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Multi Factor

20% Emerging Markets 20% MSCI World small cap 20% MSCI World Momentum 20% MSCI World Value 20% MSCI World Quality

Optimize
None Rebalancing
EUR
Moderate Risk
7.9yr backtest

Performance Summary

Total Return+115.96%
Annualized Return+10.19%
Volatility+15.34%
Sharpe Ratio0.53
Max Drawdown+33.93%

Holdings

Asset Allocation

Asset Class

Equity 100.0%
Holdings Details
Diversified multi-factor ETF portfolio balancing emerging markets, small-cap, momentum, value and quality stocks for global growth in EUR.
AssetTypeAllocationTER
EMIM.AS
iShares Core MSCI Emerging Markets IMI UCITS ETF (Acc)IE00BKM4GZ66
ETF
20.0%0.18%
IUSN.F
iShares MSCI World Small Cap UCITS ETFIE00BF4RFH31
ETF
20.0%0.35%
IS3R.F
iShares Edge MSCI World Momentum Factor UCITS ETF (Acc)IE00BP3QZ825
ETF
20.0%0.25%
IS3S.F
iShares Edge MSCI World Value Factor UCITS ETFIE00BP3QZB59
ETF
20.0%0.25%
XDEQ.F
Xtrackers MSCI World Quality UCITS ETF 1C 1CIE00BL25JL35
ETF
20.0%0.25%
Total100.0%0.26%

Performance

Portfolio Value Over Time
Starting with 10,000 investment → now worth €21,595.75
Histogram of Monthly Returns
The portfolio had a positive return during 62 of the 97 months (64%)
Monthly Returns Heatmap
Best month: +11.0% • Worst month: -13.1% • Best year: 2019 (+27.6%) • Worst year: 2022 (-12.9%)
YearJanFebMarAprMayJunJulAugSepOctNovDecTotal
2026+3.6%+2.9%-6.2%+2.1%--------+2.1%
2025+3.4%-1.4%-6.9%-3.6%+6.0%+0.6%+3.6%+1.1%+2.2%+4.1%-0.1%+1.1%+9.8%
2024+3.3%+3.9%+4.4%-2.1%+1.9%+3.1%+0.7%-1.1%+1.8%+0.5%+6.1%-1.6%+22.7%
2023+3.5%+0.1%-2.2%-0.2%+1.0%+3.6%+2.8%-1.1%-1.4%-3.0%+4.8%+4.5%+12.7%
2022-5.7%-2.1%+4.3%-2.2%-2.5%-6.5%+7.2%-0.3%-7.1%+4.9%+2.0%-4.4%-12.9%
2021+2.0%+2.7%+4.6%+1.4%-0.1%+3.3%+0.2%+2.9%-1.3%+3.3%-0.3%+3.6%+24.6%
2020-0.9%-8.1%-13.1%+11.0%+1.8%+1.7%-0.3%+5.6%-0.7%-1.6%+9.3%+3.3%+5.7%
2019+8.5%+3.2%+2.3%+2.9%-5.7%+4.5%+2.5%-2.4%+3.2%+0.3%+3.7%+2.3%+27.6%
2018---+2.9%+3.5%-1.3%+2.1%+1.5%+0.3%-6.2%+1.0%-7.9%-4.8%
> +2%
0% to +2%
-2% to 0%
< -2%
Drawdown Analysis
Maximum drawdown: +33.93% • The longest drawdown period lasted for 2 years and 2 months and was between November 2021 and January 2024. It reached a trough of -16.9%.

Detailed Metrics

Returns
Total Return
+115.96%
Annualized Return
+10.19%
Avg Monthly Return
+0.87%
Risk
Volatility (Annual)
+15.34%
Max Drawdown
+33.93%
Positive Months
64%
Average Drawdown
-6.0%
Risk-Adjusted
Sharpe Ratio
0.53
Risk-free rate: 2.0%
Sortino Ratio
0.48
Downside risk adjusted
Return/Volatility
0.66
Calmar Ratio
0.30
Return/Max Drawdown
Ulcer Index
7.61
Drawdown depth & duration
Martin Ratio
0.01
Return/Ulcer Index
Backtest Configuration
Initial Investment
10,000
Final Value
21,595.75
Backtest Period
2018-04-25 to 2026-04-02
7.9 years
Rebalancing
none
Base Currency
EUR