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70 SXR8 + 25 QDVE + 5 VVSM
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

70 SXR8 + 25 QDVE + 5 VVSM

Last updated Aug 27, 2024

Asset Allocation

SXR8.DE 70%QDVE.DE 25%VVSM.DE 5%EquityEquity
PositionCategory/SectorWeight
QDVE.DE
iShares S&P 500 Information Technology Sector UCITS ETF		Technology Equities
25%
SXR8.DE
iShares Core S&P 500 UCITS ETF USD (Acc)		Large Cap Blend Equities
70%
VVSM.DE
VanEck Semiconductor UCITS ETF		Technology Equities
5%

S&P 500

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in 70 SXR8 + 25 QDVE + 5 VVSM, 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

40.00%50.00%60.00%70.00%80.00%MarchAprilMayJuneJulyAugust
73.19%
53.18%
70 SXR8 + 25 QDVE + 5 VVSM
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Dec 3, 2020, corresponding to the inception date of VVSM.DE

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		17.76%2.89%10.80%27.49%14.28%10.89%
70 SXR8 + 25 QDVE + 5 VVSM21.11%2.97%12.61%33.43%N/AN/A
Portfolio components:
QDVE.DE
iShares S&P 500 Information Technology Sector UCITS ETF		27.64%3.03%16.37%44.22%26.13%N/A
SXR8.DE
iShares Core S&P 500 UCITS ETF USD (Acc)		18.36%3.10%11.47%28.32%15.44%14.32%
VVSM.DE
VanEck Semiconductor UCITS ETF		25.18%0.77%7.90%50.71%N/AN/A

Monthly Returns

The table below presents the monthly returns of 70 SXR8 + 25 QDVE + 5 VVSM, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20242.59%5.00%3.41%-3.51%4.04%7.60%-0.84%21.11%
20237.06%-0.88%4.98%1.03%4.32%6.14%3.03%-1.01%-5.16%-2.74%10.21%5.57%36.41%
2022-7.67%-2.87%4.39%-8.44%-2.37%-8.74%9.65%-3.63%-8.71%5.54%3.41%-4.42%-23.15%
2021-0.05%2.57%3.07%4.99%0.12%3.74%2.63%3.40%-4.21%5.76%2.19%4.91%32.82%
20202.70%2.70%

Expense Ratio

70 SXR8 + 25 QDVE + 5 VVSM 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.

VVSM.DE
VanEck Semiconductor UCITS ETF
Expense ratio chart for VVSM.DE: 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%
QDVE.DE
iShares S&P 500 Information Technology Sector UCITS ETF
Expense ratio chart for QDVE.DE: 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%
SXR8.DE
iShares Core S&P 500 UCITS ETF USD (Acc)
Expense ratio chart for SXR8.DE: 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 SXR8 + 25 QDVE + 5 VVSM is 67, 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 SXR8 + 25 QDVE + 5 VVSM is 6767
70 SXR8 + 25 QDVE + 5 VVSM
The Sharpe Ratio Rank of 70 SXR8 + 25 QDVE + 5 VVSM is 6666Sharpe Ratio Rank
The Sortino Ratio Rank of 70 SXR8 + 25 QDVE + 5 VVSM is 6565Sortino Ratio Rank
The Omega Ratio Rank of 70 SXR8 + 25 QDVE + 5 VVSM is 7171Omega Ratio Rank
The Calmar Ratio Rank of 70 SXR8 + 25 QDVE + 5 VVSM is 7878Calmar Ratio Rank
The Martin Ratio Rank of 70 SXR8 + 25 QDVE + 5 VVSM is 5858Martin 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 SXR8 + 25 QDVE + 5 VVSM
Sharpe ratio
The chart of Sharpe ratio for 70 SXR8 + 25 QDVE + 5 VVSM, currently valued at 2.25, compared to the broader market-1.000.001.002.003.004.002.25
Sortino ratio
The chart of Sortino ratio for 70 SXR8 + 25 QDVE + 5 VVSM, currently valued at 3.09, compared to the broader market-2.000.002.004.003.09
Omega ratio
The chart of Omega ratio for 70 SXR8 + 25 QDVE + 5 VVSM, currently valued at 1.41, compared to the broader market0.801.001.201.401.601.801.41
Calmar ratio
The chart of Calmar ratio for 70 SXR8 + 25 QDVE + 5 VVSM, currently valued at 2.84, compared to the broader market0.002.004.006.008.002.84
Martin ratio
The chart of Martin ratio for 70 SXR8 + 25 QDVE + 5 VVSM, currently valued at 9.89, compared to the broader market0.005.0010.0015.0020.0025.0030.009.89
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.28, compared to the broader market-1.000.001.002.003.004.002.28
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.09, compared to the broader market-2.000.002.004.003.09
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.41, compared to the broader market0.801.001.201.401.601.801.41
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 2.00, compared to the broader market0.002.004.006.008.002.00
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 10.55, compared to the broader market0.005.0010.0015.0020.0025.0030.0010.55
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
QDVE.DE
iShares S&P 500 Information Technology Sector UCITS ETF		2.042.711.362.699.09
SXR8.DE
iShares Core S&P 500 UCITS ETF USD (Acc)		2.313.211.432.2110.04
VVSM.DE
VanEck Semiconductor UCITS ETF		1.652.231.291.876.53

Sharpe Ratio

The current 70 SXR8 + 25 QDVE + 5 VVSM Sharpe ratio is 2.25. 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 1.80 to 2.40, 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 SXR8 + 25 QDVE + 5 VVSM 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 Ratio1.502.002.503.003.50MarchAprilMayJuneJulyAugust
2.25
2.28
70 SXR8 + 25 QDVE + 5 VVSM
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

70 SXR8 + 25 QDVE + 5 VVSM 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.

-10.00%-8.00%-6.00%-4.00%-2.00%0.00%MarchAprilMayJuneJulyAugust
-2.37%
-0.89%
70 SXR8 + 25 QDVE + 5 VVSM
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the 70 SXR8 + 25 QDVE + 5 VVSM. 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 SXR8 + 25 QDVE + 5 VVSM was 28.28%, occurring on Oct 12, 2022. Recovery took 293 trading sessions.

The current 70 SXR8 + 25 QDVE + 5 VVSM drawdown is 2.37%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-28.28%Jan 3, 2022201Oct 12, 2022293Dec 1, 2023494
-10.14%Jul 16, 202415Aug 5, 2024———
-6.89%Feb 16, 202114Mar 5, 202119Apr 1, 202133
-6.59%Mar 22, 202420Apr 22, 202416May 15, 202436
-6.47%Sep 7, 202120Oct 4, 202116Oct 26, 202136

Volatility

Volatility Chart

The current 70 SXR8 + 25 QDVE + 5 VVSM volatility is 5.93%, 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%7.00%MarchAprilMayJuneJulyAugust
5.93%
5.88%
70 SXR8 + 25 QDVE + 5 VVSM
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.
VVSM.DESXR8.DEQDVE.DE
VVSM.DE1.000.780.87
SXR8.DE0.781.000.89
QDVE.DE0.870.891.00
The correlation results are calculated based on daily price changes starting from Dec 4, 2020