HomePortfolios30 Value, 30 Quality, 40 Market

30 Value, 30 Quality, 40 Market

Optimize
Monthly Rebalancing
USD
Moderate Risk
5.4yr backtest

Performance Summary

Total Return+86.62%
Annualized Return+12.29%
Volatility+13.26%
Sharpe Ratio0.78
Max Drawdown+23.97%

Holdings

Asset Allocation

Asset Class

Equity 100.0%
Holdings Details
Global equity portfolio blending 40% total market, 30% quality, and 30% value ETFs for a diversified, multi-factor investment strategy.
AssetTypeAllocationTER
VWRA.LSE
Vanguard FTSE All-World UCITS ETF (USD) AccumulatingIE00BK5BQT80
ETF
40.0%0.19%
JPGL.LSE
JPMorgan Global Equity Multi-Factor UCITS ETF AccumulatingIE00BJRCLL96
ETF
30.0%0.19%
WVAL.LSE
State Street SPDR MSCI World Value UCITS ETF USD Unhedged (Acc)IE00BJXRT813
ETF
30.0%0.25%
Total100.0%0.21%

Performance

Portfolio Value Over Time
Starting with $10,000 investment → now worth $18,661.75
Histogram of Monthly Returns
The portfolio had a positive return during 44 of the 66 months (67%)
Monthly Returns Heatmap
Best month: +8.2% • Worst month: -8.6% • Best year: 2025 (+25.4%) • Worst year: 2022 (-13.4%)
YearJanFebMarAprMayJunJulAugSepOctNovDecTotal
2026+3.4%+3.5%-7.2%+2.2%--------+1.4%
2025+4.1%-0.7%-1.7%+0.5%+4.8%+3.7%+0.9%+3.2%+2.2%+1.9%+1.9%+2.2%+25.4%
2024+0.6%+2.5%+4.0%-2.9%+2.5%+1.3%+2.7%+1.6%+1.9%-2.6%+2.9%-3.4%+11.3%
2023+6.3%-2.1%+1.6%+1.6%-2.6%+6.1%+3.7%-2.6%-2.9%-3.6%+8.2%+5.7%+19.8%
2022-3.4%-2.0%+2.9%-5.5%-0.5%-8.6%+5.3%-3.2%-8.5%+5.7%+6.4%-1.3%-13.4%
2021+0.9%+3.1%+3.8%+3.1%+2.2%-0.1%+1.2%+1.5%-3.2%+3.4%-1.9%+4.5%+19.9%
2020----------+2.3%+3.6%+6.0%
> +2%
0% to +2%
-2% to 0%
< -2%
Drawdown Analysis
Maximum drawdown: +23.97% • The longest drawdown period lasted for 1 year and 11 months and was between January 2022 and December 2023. It reached a trough of -24.0%.

Detailed Metrics

Returns
Total Return
+86.62%
Annualized Return
+12.29%
Avg Monthly Return
+1.01%
Risk
Volatility (Annual)
+13.26%
Max Drawdown
+23.97%
Positive Months
67%
Average Drawdown
-5.1%
Risk-Adjusted
Sharpe Ratio
0.78
Risk-free rate: 2.0%
Sortino Ratio
0.75
Downside risk adjusted
Return/Volatility
0.93
Calmar Ratio
0.51
Return/Max Drawdown
Ulcer Index
7.06
Drawdown depth & duration
Martin Ratio
0.01
Return/Ulcer Index
Backtest Configuration
Initial Investment
$10,000
Final Value
$18,661.75
Backtest Period
2020-11-13 to 2026-04-02
5.4 years
Rebalancing
monthly
Base Currency
USD