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.
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.
Dailly P&L ***
|Developed Market Stocks||bearish||48.97||9.55%||0.00%||0.00%|
|Emerging Market Stocks||bearish||40.79||10.81%||0.00%||0.00%|
|Dividend Select Stocks||bearish||101.56||27.44%||0.00%||0.00%|
|Smallcap Value Stocks||bearish||149.93||44.21%||0.00%||0.00%|
|High Yield Bonds||bearish||26.99||1.62%||0.00%||0.00%|
|High Grade Bonds||bullish||4%||58||6,236||110.54||-14.79%||0.00%||-0.72%|
|US 30 year Treasuries||bullish||3%||40||4,465||114.77||-32.24%||0.00%||-1.40%|
|US 7-10 year Treasuries||bullish||11%||166||16,588||102.74||-15.71%||0.00%||-2.04%|
|Real Estate Stocks||bearish||92.32||19.90%||0.00%||0.00%|
|Net asset value (NAV)*||151,339||129,392|
|Number of years||6.76||6.76|
* 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 6.44%. This is 129% of the expected target risk of 5%. The risk of a correction is 3% 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.
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 (16.27%), Japan (3.72%), France (2.04%), Germany (1.66%), United Kingdom (1.66%), Italy (1.39%), Canada (1.06%), Mexico (0.83%), Belgium (0.63%) and Russia (0.57%).
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 2.44% 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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