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 | 499.52 | 70.36% | 0.00% | 0.00% | |||
| Developed Market Stocks | bearish | 56.25 | 25.84% | 0.00% | 0.00% | |||
| Emerging Market Stocks | bearish | 41.01 | 11.41% | 0.00% | 0.00% | |||
| Dividend Select Stocks | bearish | 114.97 | 44.27% | 0.00% | 0.00% | |||
| Smallcap Value Stocks | bearish | 177.80 | 71.01% | 0.00% | 0.00% | |||
| High Yield Bonds | bearish | 28.17 | 6.06% | 0.00% | 0.00% | |||
| High Grade Bonds | bullish | 4% | 58 | 5,528 | 104.90 | -19.14% | 0.00% | -0.86% |
| US 30 year Treasuries | bullish | 2% | 40 | 3,228 | 88.83 | -47.55% | 0.00% | -1.91% |
| International Bonds | bullish | 15% | 536 | 23,639 | 48.54 | -14.99% | 0.00% | -2.72% |
| US 7-10 year Treasuries | bullish | 9% | 166 | 13,819 | 91.62 | -24.83% | 0.00% | -2.98% |
| Real Estate Stocks | bearish | 78.62 | 2.10% | 0.00% | 0.00% | |||
| Inflation-linked Treasuries | bullish | 8% | 270 | 12,570 | 51.24 | -13.84% | 0.00% | -1.32% |
| Gold Spot | bullish | 15% | 570 | 23,305 | 45.00 | 190.51% | 0.00% | 9.99% |
| Diversified Commodities | bearish | 23.33 | 118.04% | 0.00% | 0.00% | |||
| 0.00% | 0.19% | |||||||
Statistic | ePortfolio | US Benchmark |
|---|---|---|
| Net asset value (NAV)* | 153,034 | 133,980 |
| Total return | 53.03% | 33.98% |
| Number of years | 6.76 | 6.76 |
| Annual return | 6.50% | 4.42% |
| Annual risk | 6.65% | 5.67% |
| Maximum drawdown* | -19.41% | -14.55% |
| Expense Ratio* | 0.26% | 0.38% |
| Sharp Ratio* | 0.98 | 0.78 |
| Year-to-date | -4.27% | -1.25% |
| Month-to-date | 0.19% | 1.48% |
| 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 3.11%. This is 62% 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 (13.55%), Japan (3.35%), France (1.83%), Germany (1.50%), United Kingdom (1.49%), Italy (1.25%), Canada (0.95%), Mexico (0.70%), Belgium (0.56%) and Netherlands (0.49%). |
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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%. |
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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 2.07% 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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| 54% |