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Current 57
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Volatility
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Current 57

Last updated Nov 13, 2024

Asset Allocation

XDEQ.L 40%MVUS.L 20%GGRG.L 19%VHYG.L 19%DXJ 2%EquityEquity
PositionCategory/SectorWeight
DXJ
WisdomTree Japan Hedged Equity Fund		Japan Equities
2%
GGRG.L
WisdomTree Global Quality Dividend Growth UCITS ETF - USD Acc		Global Equities, Dividend
19%
MVUS.L
iShares Edge S&P 500 Minimum Volatility UCITS ETF		Large Cap Blend Equities
20%
VHYG.L
Vanguard FTSE All-World High Dividend Yield UCITS ETF		Global Equities
19%
XDEQ.L
Xtrackers MSCI World Quality Factor UCITS ETF 1C		Global Equities
40%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Current 57, 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

0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
7.89%
14.06%
Current 57
Benchmark (^GSPC)
Portfolio components

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

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		25.45%2.91%14.05%35.64%14.13%11.39%
Current 5717.51%-0.63%7.89%27.06%10.96%N/A
Portfolio components:
XDEQ.L
Xtrackers MSCI World Quality Factor UCITS ETF 1C		19.80%-0.39%9.01%29.84%12.43%12.99%
MVUS.L
iShares Edge S&P 500 Minimum Volatility UCITS ETF		22.19%1.27%11.61%29.66%10.64%13.10%
GGRG.L
WisdomTree Global Quality Dividend Growth UCITS ETF - USD Acc		11.97%-1.85%5.39%22.63%10.39%N/A
DXJ
WisdomTree Japan Hedged Equity Fund		25.92%0.06%1.28%25.45%18.25%11.46%
VHYG.L
Vanguard FTSE All-World High Dividend Yield UCITS ETF		12.22%-2.03%4.65%22.63%7.45%N/A

Monthly Returns

The table below presents the monthly returns of Current 57, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20241.74%3.27%3.32%-3.25%3.55%2.69%1.40%2.48%1.28%-1.55%17.51%
20233.87%-2.94%2.96%2.68%-1.87%5.20%2.78%-1.50%-3.94%-2.57%7.80%5.03%18.04%
2022-5.87%-1.44%3.80%-5.74%-1.50%-7.61%5.68%-3.39%-7.40%5.61%6.88%-1.82%-13.45%
2021-1.16%1.83%4.63%3.82%2.21%0.84%2.18%1.94%-4.18%4.72%-0.85%4.83%22.41%
2020-1.14%-9.26%-10.56%8.72%3.52%2.20%2.95%6.71%-2.18%-3.29%10.58%3.92%10.21%
20190.68%2.35%3.19%3.49%10.05%

Expense Ratio

Current 57 features an expense ratio of 0.28%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.

DXJ
WisdomTree Japan Hedged Equity Fund
Expense ratio chart for DXJ: current value at 0.48% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.48%
GGRG.L
WisdomTree Global Quality Dividend Growth UCITS ETF - USD Acc
Expense ratio chart for GGRG.L: current value at 0.38% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.38%
VHYG.L
Vanguard FTSE All-World High Dividend Yield UCITS ETF
Expense ratio chart for VHYG.L: current value at 0.29% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.29%
XDEQ.L
Xtrackers MSCI World Quality Factor UCITS ETF 1C
Expense ratio chart for XDEQ.L: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%
MVUS.L
iShares Edge S&P 500 Minimum Volatility UCITS ETF
Expense ratio chart for MVUS.L: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Current 57 is 54, 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 Current 57 is 5454
Combined Rank
The Sharpe Ratio Rank of Current 57 is 4848Sharpe Ratio Rank
The Sortino Ratio Rank of Current 57 is 5858Sortino Ratio Rank
The Omega Ratio Rank of Current 57 is 5252Omega Ratio Rank
The Calmar Ratio Rank of Current 57 is 6666Calmar Ratio Rank
The Martin Ratio Rank of Current 57 is 4848Martin 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.

