ePortfolio is a hypotethical portfolio for an initial investment of USD 100’000 at beginning of my journey on august 1st 2013. The real investment is a multiple of it containing 100% of my pension funds.

Asset AllocationePortfolioAnalysisRisk ReportDiversificationCostRelative PerformanceHist. allocation .
Asset classes
Graph: Equity = Stock markets (plus half of real estate and junk bonds), Bonds = Credit and intrest rates risk (plus 1/2 inflation), Real Assets = Real estate, inflation-linked bonds, commodities and gold.
Change %**
Dailly P&L ***
Monthly P&L
US Stocksbearish396.7835.32%0.00%0.00%
Developed Market Stocksbearish51.5215.26%0.00%0.00%
Emerging Market Stocksbearish40.5610.19%0.00%0.00%
Dividend Select Stocksbearish110.5838.76%0.00%0.00%
Smallcap Value Stocksbearish164.6858.39%0.00%0.00%
High Yield Bondsbearish27.393.13%0.00%0.00%
High Grade Bondsbullish4%585,959109.81-15.35%-0.01%-0.72%
US 30 year Treasuriesbullish3%404,082109.06-35.61%-0.01%-1.50%
International Bondsbullish16%53624,75049.35-13.57%-0.03%-2.59%
US 7-10 year Treasuriesbullish10%16615,33998.76-18.98%-0.04%-2.39%
Real Estate Stocksbearish86.6112.48%0.00%0.00%
Inflation-linked Treasuriesbullish9%27013,51153.48-10.07%0.00%-1.01%
Gold Spotbullish12%57018,14434.02119.63%0.04%6.58%
Diversified Commoditiesbearish23.94123.74%0.00%0.00%
*For description of each asset see ETF Universe. ** Percentage change of asset this month. *** Attribution to portfolio.
US Benchmark
Net asset value (NAV)*150,292129,738
Total return50.29%29.74%
Number of years6.766.76
Annual return6.21%3.93%
Annual risk6.68%5.67%
Maximum drawdown*-19.41%-14.55%
Expense Ratio*0.25%0.38%
Sharp Ratio*0.930.69
* NAV = net asset value of portfolio, Risk = annualized Volatility measured daily, Maximum Drawdown = Maximum decline from the peak in portfolio equity, Expense ratio = Annual total operation expeses of assets under management, Sharp ratio = (portfolio return – risk free rate)/ portfolio standard deviation. It is the industries standard measure for the risk adjusted performance of a strategy .
The Portfolio risk of the past 30-days was 6.07%. This is 121% of the expected target risk of 5%. The risk of a correction is 1% since the Portfolio recently performed worse than expected. In case the S&P500 will fall -24.12%, the annual Volatility of the index (Vola), the Portfolio is expected to lose -0.72%. If the 10-year US treasury yield will rise 0.00% (Vola) then the Portfolio is estimated even to win 0.00%. For a gain in the dollar index by 6.96% (Vola) my Portoflio is expected to shed -1.32%. A fall in crude oil of -51.81% (Vola) is expected to cause a loss of 0.00% in my Portfolio.
30-day Risk

Correction Risk

US Equity Risk

US Interest Rate T-Note

Graph: Risk = 30-day risk of Portfolio compared to expected target risk of 5% in %. Correction = Theoretical probability for a portfolio correction. The better the portfolio performance, the higher the risk of a correction. If the realised return is equal to the expected return, then the probability of correction is 50%.
My Portfolio consists of 6 ETFs that invest in 6'359 securities in 73 countries. The ten largest holdings are in United States (15.23%), Japan (3.58%), France (1.96%), Germany (1.59%), United Kingdom (1.59%), Italy (1.34%), Canada (1.01%), Mexico (0.78%), Belgium (0.60%) and Russia (0.53%).
Graph: Allocation of ETF holdings per country in % of ePortfolio.

The weighted ETF expense ratio for my Portfolio is 0.14%, the weighted spread 0.01% and the weighted commission 0.05%. Hence, the total cost of buying and holding my Portfolio for one year is 0.20%.
Graph: Total cost of buying and holding my Portfolio in % of the portfolio value. Be aware that most financial advisors only show the expense ratio and neglect all other additional cost.
My porfolio outperformed the US pension fund benchmark by 20.75% in the 6.76 years since inception. This is an outperfperformance of 2.29% per annum. Currently, my outperformance is statistically NOT significant. There was a period of -12.71% underperformance. It took 496 days to recover.
Graphs: Difference of Portfolio and US pension fund benchmark performance in %.

Asset allocation over time resulting from the application of six academic principles. During unfavourable market conditions all positions may be closed.

Graphs: Percentage allocation over time to asset classes and single ETF’s. The percentage that is not allocated (white space) is held in cash.

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