Top 10 ETFs Sharp Ratio based
Asset Allocation
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Top 10 ETFs Sharp Ratio based, 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
The earliest data available for this chart is Apr 19, 2011, corresponding to the inception date of FDT
Returns By Period
As of Nov 20, 2024, the Top 10 ETFs Sharp Ratio based returned 9.90% Year-To-Date and 5.52% of annualized return in the last 10 years.
| YTD | 1M | 6M | 1Y | 5Y (annualized) | 10Y (annualized) | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 24.05% | 1.08% | 11.50% | 30.38% | 13.77% | 11.13% |
| Top 10 ETFs Sharp Ratio based | 9.77% | -2.44% | 1.84% | 17.51% | 4.88% | 5.50% |
| Portfolio components: | ||||||
GCIIX Goldman Sachs International Equity Insights Fund | 7.74% | -4.06% | -1.78% | 13.68% | 5.97% | 5.93% |
FDT First Trust Developed Markets ex-US AlphaDEX Fund | 8.68% | -1.40% | 1.06% | 14.78% | 3.96% | 4.04% |
MIOIX Morgan Stanley Institutional Fund, Inc. International Opportunity Portfolio | 21.77% | -0.17% | 11.79% | 28.69% | 2.60% | 7.19% |
AADR AdvisorShares Dorsey Wright ADR ETF | 21.59% | 2.53% | 7.15% | 31.09% | 7.68% | 6.93% |
DWM WisdomTree International Equity Fund | 5.55% | -3.81% | -1.08% | 11.85% | 4.74% | 4.09% |
FISMX Fidelity International Small Cap Fund | -0.16% | -4.83% | -3.90% | 8.18% | 5.61% | 7.47% |
OSMAX Invesco International Small-Mid Company Fund | -5.22% | -6.63% | -4.48% | 2.73% | -3.41% | 2.55% |
DLS WisdomTree International SmallCap Dividend | 3.03% | -3.63% | -0.64% | 12.43% | 2.85% | 4.68% |
QUSIX Pear Tree Polaris Foreign Value Small Cap Fund | -1.28% | -5.49% | -6.80% | 6.99% | 5.65% | 5.03% |
HGOIX The Hartford Growth Opportunities Fund Class I | 38.75% | 2.26% | 16.70% | 46.74% | 8.42% | 3.35% |
Monthly Returns
The table below presents the monthly returns of Top 10 ETFs Sharp Ratio based, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | -0.77% | 3.70% | 3.67% | -3.06% | 4.88% | -1.48% | 2.88% | 2.40% | 1.68% | -3.93% | 9.77% | ||
| 2023 | 8.59% | -2.56% | 2.35% | 1.36% | -2.73% | 4.84% | 4.18% | -3.35% | -4.47% | -4.15% | 9.90% | 5.79% | 19.98% |
| 2022 | -6.03% | -3.34% | -0.32% | -8.44% | 0.37% | -10.12% | 6.48% | -4.96% | -10.71% | 5.01% | 10.75% | -3.07% | -23.82% |
| 2021 | -0.53% | 2.95% | 1.71% | 3.99% | 1.72% | 0.05% | 1.02% | 1.90% | -4.55% | 2.58% | -4.59% | 0.10% | 6.10% |
| 2020 | -2.55% | -7.63% | -16.04% | 10.48% | 7.06% | 4.19% | 4.75% | 5.39% | -1.24% | -2.75% | 11.71% | 3.97% | 14.71% |
| 2019 | 8.38% | 3.22% | 0.85% | 2.59% | -4.67% | 5.43% | -1.38% | -2.62% | 1.17% | 3.62% | 2.34% | 2.79% | 23.21% |
| 2018 | 5.73% | -3.75% | -0.95% | 0.71% | 0.92% | -2.41% | 0.68% | -0.43% | 0.05% | -10.19% | 0.16% | -9.55% | -18.41% |
| 2017 | 4.98% | 2.15% | 3.38% | 3.23% | 3.59% | 0.39% | 3.99% | 1.51% | 2.70% | 2.05% | 0.36% | 1.36% | 33.93% |
| 2016 | -6.22% | -1.70% | 7.17% | 1.18% | 1.16% | -2.40% | 4.95% | 0.37% | 2.01% | -1.88% | -2.06% | 0.82% | 2.73% |
| 2015 | 0.56% | 5.73% | -0.41% | 4.29% | 0.47% | -1.46% | 0.61% | -5.94% | -3.44% | 6.31% | 0.07% | -1.55% | 4.63% |
| 2014 | -2.55% | 5.97% | -0.89% | -0.50% | 2.11% | 1.83% | -2.12% | 1.35% | -4.40% | 0.08% | 0.41% | -3.51% | -2.62% |
| 2013 | 4.22% | -0.04% | 1.62% | 3.68% | -1.04% | -2.24% | 5.48% | -0.88% | 7.40% | 3.33% | 1.47% | 1.71% | 27.15% |
Expense Ratio
Top 10 ETFs Sharp Ratio based features an expense ratio of 0.90%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of Top 10 ETFs Sharp Ratio based is 16, indicating that it is in the bottom 16% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.
