PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
ADS
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Asset Allocation


VUAA.L 100%EquityEquity
PositionCategory/SectorWeight
VUAA.L
Vanguard S&P 500 UCITS ETF
Large Cap Growth Equities
100%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in ADS, 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%20.00%MayJuneJulyAugustSeptemberOctober
18.24%
17.04%
ADS
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is May 16, 2019, corresponding to the inception date of VUAA.L

Returns By Period


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
22.73%2.66%16.83%38.58%14.32%11.57%
ADS23.45%3.06%18.24%39.99%15.85%N/A
VUAA.L
Vanguard S&P 500 UCITS ETF
23.45%3.06%18.24%39.99%15.85%N/A

Monthly Returns

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


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20242.09%4.07%3.50%-3.12%2.64%5.68%0.63%1.24%2.64%23.45%
20235.67%-1.40%2.67%1.68%0.59%6.67%3.29%-1.23%-4.50%-3.17%9.12%5.42%26.68%
2022-6.92%-1.75%4.86%-7.89%-2.39%-8.01%8.26%-2.62%-7.78%5.72%2.33%-3.08%-19.14%
20210.07%2.58%4.23%5.10%0.89%2.01%2.55%3.08%-3.92%5.78%-0.07%4.75%30.16%
20200.59%-9.98%-9.06%10.50%3.56%2.18%5.52%7.92%-3.29%-3.17%10.36%3.83%17.66%
2019-3.99%5.99%3.04%-3.16%2.24%1.79%4.07%2.50%12.72%

Expense Ratio

ADS has an expense ratio of 0.07%, 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.


Expense ratio chart for VUAA.L: current value at 0.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.07%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current risk-adjusted rank of ADS is 82, placing it in the top 18% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.


The Risk-Adjusted Performance Rank of ADS is 8282
Combined Rank
The Sharpe Ratio Rank of ADS is 8585Sharpe Ratio Rank
The Sortino Ratio Rank of ADS is 8585Sortino Ratio Rank
The Omega Ratio Rank of ADS is 8787Omega Ratio Rank
The Calmar Ratio Rank of ADS is 7373Calmar Ratio Rank
The Martin Ratio Rank of ADS is 8383Martin 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.


ADS
Sharpe ratio
The chart of Sharpe ratio for ADS, currently valued at 3.45, compared to the broader market0.002.004.003.45
Sortino ratio
The chart of Sortino ratio for ADS, currently valued at 4.82, compared to the broader market-2.000.002.004.006.004.82
Omega ratio
The chart of Omega ratio for ADS, currently valued at 1.66, compared to the broader market0.801.001.201.401.601.802.001.66
Calmar ratio
The chart of Calmar ratio for ADS, currently valued at 3.45, compared to the broader market0.002.004.006.008.0010.0012.003.45
Martin ratio
The chart of Martin ratio for ADS, currently valued at 22.43, compared to the broader market0.0010.0020.0030.0040.0050.0022.43
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.98, compared to the broader market0.002.004.002.98
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.95, compared to the broader market-2.000.002.004.006.003.95
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.55, compared to the broader market0.801.001.201.401.601.802.001.55
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 2.60, compared to the broader market0.002.004.006.008.0010.0012.002.60
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 19.43, compared to the broader market0.0010.0020.0030.0040.0050.0019.43

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
VUAA.L
Vanguard S&P 500 UCITS ETF
3.454.821.663.4522.43

Sharpe Ratio

The current ADS Sharpe ratio is 3.19. 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 2.19 to 3.02, this portfolio's current Sharpe ratio is in the top 25%, it signifies superior risk-adjusted performance. This means that for the level of risk undertaken, the portfolio is generating impressive returns compared to most others.

Use the chart below to compare the Sharpe ratio of ADS 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 Ratio1.502.002.503.003.50MayJuneJulyAugustSeptemberOctober
3.45
2.89
ADS
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield


ADS doesn't pay dividends

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%MayJuneJulyAugustSeptemberOctober
-0.09%
0
ADS
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the ADS. 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 ADS was 34.05%, occurring on Mar 23, 2020. Recovery took 97 trading sessions.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-34.05%Feb 20, 202023Mar 23, 202097Aug 11, 2020120
-24.36%Jan 4, 2022195Oct 12, 2022297Dec 14, 2023492
-8.68%Sep 3, 202013Sep 21, 202035Nov 9, 202048
-7.71%Jul 16, 202415Aug 5, 202419Sep 2, 202434
-5.78%Jul 30, 201913Aug 15, 201924Sep 19, 201937

Volatility

Volatility Chart

The current ADS volatility is 1.72%, 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%MayJuneJulyAugustSeptemberOctober
1.72%
2.56%
ADS
Benchmark (^GSPC)
Portfolio components