Optimize
None Rebalancing
EUR
Moderate Risk
6.9yr backtest

Performance Summary

Total Return+140.06%
Annualized Return+13.53%
Volatility+16.17%
Sharpe Ratio0.71
Max Drawdown+32.86%

Holdings

Asset Allocation

Asset Class

Equity 100.0%
Holdings Details
A globally diversified ETF portfolio with 80% core world equity and 20% targeted factor exposure to emerging value and momentum strategies.
AssetTypeAllocationTER
VWCE.XETRA
Vanguard FTSE All-World UCITS ETF (USD) AccumulatingIE00BK5BQT80
ETF
80.0%0.19%
5MVL.XETRA
iShares Edge MSCI EM Value Factor UCITS ETF USD (Acc)IE00BG0SKF03
ETF
10.0%0.4%
IS3R.XETRA
iShares Edge MSCI World Momentum Factor UCITS ETF (Acc)IE00BP3QZ825
ETF
10.0%0.25%
Total100.0%0.22%

Performance

Portfolio Value Over Time
Starting with 10,000 investment → now worth €24,006.48
Histogram of Monthly Returns
The portfolio had a positive return during 52 of the 84 months (62%)
Monthly Returns Heatmap
Best month: +9.8% • Worst month: -11.0% • Best year: 2021 (+26.7%) • Worst year: 2022 (-13.2%)
YearJanFebMarAprMayJunJulAugSepOctNovDecTotal
2026+2.2%+2.5%-5.9%+9.8%+7.2%+2.3%------+18.6%
2025+4.3%-2.1%-7.0%-3.8%+6.2%+1.3%+4.5%-0.4%+3.3%+4.7%-0.7%+0.6%+10.5%
2024+3.1%+4.3%+3.7%-1.4%+1.4%+5.0%-0.3%-0.5%+1.9%+0.8%+6.2%-0.8%+25.4%
2023+4.5%-0.3%+0.0%+0.1%+1.7%+3.6%+2.6%-1.0%-1.1%-3.5%+5.7%+3.8%+16.8%
2022-4.4%-1.9%+3.8%-2.5%-3.1%-6.1%+8.4%-1.3%-6.1%+3.5%+2.0%-5.3%-13.2%
2021+1.4%+2.7%+5.4%+1.7%-0.4%+4.0%+0.3%+2.9%-1.7%+4.3%+0.0%+3.5%+26.7%
2020-1.0%-7.9%-11.0%+9.2%+1.8%+2.8%+0.2%+5.2%-0.7%-1.8%+8.6%+2.2%+5.7%
2019-------0.1%-2.0%+3.1%-0.0%+3.9%+2.6%+7.6%
> +2%
0% to +2%
-2% to 0%
< -2%
Drawdown Analysis
Maximum drawdown: +32.86% • The longest drawdown period lasted for 1 year and 11 months and was between January 2022 and December 2023. It reached a trough of -15.8%.

Detailed Metrics

Returns
Total Return
+140.06%
Annualized Return
+13.53%
Avg Monthly Return
+1.12%
Risk
Volatility (Annual)
+16.17%
Max Drawdown
+32.86%
Positive Months
62%
Average Drawdown
-5.5%
Risk-Adjusted
Sharpe Ratio
0.71
Risk-free rate: 2.0%
Sortino Ratio
0.64
Downside risk adjusted
Return/Volatility
0.84
Calmar Ratio
0.41
Return/Max Drawdown
Ulcer Index
7.03
Drawdown depth & duration
Martin Ratio
0.02
Return/Ulcer Index
Backtest Configuration
Initial Investment
10,000
Final Value
24,006.48
Backtest Period
2019-07-25 to 2026-06-19
6.9 years
Rebalancing
none
Base Currency
EUR
Growth1 | +13.5% CAGR | ETF Backtest