPRV.DE: 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%
VWCE.DE
Vanguard FTSE All-World UCITS ETF
Expense ratio chart for VWCE.DE: current value at 0.22% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.22%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Vwce+zrpv+euna 80/10/10 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.

The Risk-Adjusted Performance Rank of Vwce+zrpv+euna 80/10/10 is 7070
Vwce+zrpv+euna 80/10/10
The Sharpe Ratio Rank of Vwce+zrpv+euna 80/10/10 is 7070Sharpe Ratio Rank
The Sortino Ratio Rank of Vwce+zrpv+euna 80/10/10 is 7676Sortino Ratio Rank
The Omega Ratio Rank of Vwce+zrpv+euna 80/10/10 is 7474Omega Ratio Rank
The Calmar Ratio Rank of Vwce+zrpv+euna 80/10/10 is 5454Calmar Ratio Rank
The Martin Ratio Rank of Vwce+zrpv+euna 80/10/10 is 7777Martin 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.

Vwce+zrpv+euna 80/10/10
Sharpe ratio
The chart of Sharpe ratio for Vwce+zrpv+euna 80/10/10, currently valued at 2.45, compared to the broader market-1.000.001.002.003.004.002.45
Sortino ratio
The chart of Sortino ratio for Vwce+zrpv+euna 80/10/10, currently valued at 3.47, compared to the broader market-2.000.002.004.006.003.47
Omega ratio
The chart of Omega ratio for Vwce+zrpv+euna 80/10/10, currently valued at 1.45, compared to the broader market0.801.001.201.401.601.801.45
Calmar ratio
The chart of Calmar ratio for Vwce+zrpv+euna 80/10/10, currently valued at 2.21, compared to the broader market0.002.004.006.008.0010.002.21
Martin ratio
The chart of Martin ratio for Vwce+zrpv+euna 80/10/10, currently valued at 15.73, compared to the broader market0.0010.0020.0030.0040.0015.73
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.32, compared to the broader market-1.000.001.002.003.004.002.32
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.11, compared to the broader market-2.000.002.004.006.003.11
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.42, compared to the broader market0.801.001.201.401.601.801.42
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 2.09, compared to the broader market0.002.004.006.008.0010.002.09
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 14.29, compared to the broader market0.0010.0020.0030.0040.0014.29
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
EUNA.AS
iShares STOXX Europe 50 UCITS ETF		1.782.581.312.1910.45
ZPRV.DE
SPDR MSCI USA Small Cap Value Weighted UCITS ETF		1.392.121.261.737.30
VWCE.DE
Vanguard FTSE All-World UCITS ETF		2.593.661.482.1216.00

Sharpe Ratio

The current Vwce+zrpv+euna 80/10/10 Sharpe ratio is 2.44. 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 1.91 to 2.59, 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 Vwce+zrpv+euna 80/10/10 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
2.45
2.32
Vwce+zrpv+euna 80/10/10
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Vwce+zrpv+euna 80/10/10 granted a 0.27% dividend yield in the last twelve months.

TTM20232022202120202019201820172016201520142013
Vwce+zrpv+euna 80/10/100.27%0.26%0.26%0.22%0.24%0.30%0.35%0.32%0.33%0.30%0.28%0.27%
Portfolio components:
EUNA.AS
iShares STOXX Europe 50 UCITS ETF		2.66%2.56%2.62%2.22%2.42%2.96%3.51%3.24%3.29%3.05%2.80%2.74%
ZPRV.DE
SPDR MSCI USA Small Cap Value Weighted 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%
VWCE.DE
Vanguard FTSE All-World 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.

-8.00%-6.00%-4.00%-2.00%0.00%AprilMayJuneJulyAugustSeptember
-0.73%
-0.19%
Vwce+zrpv+euna 80/10/10
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Vwce+zrpv+euna 80/10/10. 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 Vwce+zrpv+euna 80/10/10 was 34.97%, occurring on Mar 23, 2020. Recovery took 114 trading sessions.

The current Vwce+zrpv+euna 80/10/10 drawdown is 0.76%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-34.97%Jan 21, 202045Mar 23, 2020114Sep 2, 2020159
-25.18%Nov 9, 2021240Oct 12, 2022305Dec 19, 2023545
-7.29%Jul 17, 202414Aug 5, 202412Aug 21, 202426
-6.89%Oct 13, 202014Oct 30, 20204Nov 5, 202018
-6.82%Sep 3, 202016Sep 24, 202012Oct 12, 202028

Volatility

Volatility Chart

The current Vwce+zrpv+euna 80/10/10 volatility is 4.36%, 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
4.36%
4.31%
Vwce+zrpv+euna 80/10/10
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.
ZPRV.DEEUNA.ASVWCE.DE
ZPRV.DE1.000.670.77
EUNA.AS0.671.000.86
VWCE.DE0.770.861.00
The correlation results are calculated based on daily price changes starting from Jul 26, 2019