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Created byuser-w5b794
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Monthly Rebalancing
EUR
Moderate Risk
6.9yr backtest

Performance Summary

Total Return+121.42%
Annualized Return+12.21%
Volatility+12.33%
Sharpe Ratio0.83
Max Drawdown+20.41%

Holdings

Asset Allocation

Asset Class

Commodities 50.0%Equity 50.0%
Holdings Details
Managed futures & momentum ETF portfolio: global, European equity exposure for a diversified, strategic asset allocation.
AssetTypeAllocationTER
DBMF.US
iMGP DBi Managed Futures Strategy ETF • US53700T8273
ETF
50.0%0.85%
XDEM.XETRA
Xtrackers MSCI World Momentum UCITS ETF 1C • IE00BL25JP72
ETF
25.0%0.25%
CEMR.XETRA
iShares Edge MSCI Europe Momentum Factor UCITS ETF • IE00BQN1K786
ETF
25.0%0.25%
Total100.0%0.55%

Performance

Portfolio Value Over Time
Starting with €10,000 investment → now worth €22,141.55
Histogram of Monthly Returns
The portfolio had a positive return during 60 of the 84 months (71%)
Monthly Returns Heatmap
Best month: +5.9% • Worst month: -6.0% • Best year: 2024 (+17.8%) • Worst year: 2023 (+0.7%)
YearJanFebMarAprMayJunJulAugSepOctNovDecTotal
2026+4.0%+4.5%-6.0%+2.2%--------+4.4%
2025+4.0%-0.7%-4.0%+0.0%+3.2%+1.4%+1.0%+0.3%+4.6%+2.5%+0.9%+1.8%+15.8%
2024+3.8%+5.1%+5.6%+1.2%+1.1%+2.7%-2.5%-1.4%+1.0%-2.0%+3.0%-0.9%+17.8%
2023-1.1%+1.0%-4.2%+1.9%-1.1%+3.5%+0.4%-0.3%+1.6%-1.3%+0.5%+0.0%+0.7%
2022+1.3%+0.3%+5.9%+3.1%-1.7%-1.1%+1.0%+0.3%+0.4%+3.8%-3.2%-1.7%+8.5%
2021+0.4%+2.3%+3.6%+3.1%+1.0%+0.5%+1.7%+0.1%-1.3%+5.2%-1.8%+1.9%+17.6%
2020+1.7%-4.5%-3.6%+5.2%+0.4%+0.7%+2.6%+1.7%-1.5%-1.6%+3.5%+3.8%+8.2%
2019----+0.2%+2.7%+2.4%+3.9%-0.3%-0.6%+2.1%+1.0%+11.9%
> +2%
0% to +2%
-2% to 0%
< -2%
Drawdown Analysis
Maximum drawdown: +20.41% • The longest drawdown period lasted for 1 year and 2 months and was between November 2022 and February 2024. It reached a trough of -12.1%.

Dividend Income

Summary
This portfolio contains 1 distributing ETF (50.0% of total allocation)

Total Dividends Received

€3,183.31

17 payments

Dividend Yield

3.03%

(annualized)

Avg Per Payment

€187.25

per event

All dividends are automatically reinvested at the payment date. The portfolio value shown includes the compounding effect of dividend reinvestment.

Annual Breakdown
Dividend income per calendar year
YearDividends
2026€43.51
2025€602.78
2024€495.09
2023€216.12
2022€1,301.26
2020€50.98
2019€473.59
Total€3,183.31

Detailed Metrics

Returns
Total Return
+121.42%
Annualized Return
+12.21%
Avg Monthly Return
+0.98%
Risk
Volatility (Annual)
+12.33%
Max Drawdown
+20.41%
Positive Months
71%
Average Drawdown
-3.7%
Risk-Adjusted
Sharpe Ratio
0.83
Risk-free rate: 2.0%
Sortino Ratio
0.75
Downside risk adjusted
Return/Volatility
0.99
Calmar Ratio
0.60
Return/Max Drawdown
Ulcer Index
4.47
Drawdown depth & duration
Martin Ratio
0.02
Return/Ulcer Index
Backtest Configuration
Initial Investment
€10,000
Final Value
€22,141.55
Backtest Period
2019-05-08 to 2026-04-02
6.9 years
Rebalancing
monthly
Base Currency
EUR