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Medium Risk Inflation Hedge
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Medium Risk Inflation Hedge

Last updated Nov 5, 2024

%50 Gold + %50 High Risk Tech & Crypto = High return, medium risk portfolio. Gold-heavy commodities are utilized here as a hedge against financial shocks, resulting in lower risk while still having high returns.

Asset Allocation

IAU 50%BTC-USD 12.5%ETH-USD 2.5%IGM 22.5%VGWD.DE 5%IAK 2.5%5MVL.DE 2.5%ZPRV.DE 2.5%CommodityCommodityCryptocurrencyCryptocurrencyEquityEquity
PositionCategory/SectorWeight
5MVL.DE
iShares Edge MSCI EM Value Factor UCITS ETF USD(Acc)		Emerging Markets Equities
2.50%
BTC-USD
Bitcoin
12.50%
ETH-USD
Ethereum
2.50%
IAK
iShares U.S. Insurance ETF		Financials Equities
2.50%
IAU
iShares Gold Trust		Precious Metals, Gold
50%
IGM
iShares Expanded Tech Sector ETF		Technology Equities
22.50%
VGWD.DE
Vanguard FTSE All-World High Dividend Yield UCITS ETF USD Distributing		Global Equities, Dividend
5%
ZPRV.DE
SPDR MSCI USA Small Cap Value Weighted UCITS ETF		Small Cap Value Equities
2.50%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Medium Risk Inflation Hedge, 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
14.42%
11.47%
Medium Risk Inflation Hedge
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Dec 14, 2018, corresponding to the inception date of 5MVL.DE

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		21.24%0.55%11.47%32.45%13.43%11.05%
Medium Risk Inflation Hedge34.95%2.91%14.42%48.18%25.52%N/A
Portfolio components:
BTC-USD
Bitcoin		64.11%10.41%11.27%97.96%49.56%69.93%
ETH-USD
Ethereum		6.19%-0.71%-19.42%27.52%66.74%N/A
IAU
iShares Gold Trust		32.74%3.45%18.40%38.42%13.14%8.65%
IGM
iShares Expanded Tech Sector ETF		30.41%0.83%14.08%48.41%21.12%20.10%
IAK
iShares U.S. Insurance ETF		27.10%-3.68%9.82%34.02%14.40%12.09%
VGWD.DE
Vanguard FTSE All-World High Dividend Yield UCITS ETF USD Distributing		12.54%-1.96%6.19%21.92%7.29%N/A
5MVL.DE
iShares Edge MSCI EM Value Factor UCITS ETF USD(Acc)		18.64%-3.04%6.99%27.80%6.77%N/A
ZPRV.DE
SPDR MSCI USA Small Cap Value Weighted UCITS ETF		8.54%0.49%8.50%29.17%12.71%N/A

Monthly Returns

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

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20240.45%9.03%7.88%-2.30%4.56%0.66%2.92%0.00%4.56%3.04%34.95%
202312.17%-3.08%9.51%1.01%0.18%2.54%2.21%-2.83%-3.62%6.60%6.46%4.82%40.70%
2022-5.72%3.61%2.42%-7.45%-4.19%-8.64%5.64%-5.15%-6.05%2.16%3.92%-1.27%-20.04%
20212.16%3.78%7.58%4.56%-0.30%-3.63%4.23%3.91%-4.78%8.88%-1.45%-1.28%25.19%
20207.27%-3.31%-8.88%13.90%4.92%2.48%11.74%3.68%-5.35%2.75%9.90%14.97%64.74%
20193.53%2.99%0.98%5.67%9.35%13.53%-0.52%1.84%-2.29%3.58%-3.15%2.24%43.40%
20184.09%4.09%

Expense Ratio

Medium Risk Inflation Hedge has an expense ratio of 0.27%, 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.

IGM
iShares Expanded Tech Sector ETF
Expense ratio chart for IGM: current value at 0.46% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.46%
IAK
iShares U.S. Insurance ETF
Expense ratio chart for IAK: current value at 0.43% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.43%
5MVL.DE
iShares Edge MSCI EM Value Factor UCITS ETF USD(Acc)
Expense ratio chart for 5MVL.DE: current value at 0.40% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.40%
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%
VGWD.DE
Vanguard FTSE All-World High Dividend Yield UCITS ETF USD Distributing
Expense ratio chart for VGWD.DE: 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%
IAU
iShares Gold Trust
Expense ratio chart for IAU: 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%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Medium Risk Inflation Hedge is 43, 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 Medium Risk Inflation Hedge is 4343
Combined Rank
The Sharpe Ratio Rank of Medium Risk Inflation Hedge is 5151Sharpe Ratio Rank
The Sortino Ratio Rank of Medium Risk Inflation Hedge is 5050Sortino Ratio Rank
The Omega Ratio Rank of Medium Risk Inflation Hedge is 3232Omega Ratio Rank
The Calmar Ratio Rank of Medium Risk Inflation Hedge is 2424Calmar Ratio Rank
The Martin Ratio Rank of Medium Risk Inflation Hedge 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.

