HomePortfoliosV2 avec Winton

V2 avec Winton

Optimize
Quarterly Rebalancing
EUR
High Risk
7.8yr backtest

Performance Summary

Total Return+214.89%
Annualized Return+15.95%
Volatility+20.98%
Sharpe Ratio0.66
Max Drawdown+39.57%

Holdings

Asset Allocation

Asset Class

Equity 81.0%Money Market 19.0%
Holdings Details
A leveraged US and global ETF portfolio diversified with a managed futures fund for enhanced growth and trend exposure.
AssetTypeAllocationTER
CL2.PA
Amundi MSCI USA Daily (2x) Leveraged UCITS ETF AccFR0010755611
ETF
46.0%0.5%
CW8.PA
Amundi MSCI World Swap UCITS ETF EUR AccLU1681043599
ETF
35.0%0.38%
IE00BG382R37
Winton Trend Fund (UCITS) I EUR AccIE00BG382R37
FUND
19.0%0.8%
Total100.0%0.52%

Performance

Portfolio Value Over Time
Starting with 10,000 investment → now worth €31,488.57
Histogram of Monthly Returns
The portfolio had a positive return during 59 of the 94 months (63%)
Monthly Returns Heatmap
Best month: +14.6% • Worst month: -12.8% • Best year: 2021 (+50.3%) • Worst year: 2022 (-17.9%)
YearJanFebMarAprMayJunJulAugSepOctNovDecTotal
2026+0.3%+0.3%-5.5%+2.5%---------2.6%
2025+4.3%-5.5%-11.1%-7.8%+7.9%+1.8%+7.2%-1.0%+4.1%+5.6%-0.6%-0.2%+2.7%
2024+5.8%+5.9%+4.9%-2.4%+0.9%+7.7%-1.0%-1.9%+1.9%+2.0%+11.3%-0.6%+39.3%
2023+5.3%+1.3%-0.9%+0.1%+5.0%+5.8%+2.9%-0.3%-2.2%-4.4%+6.7%+4.2%+25.4%
2022-6.9%-2.2%+8.6%-3.3%-5.8%-7.1%+13.3%-1.4%-6.3%+5.2%-2.9%-8.3%-17.9%
2021+1.2%+4.7%+8.4%+3.7%-1.2%+7.0%+2.9%+4.5%-2.7%+8.1%+1.2%+4.3%+50.3%
2020+2.6%-12.1%-12.8%+14.6%+2.7%+1.4%+0.9%+8.7%-2.6%-3.4%+11.4%+2.9%+11.0%
2019+9.1%+5.5%+4.3%+5.3%-6.1%+5.4%+6.7%-1.2%+2.4%-1.3%+6.8%+0.6%+43.1%
2018------+3.6%+5.1%+0.6%-6.7%+0.6%-10.6%-8.1%
> +2%
0% to +2%
-2% to 0%
< -2%
Drawdown Analysis
Maximum drawdown: +39.57% • The longest drawdown period lasted for 1 year and 3 months and was between August 2022 and December 2023. It reached a trough of -19.4%.

Detailed Metrics

Returns
Total Return
+214.89%
Annualized Return
+15.95%
Avg Monthly Return
+1.38%
Risk
Volatility (Annual)
+20.98%
Max Drawdown
+39.57%
Positive Months
63%
Average Drawdown
-7.3%
Risk-Adjusted
Sharpe Ratio
0.66
Risk-free rate: 2.0%
Sortino Ratio
0.60
Downside risk adjusted
Return/Volatility
0.76
Calmar Ratio
0.40
Return/Max Drawdown
Ulcer Index
9.36
Drawdown depth & duration
Martin Ratio
0.01
Return/Ulcer Index
Backtest Configuration
Initial Investment
10,000
Final Value
31,488.57
Backtest Period
2018-07-02 to 2026-04-02
7.8 years
Rebalancing
quarterly
Base Currency
EUR