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Developed World + Factors
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Risk-Adjusted Performance
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Volatility
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Developed World + Factors

Last updated Sep 21, 2024

Asset Allocation

SWLD.L 70%XDEV.L 10%XDEQ.L 10%XDEM.L 10%EquityEquity
PositionCategory/SectorWeight
SWLD.L
SPDR MSCI World UCITS ETF		Global Equities
70%
WLDS.L
iShares MSCI World Small Cap UCITS ETF		Small Cap Blend Equities
0%
XDEM.L
Xtrackers MSCI World Momentum Factor UCITS ETF 1C		Global Equities
10%
XDEQ.L
Xtrackers MSCI World Quality Factor UCITS ETF 1C		Global Equities
10%
XDEV.L
Xtrackers MSCI World Value Factor UCITS ETF 1C		Global Equities
10%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Developed World + Factors, 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

-5.00%0.00%5.00%10.00%AprilMayJuneJulyAugustSeptember
7.10%
8.95%
Developed World + Factors
Benchmark (^GSPC)
Portfolio components

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

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		19.55%1.45%8.95%31.70%13.79%11.17%
Developed World + Factors17.80%1.61%7.10%29.64%12.43%N/A
Portfolio components:
SWLD.L
SPDR MSCI World UCITS ETF		17.44%1.78%7.90%29.35%12.77%N/A
XDEV.L
Xtrackers MSCI World Value Factor UCITS ETF 1C		9.03%2.15%2.78%16.47%7.97%N/A
XDEQ.L
Xtrackers MSCI World Quality Factor UCITS ETF 1C		18.47%0.51%7.14%32.39%13.34%N/A
XDEM.L
Xtrackers MSCI World Momentum Factor UCITS ETF 1C		28.34%1.01%5.75%42.45%12.76%N/A
WLDS.L
iShares MSCI World Small Cap UCITS ETF		8.74%2.87%6.74%22.74%8.48%N/A

Monthly Returns

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

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20241.53%3.95%3.88%-2.86%2.84%3.38%1.07%1.63%17.80%
20235.56%-2.48%2.60%2.19%-1.18%5.95%3.18%-1.71%-3.93%-3.25%8.59%5.70%22.29%
2022-6.29%-1.26%3.35%-7.52%-1.47%-8.30%6.07%-3.17%-7.65%5.58%6.27%-2.62%-17.16%
2021-0.22%2.43%3.37%4.33%1.76%0.93%1.71%2.31%-3.43%4.71%-1.48%3.70%21.69%
2020-0.67%-9.30%-11.17%9.08%3.96%3.08%3.71%7.21%-2.76%-3.54%12.38%4.52%14.60%
2019-0.28%-16.10%3.05%-5.13%5.98%0.94%-2.92%2.82%2.24%3.15%3.00%-5.11%

Expense Ratio

Developed World + Factors has an expense ratio of 0.16%, 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.

WLDS.L
iShares MSCI World Small Cap UCITS ETF
Expense ratio chart for WLDS.L: current value at 0.35% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.35%
XDEV.L
Xtrackers MSCI World Value Factor UCITS ETF 1C
Expense ratio chart for XDEV.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%
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%
XDEM.L
Xtrackers MSCI World Momentum Factor UCITS ETF 1C
Expense ratio chart for XDEM.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%
SWLD.L
SPDR MSCI World UCITS ETF
Expense ratio chart for SWLD.L: current value at 0.12% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.12%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Developed World + Factors is 25, 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 Developed World + Factors is 2525
Developed World + Factors
The Sharpe Ratio Rank of Developed World + Factors is 99Sharpe Ratio Rank
The Sortino Ratio Rank of Developed World + Factors is 1010Sortino Ratio Rank
The Omega Ratio Rank of Developed World + Factors is 4545Omega Ratio Rank
The Calmar Ratio Rank of Developed World + Factors is 5252Calmar Ratio Rank
The Martin Ratio Rank of Developed World + Factors is 1111Martin 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.

