HomePortfoliosCTO MSCI World Momentum iShares (SHARES)

CTO MSCI World Momentum iShares (SHARES)

Created byuser-md9xjn
None Rebalancing
EUR
Moderate Risk
4.8yr backtest

Performance Summary

Total Return+61.41%
Annualized Return+10.55%
Volatility+16.91%
Sharpe Ratio0.51
Max Drawdown+22.61%

Holdings

Asset Allocation

Asset Class

Equity 100.0%
Holdings Details
A 100% equity portfolio investing in a global momentum ETF for targeted exposure to high-performing stocks worldwide.
AssetTypeAllocationTER
CBUH.XETRA
iShares MSCI World Momentum Factor Advanced UCITS ETF USD (Acc) • IE000L5NW549
ETF
100.0%0.25%
Total100.0%0.25%

Performance

Portfolio Value Over Time
Starting with €10,000 investment → now worth €16,140.71
Histogram of Monthly Returns
The portfolio had a positive return during 33 of the 59 months (56%)
Monthly Returns Heatmap
Best month: +15.1% • Worst month: -9.5% • Best year: 2024 (+28.9%) • Worst year: 2022 (-17.0%)
YearJanFebMarAprMayJunJulAugSepOctNovDecTotal
2026+5.5%+2.2%-7.8%+15.1%+5.5%+4.9%-4.7%+1.5%----+22.6%
2025+4.9%-3.4%-8.4%-0.9%+7.8%+0.7%+3.5%-1.5%+3.3%+2.0%-0.3%+0.9%+8.0%
2024+7.2%+7.6%+5.0%-3.2%+2.5%+5.7%-1.4%-1.2%+0.8%+0.5%+6.0%-3.0%+28.9%
2023+1.9%+0.5%-0.1%-0.1%+1.2%+3.5%+0.9%-0.2%-2.0%-2.2%+6.9%+2.7%+13.5%
2022-9.5%-1.7%+6.1%-5.0%-3.6%-5.6%+8.4%-1.9%-4.9%+5.2%+1.3%-5.5%-17.0%
2021---------+0.0%-1.1%+1.5%+0.4%
> +2%
0% to +2%
-2% to 0%
< -2%
Drawdown Analysis
Maximum drawdown: +22.61% • The longest drawdown period lasted for 2 years and 2 months and was between November 2021 and February 2024. It reached a trough of -22.5%.

Detailed Metrics

Returns
Total Return
+61.41%
Annualized Return
+10.55%
Avg Monthly Return
+0.92%
Risk
Volatility (Annual)
+16.91%
Max Drawdown
+22.61%
Positive Months
56%
Average Drawdown
-9.0%
Risk-Adjusted
Sharpe Ratio
0.51
Risk-free rate: 2.0%
Sortino Ratio
0.47
Downside risk adjusted
Return/Volatility
0.62
Calmar Ratio
0.47
Return/Max Drawdown
Ulcer Index
10.74
Drawdown depth & duration
Martin Ratio
0.01
Return/Ulcer Index
Backtest Configuration
Initial Investment
€10,000
Final Value
€16,140.71
Backtest Period
2021-10-29 to 2026-08-07
4.8 years
Rebalancing
none
Base Currency
EUR
CTO MSCI World Momentum iShares (SHARES) | ETF Backtest