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.
| Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|
GCIIX Goldman Sachs International Equity Insights Fund | 1.00 | 1.41 | 1.19 | 1.40 | 4.81 |
FDT First Trust Developed Markets ex-US AlphaDEX Fund | 0.91 | 1.26 | 1.17 | 0.85 | 5.18 |
MIOIX Morgan Stanley Institutional Fund, Inc. International Opportunity Portfolio | 1.76 | 2.50 | 1.30 | 0.52 | 13.18 |
AADR AdvisorShares Dorsey Wright ADR ETF | 1.66 | 2.25 | 1.29 | 1.41 | 9.25 |
DWM WisdomTree International Equity Fund | 0.94 | 1.33 | 1.16 | 1.50 | 4.67 |
FISMX Fidelity International Small Cap Fund | 0.72 | 1.07 | 1.13 | 0.73 | 2.90 |
OSMAX Invesco International Small-Mid Company Fund | 0.17 | 0.34 | 1.04 | 0.06 | 0.53 |
DLS WisdomTree International SmallCap Dividend | 0.85 | 1.24 | 1.15 | 0.67 | 4.01 |
QUSIX Pear Tree Polaris Foreign Value Small Cap Fund | 0.46 | 0.76 | 1.10 | 0.60 | 2.00 |
HGOIX The Hartford Growth Opportunities Fund Class I | 2.35 | 3.02 | 1.41 | 1.26 | 12.57 |
Dividends
Dividend yield
Top 10 ETFs Sharp Ratio based provided a 2.12% dividend yield over the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.12% | 2.16% | 2.48% | 1.87% | 1.44% | 1.78% | 1.73% | 1.36% | 1.46% | 1.80% | 3.51% | 1.80% |
| Portfolio components: | ||||||||||||
GCIIX Goldman Sachs International Equity Insights Fund | 2.61% | 2.81% | 3.94% | 3.21% | 1.86% | 2.46% | 1.94% | 1.62% | 2.51% | 1.44% | 4.50% | 3.04% |
FDT First Trust Developed Markets ex-US AlphaDEX Fund | 4.02% | 4.36% | 2.29% | 3.80% | 2.42% | 2.78% | 2.13% | 1.57% | 1.76% | 1.83% | 1.74% | 1.88% |
MIOIX Morgan Stanley Institutional Fund, Inc. International Opportunity Portfolio | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.02% | 0.21% | 0.05% | 0.65% |
AADR AdvisorShares Dorsey Wright ADR ETF | 1.60% | 0.74% | 3.65% | 0.92% | 0.11% | 0.58% | 0.75% | 0.74% | 0.58% | 0.81% | 0.49% | 0.34% |
DWM WisdomTree International Equity Fund | 3.76% | 4.15% | 4.36% | 3.64% | 2.75% | 3.46% | 3.86% | 2.99% | 3.43% | 3.55% | 4.71% | 3.30% |
FISMX Fidelity International Small Cap Fund | 1.87% | 1.87% | 0.70% | 2.57% | 0.83% | 1.83% | 1.91% | 0.98% | 1.46% | 5.45% | 18.12% | 2.92% |
OSMAX Invesco International Small-Mid Company Fund | 0.89% | 0.85% | 0.00% | 0.04% | 0.00% | 0.37% | 0.53% | 0.75% | 0.15% | 0.07% | 0.48% | 0.70% |
DLS WisdomTree International SmallCap Dividend | 3.96% | 4.29% | 4.96% | 3.29% | 2.50% | 3.37% | 3.66% | 2.79% | 3.29% | 2.72% | 3.61% | 3.89% |
QUSIX Pear Tree Polaris Foreign Value Small Cap Fund | 2.52% | 2.49% | 4.90% | 1.24% | 3.89% | 2.96% | 2.48% | 2.12% | 1.40% | 1.78% | 1.43% | 1.28% |
HGOIX The Hartford Growth Opportunities Fund Class I | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.15% | 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.