Developed World + Factors
Sharpe ratio
The chart of Sharpe ratio for Developed World + Factors, currently valued at 1.19, compared to the broader market-1.000.001.002.003.004.001.19
Sortino ratio
The chart of Sortino ratio for Developed World + Factors, currently valued at 1.82, compared to the broader market-2.000.002.004.006.001.82
Omega ratio
The chart of Omega ratio for Developed World + Factors, 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 Developed World + Factors, currently valued at 2.16, compared to the broader market0.002.004.006.008.0010.002.16
Martin ratio
The chart of Martin ratio for Developed World + Factors, currently valued at 5.50, compared to the broader market0.0010.0020.0030.0040.005.50
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.32, compared to the broader market-1.000.001.002.003.004.002.32
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.11, compared to the broader market-2.000.002.004.006.003.11
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.42, compared to the broader market0.801.001.201.401.601.801.42
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 2.09, compared to the broader market0.002.004.006.008.0010.002.09
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 14.29, compared to the broader market0.0010.0020.0030.0040.0014.29
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
SWLD.L
SPDR MSCI World UCITS ETF		0.891.511.391.553.33
XDEV.L
Xtrackers MSCI World Value Factor UCITS ETF 1C		1.261.801.231.566.78
XDEQ.L
Xtrackers MSCI World Quality Factor UCITS ETF 1C		2.513.561.442.5913.91
XDEM.L
Xtrackers MSCI World Momentum Factor UCITS ETF 1C		2.393.101.431.8212.27
WLDS.L
iShares MSCI World Small Cap UCITS ETF		0.691.221.250.882.57

Sharpe Ratio

The current Developed World + Factors Sharpe ratio is 1.19. 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 1.91 to 2.59, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests that it may not be performing as well in terms of risk-adjusted returns compared to many other portfolios. The lower performance could be due to either lower returns, higher volatility, or a combination of both. This might indicate that the portfolio requires some fine-tuning. You can use the Portfolio Optimization tool to find an allocation that maximizes the Sharpe ratio.

Use the chart below to compare the Sharpe ratio of Developed World + Factors 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 Ratio1.001.502.002.503.00AprilMayJuneJulyAugustSeptember
1.19
2.32
Developed World + Factors
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Developed World + Factors granted a 0.00% dividend yield in the last twelve months.

TTM2023202220212020201920182017201620152014
Developed World + Factors0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.19%
Portfolio components:
SWLD.L
SPDR MSCI World UCITS ETF		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
XDEV.L
Xtrackers MSCI World Value Factor UCITS ETF 1C		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.74%
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%
XDEM.L
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%
WLDS.L
iShares MSCI World Small Cap UCITS ETF		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%AprilMayJuneJulyAugustSeptember
-0.40%
-0.19%
Developed World + Factors
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Developed World + Factors. 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 Developed World + Factors was 34.83%, occurring on Mar 23, 2020. Recovery took 160 trading sessions.

The current Developed World + Factors drawdown is 0.40%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-34.83%Feb 28, 2019270Mar 23, 2020160Nov 9, 2020430
-26.19%Jan 6, 2022192Oct 11, 2022283Nov 16, 2023475
-13.73%Nov 17, 20231Nov 17, 202386Mar 21, 202487
-8.42%Jul 17, 202414Aug 5, 202419Sep 2, 202433
-6.02%Sep 7, 202120Oct 4, 202120Nov 1, 202140

Volatility

Volatility Chart

The current Developed World + Factors volatility is 4.36%, 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%AprilMayJuneJulyAugustSeptember
4.36%
4.31%
Developed World + Factors
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.
XDEM.LXDEV.LWLDS.LXDEQ.LSWLD.L
XDEM.L1.000.720.760.880.87
XDEV.L0.721.000.870.830.87
WLDS.L0.760.871.000.840.89
XDEQ.L0.880.830.841.000.96
SWLD.L0.870.870.890.961.00
The correlation results are calculated based on daily price changes starting from Feb 27, 2019