Optimize
Monthly Rebalancing
EUR
Moderate Risk
11.5yr backtest

Performance Summary

Total Return+221.57%
Annualized Return+10.69%
Volatility+13.92%
Sharpe Ratio0.62
Max Drawdown+31.60%

Holdings

Asset Allocation

Asset Class

Equity 100.0%
Holdings Details
Diversified global equity ETF portfolio blending momentum, quality, value, and low volatility strategies for balanced, long-term growth.
AssetTypeAllocationTER
XDEM.XETRA
Xtrackers MSCI World Momentum UCITS ETF 1CIE00BL25JP72
ETF
25.0%0.25%
XDEQ.XETRA
Xtrackers MSCI World Quality UCITS ETF 1CIE00BL25JL35
ETF
25.0%0.25%
XDEV.XETRA
Xtrackers MSCI World Value UCITS ETF 1CIE00BL25JM42
ETF
25.0%0.25%
XDEB.XETRA
Xtrackers MSCI World Minimum Volatility UCITS ETF 1C 1CIE00BL25JN58
ETF
25.0%0.25%
Total100.0%0.25%

Performance

Portfolio Value Over Time
Starting with 10,000 investment → now worth €32,156.92
Histogram of Monthly Returns
The portfolio had a positive return during 92 of the 139 months (66%)
Monthly Returns Heatmap
Best month: +8.5% • Worst month: -9.9% • Best year: 2021 (+28.8%) • Worst year: 2022 (-9.4%)
YearJanFebMarAprMayJunJulAugSepOctNovDecTotal
2026+1.9%+3.1%-5.2%+2.5%--------+2.0%
2025+4.8%+0.1%-5.9%-3.6%+4.6%-0.7%+2.5%+0.3%+2.2%+2.6%+1.0%+0.8%+8.3%
2024+4.6%+4.0%+4.1%-2.5%+1.5%+3.6%+0.5%+0.3%+0.4%+0.8%+6.1%-2.3%+22.7%
2023+1.8%+0.1%-0.5%+0.6%+0.3%+3.1%+1.8%+0.1%-0.7%-2.6%+4.4%+3.3%+12.2%
2022-5.2%-1.4%+5.0%-1.8%-2.8%-5.3%+7.1%-1.5%-5.0%+5.5%+1.3%-4.5%-9.4%
2021+1.0%+2.1%+6.5%+1.3%-0.3%+3.8%+1.8%+2.6%-1.8%+4.3%+0.3%+4.3%+28.8%
2020+1.0%-8.3%-9.9%+7.8%+1.5%+0.8%-1.9%+4.8%-0.5%-2.9%+8.2%+1.3%+0.1%
2019+6.9%+4.0%+2.7%+2.4%-3.8%+3.7%+3.6%-0.9%+2.8%-0.5%+3.9%+1.1%+28.6%
2018+1.8%-1.7%-3.3%+3.8%+3.7%-0.5%+2.4%+2.2%+1.3%-4.7%+0.6%-7.6%-2.7%
2017-0.8%+4.5%+0.4%-0.8%-0.5%-1.2%-0.4%-2.1%+3.8%+4.3%+0.2%+0.8%+8.4%
2016-6.8%+1.3%+2.9%+1.0%+1.9%-0.3%+4.2%-0.2%-0.0%+0.7%+4.0%+2.7%+11.6%
2015+6.8%+6.8%+2.6%-1.4%+2.1%-3.6%+2.3%-9.5%-1.5%+8.5%+4.2%-3.7%+12.6%
2014---------+0.6%+4.1%+1.3%+6.1%
> +2%
0% to +2%
-2% to 0%
< -2%
Drawdown Analysis
Maximum drawdown: +31.60% • The longest drawdown period lasted for 1 year and 11 months and was between January 2022 and December 2023. It reached a trough of -14.0%.

Detailed Metrics

Returns
Total Return
+221.57%
Annualized Return
+10.69%
Avg Monthly Return
+0.90%
Risk
Volatility (Annual)
+13.92%
Max Drawdown
+31.60%
Positive Months
66%
Average Drawdown
-4.8%
Risk-Adjusted
Sharpe Ratio
0.62
Risk-free rate: 2.0%
Sortino Ratio
0.57
Downside risk adjusted
Return/Volatility
0.77
Calmar Ratio
0.34
Return/Max Drawdown
Ulcer Index
6.18
Drawdown depth & duration
Martin Ratio
0.01
Return/Ulcer Index
Backtest Configuration
Initial Investment
10,000
Final Value
32,156.92
Backtest Period
2014-10-01 to 2026-04-02
11.5 years
Rebalancing
monthly
Base Currency
EUR