PortfoliosLab logo
PortfoliosLab logo
​
Tools
Performance Analysis
Portfolio Analysis
Risk Analysis
Optimization
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Screeners
Discussions
global world
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

global world

Last updated Sep 21, 2024

Asset Allocation

AGGU.L 50%FWIA.DE 50%BondBondEquityEquity
PositionCategory/SectorWeight
AGGU.L
iShares Core Global Aggregate Bond UCITS ETF		Global Bonds
50%
FWIA.DE
Invesco FTSE All-World UCITS ETF Acc		Global Equities
50%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in global world, 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
6.31%
8.95%
global world
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jun 29, 2023, corresponding to the inception date of FWIA.DE

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%
global world10.27%1.12%6.31%18.51%N/AN/A
Portfolio components:
AGGU.L
iShares Core Global Aggregate Bond UCITS ETF		4.23%0.94%4.31%9.84%0.30%N/A
FWIA.DE
Invesco FTSE All-World UCITS ETF Acc		16.46%1.30%8.33%27.59%N/AN/A

Monthly Returns

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

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20240.24%1.50%2.17%-2.08%1.94%2.13%1.55%1.45%10.27%
20230.79%1.86%-1.18%-2.88%-1.97%6.08%4.17%6.73%

Expense Ratio

global world has an expense ratio of 0.12%, 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.

FWIA.DE
Invesco FTSE All-World UCITS ETF Acc
Expense ratio chart for FWIA.DE: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%
AGGU.L
iShares Core Global Aggregate Bond UCITS ETF
Expense ratio chart for AGGU.L: current value at 0.10% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.10%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current risk-adjusted rank of global world is 91, placing it in the top 9% 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 global world is 9191
global world
The Sharpe Ratio Rank of global world is 9292Sharpe Ratio Rank
The Sortino Ratio Rank of global world is 9696Sortino Ratio Rank
The Omega Ratio Rank of global world is 9595Omega Ratio Rank
The Calmar Ratio Rank of global world is 7979Calmar Ratio Rank
The Martin Ratio Rank of global world is 9292Martin 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.

global world
Sharpe ratio
The chart of Sharpe ratio for global world, currently valued at 3.05, compared to the broader market-1.000.001.002.003.004.005.003.05
Sortino ratio
The chart of Sortino ratio for global world, currently valued at 4.79, compared to the broader market-2.000.002.004.006.004.79
Omega ratio
The chart of Omega ratio for global world, currently valued at 1.61, compared to the broader market0.801.001.201.401.601.801.61
Calmar ratio
The chart of Calmar ratio for global world, currently valued at 3.12, compared to the broader market0.002.004.006.008.0010.003.12
Martin ratio
The chart of Martin ratio for global world, currently valued at 20.08, compared to the broader market0.0010.0020.0030.0040.0020.08
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.32, compared to the broader market-1.000.001.002.003.004.005.002.32
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
AGGU.L
iShares Core Global Aggregate Bond UCITS ETF		2.303.651.433.0212.90
FWIA.DE
Invesco FTSE All-World UCITS ETF Acc		2.603.721.493.0016.44

Sharpe Ratio

The current global world Sharpe ratio is 3.05. 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 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 global world 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 Ratio1.502.002.503.00Jun 30Jul 07Jul 14Jul 21Jul 28Aug 04Aug 11Aug 18Aug 25SeptemberSep 08Sep 15
3.05
2.32
global world
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

global world 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%AprilMayJuneJulyAugustSeptember
-0.40%
-0.19%
global world
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the global world. 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 global world was 6.45%, occurring on Oct 27, 2023. Recovery took 25 trading sessions.

The current global world drawdown is 0.40%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-6.45%Jul 20, 202372Oct 27, 202325Dec 1, 202397
-3.03%Apr 2, 202414Apr 19, 202418May 15, 202432
-2.86%Jul 17, 202415Aug 6, 20248Aug 16, 202423
-1.6%Aug 26, 202410Sep 6, 20245Sep 13, 202415
-1.58%Dec 29, 202313Jan 17, 20248Jan 29, 202421

Volatility

Volatility Chart

The current global world volatility is 2.05%, 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.

1.00%2.00%3.00%4.00%5.00%6.00%AprilMayJuneJulyAugustSeptember
2.05%
4.31%
global world
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.
AGGU.LFWIA.DE
AGGU.L1.000.21
FWIA.DE0.211.00
The correlation results are calculated based on daily price changes starting from Jun 30, 2023