Home PortfoliosModel 3:The Factor-Enhanced "All-Weather" Portfolio — Min Volatility strategy

Model 3:The Factor-Enhanced "All-Weather" Portfolio — Min Volatility strategy

Created byuser-q81ecy

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Monthly Rebalancing

USD

Moderate Risk

2.3yr backtest

Performance Summary

Total Return+50.96%

Annualized Return+19.21%

Volatility+13.87%

Sharpe Ratio1.24

Max Drawdown+15.34%

Holdings

Asset Allocation

Asset Class

Equity 100.0%

Holdings Details

A globally diversified equity ETF portfolio with core allocations to the S&P 500, developed ex-US, and emerging markets for broad growth.

Asset	ISIN	Dist. Policy	Type	Allocation	TER
CSPX.LSE iShares Core S&P 500 UCITS ETF USD (Acc) • IE00B5BMR087	IE00B5BMR087	Acc	ETF	54.3%	0.07%
EXUS.LSE Xtrackers MSCI World ex USA UCITS ETF 1C • IE0006WW1TQ4	IE0006WW1TQ4	Acc	ETF	40.7%	0.15%
EIMI.LSE iShares Core MSCI Emerging Markets IMI UCITS ETF (Acc) • IE00BKM4GZ66	IE00BKM4GZ66	Acc	ETF	5.0%	0.18%
Total		Total			100.0%	0.11%

Performance

Portfolio Value Over Time

Starting with $10,000 investment → now worth $15,096.06

Histogram of Monthly Returns

The portfolio had a positive return during 22 of the 29 months (76%)

Monthly Returns Heatmap

Best month: +10.0% • Worst month: -8.0% • Best year: 2025 (+24.1%) • Worst year: 2024 (+9.9%)

Year	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2026	+2.6%	+1.8%	-8.0%	+10.0%	+4.8%	-0.7%	+0.7%	-	-	-	-	-	+10.7%
2025	+3.9%	-1.4%	-3.2%	+1.3%	+6.2%	+4.2%	+1.3%	+2.4%	+2.8%	+2.3%	+0.5%	+1.8%	+24.1%
2024	-	-	+2.5%	-3.0%	+3.0%	+2.9%	+1.5%	+2.1%	+2.2%	-2.5%	+3.1%	-2.1%	+9.9%

> +2%

0% to +2%

-2% to 0%

< -2%

Drawdown Analysis

Maximum drawdown: +15.34% • The longest drawdown period lasted for 2 months and was between February 2025 and May 2025. It reached a trough of -15.3%.

Detailed Metrics

Returns

Total Return

+50.96%

Annualized Return

+19.21%

Avg Monthly Return

+1.48%

Risk

Volatility (Annual)

+13.87%

Max Drawdown

+15.34%

Positive Months

76%

Average Drawdown

-2.0%

Risk-Adjusted

Sharpe Ratio

1.24

Risk-free rate: 2.0%

Sortino Ratio

1.22

Downside risk adjusted

Return/Volatility

1.39

Calmar Ratio

1.25

Return/Max Drawdown

Ulcer Index

2.66

Drawdown depth & duration

Martin Ratio

0.06

Return/Ulcer Index

Backtest Configuration

Initial Investment

$10,000

Final Value

$15,096.06

Backtest Period

2024-03-06 to 2026-07-10
2.3 years

Rebalancing

monthly

Base Currency

USD