HomePortfoliosFactor small tilt

Factor small tilt

Optimize
Annual Rebalancing
EUR
Moderate Risk
Multi-currency
11.5yr backtest

Performance Summary

Total Return+234.56%
Annualized Return+11.07%
Volatility+15.92%
Sharpe Ratio0.57
Max Drawdown+35.42%

Holdings

Asset Allocation

Asset Class

Equity 100.0%
Holdings Details
Diversified global equity ETF portfolio with core world, US small cap value, momentum, and emerging markets exposure for growth.
AssetTypeAllocationTER
SWDA.SW
iShares Core MSCI World UCITS ETF USD (Acc)IE00B4L5Y983
ETF
66.0%0.2%
ZPRV.XETRA
SPDR MSCI USA Small Cap Value Weighted UCITS ETFIE00BSPLC413
ETF
18.5%0.3%
XDEM.XETRA
Xtrackers MSCI World Momentum UCITS ETF 1CIE00BL25JP72
ETF
9.5%0.25%
EIMI.LSE
iShares Core MSCI Emerging Markets IMI UCITS ETF (Acc)IE00BKM4GZ66
ETF
6.0%0.18%
Total100.0%0.22%

Performance

Portfolio Value Over Time
Starting with 10,000 investment → now worth €33,456.29
Histogram of Monthly Returns
The portfolio had a positive return during 86 of the 139 months (62%)
Monthly Returns Heatmap
Best month: +10.5% • Worst month: -13.8% • Best year: 2021 (+32.5%) • Worst year: 2022 (-12.2%)
YearJanFebMarAprMayJunJulAugSepOctNovDecTotal
2026+0.7%+2.6%-5.3%+9.4%+5.3%+2.9%-2.0%+1.9%----+15.8%
2025+4.6%-2.8%-8.0%-4.5%+6.2%+0.6%+4.0%+1.4%+2.4%+3.5%+0.4%+0.5%+7.6%
2024+3.0%+3.5%+4.1%-2.3%+1.2%+4.1%+1.4%-0.9%+1.6%+1.0%+7.9%-2.1%+24.5%
2023+5.6%+0.8%-2.0%-0.3%+1.1%+4.8%+3.3%-1.0%-1.7%-4.1%+6.1%+5.1%+18.2%
2022-5.2%-0.5%+4.0%-2.3%-3.1%-6.6%+9.8%-0.8%-6.1%+5.2%-0.3%-5.6%-12.2%
2021+2.3%+4.0%+6.0%+1.9%-0.0%+3.8%+0.6%+2.9%-1.1%+4.6%+0.1%+3.7%+32.5%
2020+0.0%-9.0%-13.8%+10.5%+2.8%+2.1%-0.7%+6.6%-1.7%-1.6%+10.1%+3.5%+6.1%
2019+8.8%+4.2%+1.6%+3.7%-5.3%+3.8%+4.1%-3.3%+3.7%-0.1%+4.5%+1.4%+29.7%
2018+0.3%-1.5%-3.8%+5.2%+3.9%+0.9%+1.5%+1.8%+0.3%-5.9%+0.9%-9.0%-6.3%
2017-0.4%+5.1%-0.3%-0.5%-1.9%-1.0%-0.5%-0.9%+3.4%+3.6%-0.1%+1.1%+7.6%
2016-9.2%+2.0%+3.2%+2.3%+1.5%-1.8%+5.9%+0.2%+0.2%-0.3%+6.9%+3.1%+13.7%
2015-+2.2%+2.6%-1.1%+1.9%-3.0%+1.8%-11.4%-1.0%+9.0%+4.0%-4.3%-0.7%
> +2%
0% to +2%
-2% to 0%
< -2%
Drawdown Analysis
Maximum drawdown: +35.42% • The longest drawdown period lasted for 2 years and was between November 2021 and December 2023. It reached a trough of -16.5%.

Detailed Metrics

Returns
Total Return
+234.56%
Annualized Return
+11.07%
Avg Monthly Return
+0.96%
Risk
Volatility (Annual)
+15.92%
Max Drawdown
+35.42%
Positive Months
62%
Average Drawdown
-5.5%
Risk-Adjusted
Sharpe Ratio
0.57
Risk-free rate: 2.0%
Sortino Ratio
0.53
Downside risk adjusted
Return/Volatility
0.70
Calmar Ratio
0.31
Return/Max Drawdown
Ulcer Index
7.20
Drawdown depth & duration
Martin Ratio
0.01
Return/Ulcer Index
Backtest Configuration
Initial Investment
10,000
Final Value
33,456.29
Backtest Period
2015-02-20 to 2026-08-21
11.5 years
Rebalancing
annual
Base Currency
EUR
Factor small tilt | +11.1% CAGR | ETF Backtest