Worst Drawdowns
The table below displays the maximum drawdowns of the Top 10 ETFs Sharp Ratio based. 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 Top 10 ETFs Sharp Ratio based was 38.27%, occurring on Oct 14, 2022. The portfolio has not yet recovered.
The current Top 10 ETFs Sharp Ratio based drawdown is 7.60%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -38.27% | Sep 7, 2021 | 280 | Oct 14, 2022 | — | — | — |
| -38.1% | Jan 29, 2018 | 541 | Mar 23, 2020 | 161 | Nov 9, 2020 | 702 |
| -24.93% | May 3, 2011 | 107 | Oct 3, 2011 | 345 | Feb 19, 2013 | 452 |
| -18.66% | May 22, 2015 | 183 | Feb 11, 2016 | 240 | Jan 25, 2017 | 423 |
| -12.02% | Jul 7, 2014 | 73 | Oct 16, 2014 | 124 | Apr 16, 2015 | 197 |
Volatility
Volatility Chart
The current Top 10 ETFs Sharp Ratio based volatility is 3.07%, 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.
Diversification
Asset Correlations Table
| QUSIX | AADR | HGOIX | MIOIX | OSMAX | FISMX | DWM | FDT | DLS | GCIIX | |
|---|---|---|---|---|---|---|---|---|---|---|
| QUSIX | 1.00 | 0.44 | 0.35 | 0.54 | 0.64 | 0.72 | 0.55 | 0.59 | 0.60 | 0.60 |
| AADR | 0.44 | 1.00 | 0.60 | 0.64 | 0.62 | 0.62 | 0.64 | 0.66 | 0.62 | 0.66 |
| HGOIX | 0.35 | 0.60 | 1.00 | 0.76 | 0.69 | 0.61 | 0.67 | 0.68 | 0.67 | 0.70 |
| MIOIX | 0.54 | 0.64 | 0.76 | 1.00 | 0.79 | 0.75 | 0.74 | 0.75 | 0.74 | 0.77 |
| OSMAX | 0.64 | 0.62 | 0.69 | 0.79 | 1.00 | 0.86 | 0.82 | 0.82 | 0.86 | 0.87 |
| FISMX | 0.72 | 0.62 | 0.61 | 0.75 | 0.86 | 1.00 | 0.84 | 0.85 | 0.88 | 0.87 |
| DWM | 0.55 | 0.64 | 0.67 | 0.74 | 0.82 | 0.84 | 1.00 | 0.89 | 0.93 | 0.94 |
| FDT | 0.59 | 0.66 | 0.68 | 0.75 | 0.82 | 0.85 | 0.89 | 1.00 | 0.89 | 0.90 |
| DLS | 0.60 | 0.62 | 0.67 | 0.74 | 0.86 | 0.88 | 0.93 | 0.89 | 1.00 | 0.91 |
| GCIIX | 0.60 | 0.66 | 0.70 | 0.77 | 0.87 | 0.87 | 0.94 | 0.90 | 0.91 | 1.00 |