model
model
Asset Allocation
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in model, 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 Jul 16, 2019, corresponding to the inception date of JPGL.L
Returns By Period
Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
---|---|---|---|---|---|---|
^GSPC S&P 500 | 17.76% | 2.89% | 10.80% | 27.49% | 14.28% | 10.89% |
model | 15.57% | 3.48% | 11.12% | 26.57% | 11.71% | N/A |
Portfolio components: | ||||||
JPGL.L JPM Global Equity Multi-Factor UCITS ETF USD Acc | 13.85% | 3.99% | 10.81% | 23.97% | 10.28% | N/A |
XDEM.DE Xtrackers MSCI World Momentum Factor UCITS ETF 1C | 26.79% | 4.17% | 10.80% | 38.62% | 12.12% | N/A |
ZPRX.DE SPDR MSCI Europe Small Cap Value Weighted UCITS ETF | 7.90% | 2.28% | 11.84% | 19.49% | 9.07% | N/A |
ZPRV.DE SPDR MSCI USA Small Cap Value Weighted UCITS ETF | 7.55% | 0.93% | 10.28% | 21.15% | 14.52% | N/A |
NTSX WisdomTree U.S. Efficient Core Fund | 17.57% | 4.12% | 12.15% | 27.53% | 11.76% | N/A |
IMID.L SPDR MSCI ACWI IMI | 14.46% | 3.57% | 10.25% | 25.19% | 11.53% | 8.72% |
Monthly Returns
The table below presents the monthly returns of model, 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 | 0.84% | 3.30% | 3.77% | -3.25% | 3.83% | 1.56% | 2.80% | 15.57% | |||||
2023 | 6.25% | -2.08% | 0.78% | 1.81% | -3.10% | 5.85% | 3.43% | -2.38% | -4.28% | -3.80% | 9.33% | 6.40% | 18.42% |
2022 | -5.83% | -1.39% | 2.42% | -7.21% | -0.61% | -9.20% | 6.44% | -3.70% | -9.27% | 7.09% | 6.46% | -2.34% | -17.53% |
2021 | 0.31% | 2.56% | 3.51% | 4.71% | 1.70% | 0.10% | 1.70% | 2.46% | -3.74% | 4.52% | -2.33% | 4.04% | 20.94% |
2020 | -0.66% | -8.70% | -13.41% | 9.92% | 4.06% | 2.86% | 4.91% | 6.54% | -2.87% | -2.75% | 13.68% | 5.22% | 16.67% |
2019 | -0.67% | -2.21% | 2.13% | 2.09% | 2.76% | 3.29% | 7.50% |
Expense Ratio
model 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.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of model is 48, 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.
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 | |
---|---|---|---|---|---|
JPGL.L JPM Global Equity Multi-Factor UCITS ETF USD Acc | 2.00 | 2.88 | 1.37 | 1.82 | 9.84 |
XDEM.DE Xtrackers MSCI World Momentum Factor UCITS ETF 1C | 2.26 | 2.98 | 1.42 | 1.55 | 11.73 |
ZPRX.DE SPDR MSCI Europe Small Cap Value Weighted UCITS ETF | 1.07 | 1.62 | 1.19 | 0.73 | 4.50 |
ZPRV.DE SPDR MSCI USA Small Cap Value Weighted UCITS ETF | 0.92 | 1.48 | 1.18 | 1.12 | 3.96 |
NTSX WisdomTree U.S. Efficient Core Fund | 1.90 | 2.65 | 1.33 | 1.05 | 8.49 |
IMID.L SPDR MSCI ACWI IMI | 1.81 | 2.59 | 1.34 | 1.50 | 8.53 |
Dividends
Dividend yield
model granted a 0.22% dividend yield in the last twelve months.
TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
---|---|---|---|---|---|---|---|---|---|---|---|
model | 0.22% | 0.24% | 0.27% | 0.16% | 0.18% | 0.31% | 0.12% | 0.00% | 0.00% | 0.00% | 0.09% |
Portfolio components: | |||||||||||
JPGL.L JPM Global Equity Multi-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% |
XDEM.DE Xtrackers MSCI World Momentum Factor UCITS ETF 1C | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.63% |
ZPRX.DE SPDR MSCI Europe 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% |
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% |
NTSX WisdomTree U.S. Efficient Core Fund | 1.08% | 1.21% | 1.36% | 0.82% | 0.92% | 1.53% | 0.62% | 0.00% | 0.00% | 0.00% | 0.00% |
IMID.L SPDR MSCI ACWI IMI | 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.
Worst Drawdowns
The table below displays the maximum drawdowns of the model. 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 model was 35.04%, occurring on Mar 23, 2020. Recovery took 113 trading sessions.
The current model drawdown is 0.23%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
---|---|---|---|---|---|---|
-35.04% | Feb 20, 2020 | 23 | Mar 23, 2020 | 113 | Aug 28, 2020 | 136 |
-26.86% | Nov 9, 2021 | 241 | Oct 12, 2022 | 348 | Feb 16, 2024 | 589 |
-7.16% | Sep 3, 2020 | 16 | Sep 24, 2020 | 12 | Oct 12, 2020 | 28 |
-7.15% | Oct 13, 2020 | 14 | Oct 30, 2020 | 6 | Nov 9, 2020 | 20 |
-7.1% | Jul 17, 2024 | 14 | Aug 5, 2024 | 12 | Aug 21, 2024 | 26 |
Volatility
Volatility Chart
The current model volatility is 5.08%, 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
NTSX | XDEM.DE | ZPRV.DE | ZPRX.DE | JPGL.L | IMID.L | |
---|---|---|---|---|---|---|
NTSX | 1.00 | 0.53 | 0.42 | 0.46 | 0.46 | 0.53 |
XDEM.DE | 0.53 | 1.00 | 0.61 | 0.64 | 0.71 | 0.80 |
ZPRV.DE | 0.42 | 0.61 | 1.00 | 0.77 | 0.78 | 0.74 |
ZPRX.DE | 0.46 | 0.64 | 0.77 | 1.00 | 0.76 | 0.76 |
JPGL.L | 0.46 | 0.71 | 0.78 | 0.76 | 1.00 | 0.91 |
IMID.L | 0.53 | 0.80 | 0.74 | 0.76 | 0.91 | 1.00 |