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50/20/20/10

Created byuser-3268mn
Optimize
Annual Rebalancing
EUR
Moderate Risk
11.6yr backtest

Performance Summary

Total Return+322.96%
Annualized Return+13.19%
Volatility+16.22%
Sharpe Ratio0.69
Max Drawdown+31.89%

Holdings

Asset Allocation

Asset Class

Equity 100.0%
Holdings Details
Global equity ETF portfolio targeting momentum, quality, and value factors, with a 10% allocation to emerging markets for diversified growth.
AssetTypeAllocationTER
IS3R.XETRA
iShares Edge MSCI World Momentum Factor UCITS ETF (Acc) • IE00BP3QZ825
ETF
50.0%0.25%
IS3Q.XETRA
iShares Edge MSCI World Quality Factor UCITS ETF (Acc) • IE00BP3QZ601
ETF
20.0%0.25%
IS3S.XETRA
iShares Edge MSCI World Value Factor UCITS ETF • IE00BP3QZB59
ETF
20.0%0.25%
IS3N.XETRA
iShares Core MSCI Emerging Markets IMI UCITS • IE00BKM4GZ66
ETF
10.0%0.18%
Total100.0%0.24%

Performance

Portfolio Value Over Time
Starting with €10,000 investment → now worth €42,295.86
Histogram of Monthly Returns
The portfolio had a positive return during 87 of the 140 months (62%)
Monthly Returns Heatmap
Best month: +12.8% • Worst month: -9.6% • Best year: 2019 (+29.0%) • Worst year: 2022 (-12.2%)
YearJanFebMarAprMayJunJulAugSepOctNovDecTotal
2026+3.0%+2.2%-6.6%+12.8%+9.0%-------+20.8%
2025+4.9%-0.9%-7.2%-2.9%+6.1%+0.5%+2.9%+0.0%+3.7%+3.3%-0.1%+1.4%+11.5%
2024+4.9%+6.0%+4.6%-2.1%+1.9%+5.0%-1.5%-0.5%+1.3%+1.0%+5.8%-1.4%+27.5%
2023+2.0%-0.3%-1.1%+0.4%+0.0%+3.9%+2.3%-0.4%-1.0%-2.9%+5.3%+3.6%+12.2%
2022-5.5%-1.6%+4.5%-3.3%-2.9%-6.0%+6.7%-0.9%-5.5%+5.6%+1.9%-4.7%-12.2%
2021+1.9%+2.0%+4.8%+2.2%-1.1%+3.8%+0.9%+3.0%-1.5%+5.0%-0.3%+3.0%+25.9%
2020+0.7%-8.1%-9.6%+8.3%+2.0%+2.8%-0.2%+5.7%-0.7%-2.5%+8.0%+2.2%+7.3%
2019+7.3%+4.0%+2.7%+3.0%-4.4%+3.8%+3.6%-1.3%+2.1%-0.2%+3.9%+1.8%+29.0%
2018+2.4%-0.5%-4.0%+3.8%+4.0%-1.0%+1.9%+2.7%+1.2%-6.4%+0.7%-7.8%-3.7%
2017-0.2%+4.8%+1.1%-0.5%-0.2%-0.8%-0.3%-0.1%+2.9%+5.1%-0.2%+1.1%+13.3%
2016-6.1%+0.1%+1.0%-0.8%+4.5%+0.8%+3.3%-0.8%+0.4%+0.2%+4.4%+1.9%+8.7%
2015+6.4%+5.9%+3.4%-2.1%+2.3%-3.3%+2.5%-8.4%-3.4%+8.9%+4.0%-3.3%+12.0%
2014---------+1.0%+5.3%+1.4%+7.9%
> +2%
0% to +2%
-2% to 0%
< -2%
Drawdown Analysis
Maximum drawdown: +31.89% • The longest drawdown period lasted for 2 years and 1 month and was between November 2021 and January 2024. It reached a trough of -17.1%.

Detailed Metrics

Returns
Total Return
+322.96%
Annualized Return
+13.19%
Avg Monthly Return
+1.11%
Risk
Volatility (Annual)
+16.22%
Max Drawdown
+31.89%
Positive Months
62%
Average Drawdown
-5.7%
Risk-Adjusted
Sharpe Ratio
0.69
Risk-free rate: 2.0%
Sortino Ratio
0.64
Downside risk adjusted
Return/Volatility
0.81
Calmar Ratio
0.41
Return/Max Drawdown
Ulcer Index
7.09
Drawdown depth & duration
Martin Ratio
0.02
Return/Ulcer Index
Backtest Configuration
Initial Investment
€10,000
Final Value
€42,295.86
Backtest Period
2014-10-07 to 2026-05-29
11.6 years
Rebalancing
annual
Base Currency
EUR
50/20/20/10 | +13.2% CAGR | ETF Backtest