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Factor Strategy

Test

Optimize FIRE Projection
Quarterly Rebalancing
EUR
Moderate Risk
11.9yr backtest

Performance Summary

Total Return+295.85%
Annualized Return+12.25%
Volatility+14.23%
Sharpe Ratio0.72
Max Drawdown+30.51%

Holdings

Asset Allocation

Asset Class

Equity 100.0%
Holdings Details
Factor-based ETF portfolio in EUR with annual rebalancing designed to capture systematic returns through strategic factor exposure for long-term wealth building
AssetTypeAllocationTER
IS3Q.F
iShares Edge MSCI World Quality Factor UCITS ETF (Acc)IE00BP3QZ601
ETF
40.0%0.25%
IS3R.F
iShares Edge MSCI World Momentum Factor UCITS ETF (Acc)IE00BP3QZ825
ETF
35.0%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 €39,584.68
Histogram of Monthly Returns
The portfolio had a positive return during 95 of the 144 months (66%)
Monthly Returns Heatmap
Best month: +10.8% • Worst month: -9.5% • Best year: 2019 (+30.8%) • Worst year: 2022 (-11.6%)
YearJanFebMarAprMayJunJulAugSepOctNovDecTotal
2026+1.0%+2.0%-4.7%+7.2%+5.3%+4.9%-2.9%+1.5%+0.1%---+14.6%
2025+3.7%-1.3%-6.6%-3.1%+5.0%-1.1%+3.1%-0.6%+1.9%+2.4%+0.3%+0.2%+3.2%
2024+5.9%+4.7%+4.1%-2.1%+2.1%+5.1%-1.3%+1.3%+0.3%+1.5%+6.1%-1.4%+29.0%
2023+0.6%+0.1%-0.3%+1.4%+0.1%+3.0%+1.2%+1.1%-1.7%-2.0%+5.1%+2.3%+11.3%
2022-7.7%-1.7%+6.5%-2.7%-3.8%-4.7%+7.8%-0.8%-6.1%+6.1%+0.5%-4.1%-11.6%
2021-0.3%+0.7%+6.1%+2.0%-0.1%+4.0%+2.5%+3.7%-2.4%+4.6%+1.0%+3.4%+28.0%
2020+2.6%-8.3%-9.5%+10.8%+1.5%+0.6%+0.2%+5.8%-1.0%-3.1%+6.6%+1.9%+6.5%
2019+6.1%+5.4%+3.0%+2.9%-3.1%+4.3%+3.4%-0.6%+2.0%-0.4%+4.0%+0.7%+30.8%
2018+0.7%-0.7%-2.9%+3.3%+4.5%+0.2%+2.1%+3.7%+0.6%-4.9%+0.7%-7.4%-0.9%
2017-0.2%+4.7%+0.6%-0.2%-0.1%-1.2%-1.5%-0.9%+3.0%+4.3%+0.5%+0.6%+9.8%
2016-6.3%+1.6%+0.7%+0.1%+4.8%+0.1%+3.6%-2.1%+0.3%-0.2%+4.1%+2.0%+8.4%
2015+7.3%+5.7%+3.8%-3.4%+3.1%-3.5%+3.9%-8.4%-3.5%+10.3%+4.7%-3.5%+15.8%
2014---------+3.0%+3.5%+1.7%+8.3%
> +2%
0% to +2%
-2% to 0%
< -2%
Drawdown Analysis
Maximum drawdown: +30.51% • The longest drawdown period lasted for 2 years and 1 month and was between November 2021 and January 2024. It reached a trough of -16.8%.
When could this portfolio get you to financial independence?

Factor Strategy returned +12.25% a year over the 12 years above. Run those same monthly returns forward through 10,000 simulated paths, with your own savings and target retirement age, to see when they could reach your FIRE number.

Detailed Metrics

Returns
Total Return
+295.85%
Annualized Return
+12.25%
Avg Monthly Return
+1.03%
Risk
Volatility (Annual)
+14.23%
Max Drawdown
+30.51%
Positive Months
66%
Average Drawdown
-4.8%
Risk-Adjusted
Sharpe Ratio
0.72
Risk-free rate: 2.0%
Sortino Ratio
0.67
Downside risk adjusted
Return/Volatility
0.86
Calmar Ratio
0.40
Return/Max Drawdown
Ulcer Index
6.15
Drawdown depth & duration
Martin Ratio
0.02
Return/Ulcer Index
Backtest Configuration
Initial Investment
10,000
Final Value
39,584.68
Backtest Period
2014-10-07 to 2026-09-04
11.9 years
Rebalancing
quarterly
Base Currency
EUR