Medium Risk Inflation Hedge
Sharpe ratio
The chart of Sharpe ratio for Medium Risk Inflation Hedge, currently valued at 2.45, compared to the broader market0.002.004.002.45
Sortino ratio
The chart of Sortino ratio for Medium Risk Inflation Hedge, currently valued at 3.35, compared to the broader market-2.000.002.004.006.003.35
Omega ratio
The chart of Omega ratio for Medium Risk Inflation Hedge, currently valued at 1.38, compared to the broader market0.801.001.201.401.601.801.38
Calmar ratio
The chart of Calmar ratio for Medium Risk Inflation Hedge, currently valued at 1.72, compared to the broader market0.002.004.006.008.0010.0012.001.72
Martin ratio
The chart of Martin ratio for Medium Risk Inflation Hedge, currently valued at 15.80, compared to the broader market0.0010.0020.0030.0040.0050.0015.80
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.70, compared to the broader market0.002.004.002.70
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.58, compared to the broader market-2.000.002.004.006.003.58
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.50, compared to the broader market0.801.001.201.401.601.801.50
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 3.49, compared to the broader market0.002.004.006.008.0010.0012.003.49
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 17.22, compared to the broader market0.0010.0020.0030.0040.0050.0017.22
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
BTC-USD
Bitcoin		0.601.231.120.412.47
ETH-USD
Ethereum		-0.53-0.490.950.00-1.27
IAU
iShares Gold Trust		3.594.591.613.7724.91
IGM
iShares Expanded Tech Sector ETF		1.131.571.210.495.13
IAK
iShares U.S. Insurance ETF		1.401.901.250.887.86
VGWD.DE
Vanguard FTSE All-World High Dividend Yield UCITS ETF USD Distributing		1.451.991.250.658.15
5MVL.DE
iShares Edge MSCI EM Value Factor UCITS ETF USD(Acc)		1.381.901.240.647.15
ZPRV.DE
SPDR MSCI USA Small Cap Value Weighted UCITS ETF		0.921.371.170.464.54

Sharpe Ratio

The current Medium Risk Inflation Hedge Sharpe ratio is 2.45. 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 2.02 to 2.79, 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 Medium Risk Inflation Hedge 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 Ratio1.002.003.004.005.006.00JuneJulyAugustSeptemberOctoberNovember
2.45
2.70
Medium Risk Inflation Hedge
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Medium Risk Inflation Hedge provided a 0.24% dividend yield over the last twelve months.

TTM20232022202120202019201820172016201520142013
Portfolio0.24%0.28%0.34%0.22%0.26%0.30%0.35%0.19%0.24%0.22%0.24%0.20%
Portfolio components:
BTC-USD
Bitcoin		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
ETH-USD
Ethereum		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
IAU
iShares Gold Trust		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
IGM
iShares Expanded Tech Sector ETF		0.32%0.39%0.53%0.16%0.32%0.50%0.57%0.57%0.90%0.79%0.88%0.78%
IAK
iShares U.S. Insurance ETF		1.26%1.44%1.69%2.26%2.07%1.84%2.33%1.62%1.68%1.62%1.57%1.14%
VGWD.DE
Vanguard FTSE All-World High Dividend Yield UCITS ETF USD Distributing		2.76%3.14%3.60%2.58%2.67%2.87%3.16%0.49%0.00%0.00%0.00%0.00%
5MVL.DE
iShares Edge MSCI EM Value Factor 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%
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%

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
-1.91%
-1.40%
Medium Risk Inflation Hedge
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Medium Risk Inflation Hedge. 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 Medium Risk Inflation Hedge was 29.92%, occurring on Oct 15, 2022. Recovery took 409 trading sessions.

The current Medium Risk Inflation Hedge drawdown is 2.68%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-29.92%Nov 15, 2021335Oct 15, 2022409Nov 28, 2023744
-23.62%Feb 24, 202024Mar 18, 202073May 30, 202097
-9.31%Sep 2, 202022Sep 23, 202043Nov 5, 202065
-8.85%Sep 7, 202123Sep 29, 202120Oct 19, 202143
-8.47%May 9, 202172Jul 19, 202135Aug 23, 2021107

Volatility

Volatility Chart

The current Medium Risk Inflation Hedge volatility is 3.80%, 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
3.80%
3.19%
Medium Risk Inflation Hedge
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.
IAUBTC-USDETH-USDIAKIGMZPRV.DE5MVL.DEVGWD.DE
IAU1.000.130.120.000.090.060.210.16
BTC-USD0.131.000.820.120.240.140.180.15
ETH-USD0.120.821.000.120.220.130.190.16
IAK0.000.120.121.000.360.470.290.48
IGM0.090.240.220.361.000.320.420.40
ZPRV.DE0.060.140.130.470.321.000.510.75
5MVL.DE0.210.180.190.290.420.511.000.71
VGWD.DE0.160.150.160.480.400.750.711.00
The correlation results are calculated based on daily price changes starting from Dec 15, 2018