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momentum quality value

Optimize
Quarterly Rebalancing
EUR
Moderate Risk
11.8yr backtest

Performance Summary

Total Return+324.61%
Annualized Return+13.09%
Volatility+15.94%
Sharpe Ratio0.70
Max Drawdown+32.47%

Holdings

Asset Allocation

Asset Class

Equity 100.0%
Holdings Details
Global equity ETF portfolio blending momentum, value, and quality factor strategies for diversified, long-term growth.
AssetTypeAllocationTER
IS3R.XETRA
iShares Edge MSCI World Momentum Factor UCITS ETF (Acc)IE00BP3QZ825
ETF
34.0%0.25%
IS3S.XETRA
iShares Edge MSCI World Value Factor UCITS ETFIE00BP3QZB59
ETF
33.0%0.25%
IS3Q.XETRA
iShares Edge MSCI World Quality Factor UCITS ETF (Acc)IE00BP3QZ601
ETF
33.0%0.25%
Total100.0%0.25%

Performance

Portfolio Value Over Time
Starting with 10,000 investment → now worth €42,460.94
Histogram of Monthly Returns
The portfolio had a positive return during 91 of the 142 months (64%)
Monthly Returns Heatmap
Best month: +11.5% • Worst month: -10.0% • Best year: 2021 (+29.8%) • Worst year: 2022 (-11.1%)
YearJanFebMarAprMayJunJulAugSepOctNovDecTotal
2026+2.9%+2.3%-6.0%+11.5%+9.2%+4.4%-1.9%-----+23.5%
2025+5.0%-0.5%-7.0%-3.3%+5.6%+0.2%+2.8%+0.5%+3.1%+3.5%+0.6%+1.6%+11.8%
2024+4.6%+5.1%+4.6%-2.5%+2.0%+3.9%-0.6%-0.4%+0.7%+0.8%+6.0%-1.8%+24.3%
2023+2.6%+0.4%-1.1%+0.4%+0.6%+4.0%+2.3%-0.1%-0.9%-2.9%+5.1%+3.9%+15.0%
2022-5.1%-1.4%+4.4%-2.8%-2.5%-6.5%+7.3%-1.5%-5.5%+6.0%+1.7%-4.8%-11.1%
2021+1.5%+3.1%+6.1%+1.7%-0.6%+3.6%+1.5%+2.8%-1.6%+4.8%-0.2%+3.9%+29.8%
2020+0.4%-8.6%-10.0%+8.1%+1.9%+1.6%-2.1%+5.9%-0.9%-2.9%+9.6%+1.8%+2.7%
2019+7.3%+4.2%+2.4%+3.0%-4.9%+3.9%+3.6%-1.7%+3.0%+0.0%+4.2%+1.5%+29.1%
2018+1.6%-0.7%-3.8%+4.1%+3.7%-0.9%+2.1%+2.3%+1.3%-5.6%+0.2%-8.1%-4.5%
2017-0.9%+4.9%+0.7%-0.7%-0.7%-0.9%-0.7%-0.5%+3.3%+4.6%+0.1%+1.2%+10.7%
2016-6.6%+0.2%+0.6%-0.4%+4.7%-0.7%+3.5%-0.2%+0.1%+0.4%+5.4%+2.2%+8.8%
2015+6.0%+6.2%+3.3%-2.2%+2.6%-3.4%+3.1%-8.3%-3.5%+9.4%+3.9%-3.5%+12.9%
2014---------+1.3%+5.1%+1.6%+8.2%
> +2%
0% to +2%
-2% to 0%
< -2%
Drawdown Analysis
Maximum drawdown: +32.47% • The longest drawdown period lasted for 1 year and 11 months and was between January 2022 and December 2023. It reached a trough of -15.7%.

Detailed Metrics

Returns
Total Return
+324.61%
Annualized Return
+13.09%
Avg Monthly Return
+1.10%
Risk
Volatility (Annual)
+15.94%
Max Drawdown
+32.47%
Positive Months
64%
Average Drawdown
-5.2%
Risk-Adjusted
Sharpe Ratio
0.70
Risk-free rate: 2.0%
Sortino Ratio
0.65
Downside risk adjusted
Return/Volatility
0.82
Calmar Ratio
0.40
Return/Max Drawdown
Ulcer Index
6.66
Drawdown depth & duration
Martin Ratio
0.02
Return/Ulcer Index
Backtest Configuration
Initial Investment
10,000
Final Value
42,460.94
Backtest Period
2014-10-07 to 2026-07-10
11.8 years
Rebalancing
quarterly
Base Currency
EUR
momentum quality value | +13.1% CAGR | ETF Backtest