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Factor Strategy

Test

Optimize
Quarterly Rebalancing
EUR
Moderate Risk
11.5yr backtest

Performance Summary

Total Return+243.77%
Annualized Return+11.35%
Volatility+14.43%
Sharpe Ratio0.65
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 €34,376.95
Histogram of Monthly Returns
The portfolio had a positive return during 91 of the 139 months (65%)
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%+1.4%---------0.5%
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%.

Detailed Metrics

Returns
Total Return
+243.77%
Annualized Return
+11.35%
Avg Monthly Return
+0.96%
Risk
Volatility (Annual)
+14.43%
Max Drawdown
+30.51%
Positive Months
65%
Average Drawdown
-5.0%
Risk-Adjusted
Sharpe Ratio
0.65
Risk-free rate: 2.0%
Sortino Ratio
0.60
Downside risk adjusted
Return/Volatility
0.79
Calmar Ratio
0.37
Return/Max Drawdown
Ulcer Index
6.26
Drawdown depth & duration
Martin Ratio
0.01
Return/Ulcer Index
Backtest Configuration
Initial Investment
10,000
Final Value
34,376.95
Backtest Period
2014-10-07 to 2026-04-02
11.5 years
Rebalancing
quarterly
Base Currency
EUR