Current 57
Sharpe ratio
The chart of Sharpe ratio for Current 57, currently valued at 2.54, compared to the broader market0.002.004.006.002.54
Sortino ratio
The chart of Sortino ratio for Current 57, currently valued at 3.63, compared to the broader market-2.000.002.004.006.003.63
Omega ratio
The chart of Omega ratio for Current 57, currently valued at 1.47, compared to the broader market0.801.001.201.401.601.802.001.47
Calmar ratio
The chart of Calmar ratio for Current 57, currently valued at 3.89, compared to the broader market0.005.0010.0015.003.89
Martin ratio
The chart of Martin ratio for Current 57, currently valued at 15.23, compared to the broader market0.0010.0020.0030.0040.0050.0060.0015.23
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.90, compared to the broader market0.002.004.006.002.90
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.87, compared to the broader market-2.000.002.004.006.003.87
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.54, compared to the broader market0.801.001.201.401.601.802.001.54
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 4.19, compared to the broader market0.005.0010.0015.004.19
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 18.72, compared to the broader market0.0010.0020.0030.0040.0050.0060.0018.72
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
XDEQ.L
Xtrackers MSCI World Quality Factor UCITS ETF 1C		2.363.371.433.7413.42
MVUS.L
iShares Edge S&P 500 Minimum Volatility UCITS ETF		3.134.611.584.2720.07
GGRG.L
WisdomTree Global Quality Dividend Growth UCITS ETF - USD Acc		2.002.851.363.3110.92
DXJ
WisdomTree Japan Hedged Equity Fund		1.191.551.241.113.92
VHYG.L
Vanguard FTSE All-World High Dividend Yield UCITS ETF		1.922.661.351.0311.76

Sharpe Ratio

The current Current 57 Sharpe ratio is 2.54. 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 2.07 to 2.98, 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 Current 57 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 Ratio1.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.54
2.90
Current 57
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Current 57 provided a 0.05% dividend yield over the last twelve months.

TTM20232022202120202019201820172016201520142013
Portfolio0.05%0.07%0.06%0.05%0.05%0.05%0.06%0.05%0.04%0.12%0.44%0.05%
Portfolio components:
XDEQ.L
Xtrackers MSCI World Quality Factor UCITS ETF 1C		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.51%0.00%
MVUS.L
iShares Edge S&P 500 Minimum Volatility 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%
GGRG.L
WisdomTree Global Quality Dividend Growth UCITS ETF - USD Acc		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
DXJ
WisdomTree Japan Hedged Equity Fund		2.34%3.44%3.03%2.64%2.53%2.47%2.92%2.30%1.98%5.95%11.61%2.44%
VHYG.L
Vanguard FTSE All-World High Dividend Yield 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%JuneJulyAugustSeptemberOctoberNovember
-1.27%
-0.29%
Current 57
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Current 57. 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 Current 57 was 32.30%, occurring on Mar 23, 2020. Recovery took 115 trading sessions.

The current Current 57 drawdown is 1.27%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-32.3%Feb 18, 202025Mar 23, 2020115Sep 2, 2020140
-23.59%Jan 4, 2022200Oct 11, 2022283Nov 16, 2023483
-6.86%Oct 13, 202014Oct 30, 20204Nov 5, 202018
-6.54%Sep 7, 202120Oct 4, 202123Nov 4, 202143
-6.14%Sep 3, 202016Sep 24, 202012Oct 12, 202028

Volatility

Volatility Chart

The current Current 57 volatility is 2.41%, 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%JuneJulyAugustSeptemberOctoberNovember
2.41%
3.86%
Current 57
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.
DXJMVUS.LVHYG.LXDEQ.LGGRG.L
DXJ1.000.380.520.460.46
MVUS.L0.381.000.780.870.87
VHYG.L0.520.781.000.830.87
XDEQ.L0.460.870.831.000.94
GGRG.L0.460.870.870.941.00
The correlation results are calculated based on daily price changes starting from Sep 27, 2019