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November_Option_1_copy_2
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

November_Option_1_copy_2

Last updated Jul 25, 2024

Asset Allocation

IUIT.L 50%VWCE.DE 50%EquityEquity
PositionCategory/SectorWeight
IUIT.L
iShares S&P 500 Information Technology Sector UCITS ETF		Technology Equities

50%

VWCE.DE
Vanguard FTSE All-World UCITS ETF		Global Equities

50%

S&P 500

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in November_Option_1_copy_2, 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

60.00%80.00%100.00%120.00%140.00%FebruaryMarchAprilMayJuneJuly
124.78%
79.75%
November_Option_1_copy_2
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		13.20%-1.28%10.32%18.23%12.31%10.58%
November_Option_1_copy_217.52%-1.58%13.38%24.38%17.15%N/A
Portfolio components:
IUIT.L
iShares S&P 500 Information Technology Sector UCITS ETF		23.88%-3.31%16.67%33.45%24.01%N/A
VWCE.DE
Vanguard FTSE All-World UCITS ETF		11.11%0.16%9.87%15.41%10.18%N/A

Monthly Returns

The table below presents the monthly returns of November_Option_1_copy_2, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20242.40%4.47%3.10%-3.41%4.74%8.05%17.52%
20238.01%-0.62%6.20%0.90%4.99%6.04%3.18%-1.67%-5.27%-2.54%11.05%5.05%39.92%
2022-7.27%-2.80%3.52%-8.55%-2.62%-8.62%9.19%-3.76%-9.30%4.90%3.85%-3.79%-24.15%
2021-0.29%1.87%1.90%4.76%0.27%3.87%2.18%3.20%-4.39%5.35%1.41%4.27%26.83%
20201.94%-9.16%-7.79%9.59%4.46%5.65%4.57%9.90%-3.62%-3.98%10.65%6.21%29.08%
2019-0.32%-3.09%2.14%2.99%4.29%3.88%10.10%

Expense Ratio

November_Option_1_copy_2 has an expense ratio of 0.18%, 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.

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%
IUIT.L
iShares S&P 500 Information Technology Sector UCITS ETF
Expense ratio chart for IUIT.L: 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%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of November_Option_1_copy_2 is 74, 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 November_Option_1_copy_2 is 7474
November_Option_1_copy_2
The Sharpe Ratio Rank of November_Option_1_copy_2 is 7373Sharpe Ratio Rank
The Sortino Ratio Rank of November_Option_1_copy_2 is 7474Sortino Ratio Rank
The Omega Ratio Rank of November_Option_1_copy_2 is 7777Omega Ratio Rank
The Calmar Ratio Rank of November_Option_1_copy_2 is 7979Calmar Ratio Rank
The Martin Ratio Rank of November_Option_1_copy_2 is 6868Martin 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.

November_Option_1_copy_2
Sharpe ratio
The chart of Sharpe ratio for November_Option_1_copy_2, currently valued at 1.73, compared to the broader market-1.000.001.002.003.004.001.73
Sortino ratio
The chart of Sortino ratio for November_Option_1_copy_2, currently valued at 2.45, compared to the broader market-2.000.002.004.006.002.45
Omega ratio
The chart of Omega ratio for November_Option_1_copy_2, 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 November_Option_1_copy_2, currently valued at 2.38, compared to the broader market0.002.004.006.008.002.38
Martin ratio
The chart of Martin ratio for November_Option_1_copy_2, currently valued at 8.71, compared to the broader market0.0010.0020.0030.0040.008.71
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.58, compared to the broader market-1.000.001.002.003.004.001.58
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.22, compared to the broader market-2.000.002.004.006.002.22
Omega ratio
The chart of Omega ratio for ^GSPC, 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 ^GSPC, currently valued at 1.29, compared to the broader market0.002.004.006.008.001.29
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 5.98, compared to the broader market0.0010.0020.0030.0040.005.98
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
IUIT.L
iShares S&P 500 Information Technology Sector UCITS ETF		1.702.331.302.949.42
VWCE.DE
Vanguard FTSE All-World UCITS ETF		1.512.231.271.126.34

Sharpe Ratio

The current November_Option_1_copy_2 Sharpe ratio is 1.82. 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 November_Option_1_copy_2 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 Ratio1.502.002.503.00FebruaryMarchAprilMayJuneJuly
1.73
1.58
November_Option_1_copy_2
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

November_Option_1_copy_2 doesn't pay dividends

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.

-8.00%-6.00%-4.00%-2.00%0.00%FebruaryMarchAprilMayJuneJuly
-5.77%
-4.73%
November_Option_1_copy_2
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the November_Option_1_copy_2. 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 November_Option_1_copy_2 was 32.87%, occurring on Mar 23, 2020. Recovery took 78 trading sessions.

The current November_Option_1_copy_2 drawdown is 4.90%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-32.87%Feb 20, 202023Mar 23, 202078Jul 13, 2020101
-29.75%Jan 3, 2022201Oct 12, 2022196Jul 19, 2023397
-10.26%Jul 20, 202371Oct 26, 202317Nov 20, 202388
-9.72%Sep 3, 202013Sep 21, 202035Nov 9, 202048
-7.95%Feb 16, 202114Mar 5, 202120Apr 6, 202134

Volatility

Volatility Chart

The current November_Option_1_copy_2 volatility is 4.47%, 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%FebruaryMarchAprilMayJuneJuly
4.47%
3.80%
November_Option_1_copy_2
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.
IUIT.LVWCE.DE
IUIT.L1.000.80
VWCE.DE0.801.00
The correlation results are calculated based on daily price changes starting from Jul 26, 2019