HomePortfoliosmomentum + value world

momentum + value world

Optimize
Quarterly Rebalancing
EUR
Moderate Risk
11.7yr backtest

Performance Summary

Total Return+341.76%
Annualized Return+13.49%
Volatility+16.35%
Sharpe Ratio0.70
Max Drawdown+32.57%

Holdings

Asset Allocation

Asset Class

Equity 100.0%
Holdings Details
Global equity portfolio split evenly between momentum and value factor ETFs for diversified, strategic market exposure.
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 €44,176.47
Histogram of Monthly Returns
The portfolio had a positive return during 88 of the 142 months (62%)
Monthly Returns Heatmap
Best month: +13.8% • Worst month: -10.7% • Best year: 2026 (+30.0%) • Worst year: 2022 (-9.2%)
YearJanFebMarAprMayJunJulAugSepOctNovDecTotal
2026+3.5%+2.6%-6.3%+13.8%+11.8%+4.8%-2.1%-----+30.0%
2025+5.4%+0.2%-6.5%-2.8%+6.1%+0.4%+2.5%+1.1%+3.5%+3.6%+0.7%+2.1%+16.6%
2024+4.9%+5.1%+5.3%-2.6%+1.8%+3.2%-0.2%-1.1%+0.9%+0.8%+5.8%-1.5%+24.3%
2023+2.1%+0.3%-1.9%+0.4%-0.5%+4.3%+2.2%-0.3%-0.2%-3.4%+4.9%+3.8%+11.8%
2022-4.0%-1.0%+3.9%-2.9%-1.6%-6.7%+6.1%-1.1%-5.4%+6.9%+1.7%-4.5%-9.2%
2021+2.6%+3.2%+5.8%+1.3%-0.8%+2.8%+0.8%+2.6%-0.4%+3.8%-0.8%+4.1%+27.6%
2020+0.3%-8.5%-10.7%+7.6%+1.8%+2.0%-2.5%+5.5%-0.9%-3.0%+10.1%+2.0%+1.6%
2019+7.5%+3.5%+1.9%+2.8%-5.0%+3.9%+3.5%-1.6%+3.0%-0.1%+3.8%+1.3%+26.8%
2018+2.4%-0.5%-4.3%+4.5%+3.2%-1.0%+1.9%+2.2%+1.6%-6.2%+0.3%-8.4%-5.1%
2017-0.4%+4.4%+0.7%-0.7%-0.8%-0.6%-0.3%-0.4%+3.5%+5.0%-0.0%+1.1%+11.8%
2016-6.9%-0.5%+0.4%-0.3%+4.9%-0.7%+3.8%-0.2%+0.3%+0.9%+5.4%+2.4%+9.3%
2015+5.9%+6.5%+3.5%-2.4%+2.9%-3.2%+2.8%-8.3%-4.2%+8.9%+3.8%-3.3%+12.0%
2014---------+1.4%+4.8%+1.7%+8.1%
> +2%
0% to +2%
-2% to 0%
< -2%
Drawdown Analysis
Maximum drawdown: +32.57% • The longest drawdown period lasted for 1 year and 11 months and was between January 2022 and December 2023. It reached a trough of -14.6%.

Detailed Metrics

Returns
Total Return
+341.76%
Annualized Return
+13.49%
Avg Monthly Return
+1.13%
Risk
Volatility (Annual)
+16.35%
Max Drawdown
+32.57%
Positive Months
62%
Average Drawdown
-5.5%
Risk-Adjusted
Sharpe Ratio
0.70
Risk-free rate: 2.0%
Sortino Ratio
0.65
Downside risk adjusted
Return/Volatility
0.83
Calmar Ratio
0.41
Return/Max Drawdown
Ulcer Index
6.94
Drawdown depth & duration
Martin Ratio
0.02
Return/Ulcer Index
Backtest Configuration
Initial Investment
10,000
Final Value
44,176.47
Backtest Period
2014-10-07 to 2026-07-03
11.7 years
Rebalancing
quarterly
Base Currency
EUR