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Value Momentum

Optimize
None Rebalancing
EUR
Moderate Risk
11.8yr backtest

Performance Summary

Total Return+337.57%
Annualized Return+13.38%
Volatility+16.61%
Sharpe Ratio0.69
Max Drawdown+32.27%

Holdings

Asset Allocation

Asset Class

Equity 100.0%
Holdings Details
Global equity portfolio of 50% momentum and 50% value factor ETFs for diversified, strategic growth.
AssetTypeAllocationTER
IS3R.XETRA
iShares Edge MSCI World Momentum Factor UCITS ETF (Acc)IE00BP3QZ825
ETF
50.0%0.25%
IS3S.XETRA
iShares Edge MSCI World Value Factor UCITS ETFIE00BP3QZB59
ETF
50.0%0.25%
Total100.0%0.25%

Performance

Portfolio Value Over Time
Starting with 10,000 investment → now worth €43,756.6
Histogram of Monthly Returns
The portfolio had a positive return during 87 of the 142 months (61%)
Monthly Returns Heatmap
Best month: +14.2% • Worst month: -10.1% • Best year: 2026 (+27.5%) • Worst year: 2022 (-10.4%)
YearJanFebMarAprMayJunJulAugSepOctNovDecTotal
2026+3.1%+2.1%-6.4%+14.2%+11.1%+5.7%-3.4%-----+27.5%
2025+5.5%-0.4%-7.3%-2.5%+6.5%+0.4%+2.5%+0.4%+3.7%+3.2%+0.3%+1.8%+14.2%
2024+5.4%+5.9%+5.2%-2.6%+2.0%+4.1%-1.1%-0.9%+1.0%+1.2%+6.1%-1.4%+27.3%
2023+1.4%+0.2%-1.9%+0.6%-0.7%+4.2%+2.0%-0.2%-0.5%-3.2%+5.1%+3.7%+11.0%
2022-5.1%-1.1%+4.6%-3.6%-2.2%-6.4%+6.3%-0.9%-5.1%+7.0%+1.3%-4.6%-10.4%
2021+2.4%+2.2%+5.0%+2.1%-1.4%+3.1%+1.0%+2.9%-0.7%+4.7%-0.7%+3.4%+26.5%
2020+0.8%-8.4%-10.1%+7.8%+2.0%+2.5%-1.4%+5.8%-0.9%-3.0%+8.8%+2.1%+4.3%
2019+7.4%+3.7%+2.1%+2.9%-4.6%+3.8%+3.6%-1.3%+2.5%-0.3%+3.9%+1.3%+27.4%
2018+2.5%-0.4%-4.3%+4.5%+3.4%-1.0%+1.8%+2.6%+1.6%-6.4%+0.4%-8.4%-4.6%
2017-0.4%+4.4%+0.7%-0.7%-0.7%-0.6%-0.2%-0.4%+3.5%+5.1%-0.1%+1.0%+12.0%
2016-6.8%-0.4%+0.3%-0.4%+5.0%-0.5%+3.6%-0.4%+0.3%+0.8%+5.4%+2.4%+9.0%
2015+5.9%+6.5%+3.5%-2.4%+2.9%-3.2%+2.8%-8.3%-4.2%+8.9%+3.9%-3.2%+12.1%
2014---------+1.4%+4.8%+1.7%+8.1%
> +2%
0% to +2%
-2% to 0%
< -2%
Drawdown Analysis
Maximum drawdown: +32.27% • The longest drawdown period lasted for 2 years and 1 month and was between November 2021 and January 2024. It reached a trough of -16.0%.

Detailed Metrics

Returns
Total Return
+337.57%
Annualized Return
+13.38%
Avg Monthly Return
+1.12%
Risk
Volatility (Annual)
+16.61%
Max Drawdown
+32.27%
Positive Months
61%
Average Drawdown
-5.6%
Risk-Adjusted
Sharpe Ratio
0.69
Risk-free rate: 2.0%
Sortino Ratio
0.64
Downside risk adjusted
Return/Volatility
0.81
Calmar Ratio
0.41
Return/Max Drawdown
Ulcer Index
7.06
Drawdown depth & duration
Martin Ratio
0.02
Return/Ulcer Index
Backtest Configuration
Initial Investment
10,000
Final Value
43,756.6
Backtest Period
2014-10-07 to 2026-07-10
11.8 years
Rebalancing
none
Base Currency
EUR