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 .
Assets
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.
Description* | Trend | Allocation | Position | Investment | Last | Change %** | Dailly P&L *** | Monthly P&L |
|---|---|---|---|---|---|---|---|---|
| US Stocks | bearish | 430.42 | 46.80% | 0.00% | 0.00% | |||
| Developed Market Stocks | bearish | 52.63 | 17.74% | 0.00% | 0.00% | |||
| Emerging Market Stocks | bearish | 39.65 | 7.72% | 0.00% | 0.00% | |||
| Dividend Select Stocks | bearish | 104.66 | 31.33% | 0.00% | 0.00% | |||
| Smallcap Value Stocks | bearish | 158.86 | 52.79% | 0.00% | 0.00% | |||
| High Yield Bonds | bearish | 27.28 | 2.71% | 0.00% | 0.00% | |||
| High Grade Bonds | bullish | 4% | 58 | 5,460 | 103.84 | -19.96% | 0.00% | -0.92% |
| US 30 year Treasuries | bullish | 2% | 40 | 3,316 | 91.43 | -46.02% | 0.00% | -1.90% |
| International Bonds | bullish | 16% | 536 | 23,403 | 48.16 | -15.66% | 0.00% | -2.92% |
| US 7-10 year Treasuries | bullish | 9% | 166 | 13,912 | 92.44 | -24.16% | 0.00% | -2.98% |
| Real Estate Stocks | bearish | 77.44 | 0.57% | 0.00% | 0.00% | |||
| Inflation-linked Treasuries | bullish | 8% | 270 | 12,472 | 50.95 | -14.33% | 0.00% | -1.40% |
| Gold Spot | bullish | 13% | 570 | 18,841 | 36.46 | 135.38% | 0.00% | 7.30% |
| Diversified Commodities | bearish | 25.27 | 136.17% | 0.00% | 0.00% | |||
| 0.00% | -2.84% | |||||||
Statistic | ePortfolio | US Benchmark |
|---|---|---|
| Net asset value (NAV)* | 148,527 | 128,851 |
| Total return | 48.53% | 28.85% |
| Number of years | 6.76 | 6.76 |
| Annual return | 6.03% | 3.82% |
| Annual risk | 6.64% | 5.67% |
| Maximum drawdown* | -19.41% | -14.55% |
| Expense Ratio* | 0.25% | 0.38% |
| Sharp Ratio* | 0.91 | 0.67 |
| Year-to-date | -7.43% | -5.28% |
| Month-to-date | -2.84% | -2.44% |
| Today | 0.00% | 0.00% |
* 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 2.71%. This is 54% of the expected target risk of 5%. The risk of a correction is 0% 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. |
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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 (13.91%), Japan (3.42%), France (1.87%), Germany (1.53%), United Kingdom (1.51%), Italy (1.28%), Canada (0.97%), Mexico (0.72%), Belgium (0.57%) and Netherlands (0.50%). |
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The weighted ETF expense ratio for my Portfolio is 0.13%, 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 0.19%. |
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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 2.21% per annum. Currently, my outperformance is statistically NOT significant. There was a period of -12.71% underperformance. It took 496 days to recover. |
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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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Technical |
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| 52% |