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Factor Portfolio

Created byuser-gtjmcg
Optimize
Quarterly Rebalancing
EUR
Moderate Risk
11.4yr backtest

Performance Summary

Total Return+279.56%
Annualized Return+12.36%
Volatility+14.45%
Sharpe Ratio0.72
Max Drawdown+29.91%

Holdings

Asset Allocation

Asset Class

Equity 92.0%Precious Metals 8.0%
Holdings Details
Global ETF portfolio blending world equities, momentum & quality factor strategies, plus Nasdaq-100 and gold for diversified growth.
AssetTypeAllocationTER
ACWD.LSE
State Street SPDR MSCI All Country World UCITS ETF USD Unhedged (Acc) • IE00B44Z5B48
ETF
47.0%0.12%
IWMO.LSE
iShares Edge MSCI World Momentum Factor UCITS ETF (Acc) • IE00BP3QZ825
ETF
17.0%0.25%
IWQU.LSE
iShares Edge MSCI World Quality Factor UCITS ETF (Acc) • IE00BP3QZ601
ETF
15.0%0.25%
EQQQ.XETRA
Invesco EQQQ Nasdaq-100 UCITS ETF • IE0032077012
ETF
13.0%0.3%
SGLD.LSE
Invesco Physical Gold ETC • IE00B579F325
ETC
8.0%0.12%
Total100.0%0.18%

Performance

Portfolio Value Over Time
Starting with €10,000 investment → now worth €37,955.58
Histogram of Monthly Returns
The portfolio had a positive return during 96 of the 139 months (69%)
Monthly Returns Heatmap
Best month: +9.1% • Worst month: -8.1% • Best year: 2019 (+28.3%) • Worst year: 2022 (-18.5%)
YearJanFebMarAprMayJunJulAugSepOctNovDecTotal
2026+3.3%+1.0%-7.9%+2.8%---------1.3%
2025+4.1%-2.2%-4.0%+1.0%+6.3%+3.6%+1.9%+1.4%+4.2%+2.8%+0.2%+1.5%+22.4%
2024+2.0%+4.4%+3.8%-2.5%+3.0%+4.3%+0.1%+1.7%+2.5%-0.5%+3.7%-1.5%+22.8%
2023+5.7%-1.9%+3.3%+1.3%+0.1%+5.2%+3.2%-1.7%-3.9%-2.1%+8.3%+4.9%+23.8%
2022-6.7%-1.2%+3.9%-7.4%-2.7%-7.4%+6.4%-2.7%-7.4%+4.2%+4.6%-2.4%-18.5%
2021+0.1%+1.0%+2.1%+4.6%+1.0%+1.6%+1.8%+2.6%-3.8%+5.1%-0.9%+2.9%+19.3%
2020+1.1%-8.0%-8.1%+9.0%+3.5%+3.9%+5.3%+6.7%-2.8%-2.9%+9.1%+4.8%+21.5%
2019+7.1%+3.2%+1.6%+3.1%-4.5%+6.0%+2.0%-2.0%+1.3%+2.2%+2.9%+2.9%+28.3%
2018+4.9%-2.1%-3.3%+1.9%+1.5%-0.3%+1.9%+1.9%+0.6%-7.1%+0.5%-5.7%-5.8%
2017+2.0%+3.8%+1.1%+1.3%+2.1%-0.3%+2.4%+0.7%+1.6%+2.9%+1.6%+1.9%+23.2%
2016-6.0%+1.7%+5.1%+0.3%+1.1%+0.2%+4.3%-0.4%+1.0%-2.0%+0.9%+1.7%+7.8%
2015-0.2%+4.5%-0.8%+1.6%+0.3%-2.3%+1.6%-5.8%-3.9%+8.6%-0.3%-1.3%+1.3%
2014---------+5.3%+2.6%-0.4%+7.6%
> +2%
0% to +2%
-2% to 0%
< -2%
Drawdown Analysis
Maximum drawdown: +29.91% • The longest drawdown period lasted for 2 years and 1 month and was between November 2021 and December 2023. It reached a trough of -24.8%.

Dividend Income

Summary
This portfolio contains 1 distributing ETF (13.0% of total allocation)

Total Dividends Received

€146.35

46 payments

Dividend Yield

0.06%

(annualized)

Avg Per Payment

€3.18

per event

All dividends are automatically reinvested at the payment date. The portfolio value shown includes the compounding effect of dividend reinvestment.

Annual Breakdown
Dividend income per calendar year
YearDividends
2026€3.06
2025€14.12
2024€16.44
2023€14.00
2022€13.44
2021€9.07
2020€11.53
2019€13.02
2018€11.65
2017€12.07
2016€12.89
2015€11.50
2014€3.59
Total€146.35

Detailed Metrics

Returns
Total Return
+279.56%
Annualized Return
+12.36%
Avg Monthly Return
+1.03%
Risk
Volatility (Annual)
+14.45%
Max Drawdown
+29.91%
Positive Months
69%
Average Drawdown
-5.1%
Risk-Adjusted
Sharpe Ratio
0.72
Risk-free rate: 2.0%
Sortino Ratio
0.66
Downside risk adjusted
Return/Volatility
0.86
Calmar Ratio
0.41
Return/Max Drawdown
Ulcer Index
6.99
Drawdown depth & duration
Martin Ratio
0.01
Return/Ulcer Index
Backtest Configuration
Initial Investment
€10,000
Final Value
€37,955.58
Backtest Period
2014-10-20 to 2026-04-02
11.4 years
Rebalancing
quarterly
Base Currency
EUR