value+qulity+momentum

The chart shows the growth of an initial investment of €10,000 in value+qulity+momentum, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends. The portfolio is never rebalanced.

As of Apr 3, 2026, the value+qulity+momentum returned 1.50% Year-To-Date and 11.79% of annualized return in the last 10 years.

Based on dividend-adjusted daily data since Feb 18, 2015, value+qulity+momentum's average daily return is +0.04%, while the average monthly return is +0.88%. At this rate, your investment would double in approximately 6.6 years.

Historically, 61% of months were positive and 39% were negative. The best month was Oct 2015 with a return of +10.3%, while the worst month was Mar 2020 at -9.6%. The longest winning streak lasted 8 consecutive months, and the longest losing streak was 5 months.

On a daily basis, value+qulity+momentum closed higher 56% of trading days. The best single day was Mar 24, 2020 with a return of +8.0%, while the worst single day was Mar 12, 2020 at -8.9%.

value+qulity+momentum has an annualized alpha of 4.65%, beta of 0.50, and R² of 0.38 versus S&P 500 Index. Calculated based on daily prices since February 18, 2015.

• This portfolio participated in 84.79% of S&P 500 Index downside but only 83.33% of its upside — more exposed to losses than it benefited from rallies.
• Beta of 0.50 may look defensive, but with R² of 0.38 this portfolio is largely uncorrelated with S&P 500 Index — low beta reflects independence, not downside protection. See the Volatility section for a true picture of this portfolio's risk.
• R² of 0.38 means the benchmark explains less than half of this portfolio's behavior — treat beta with caution or consider switching to a more representative benchmark.

value+qulity+momentum has an expense ratio of 0.27%, which is considered low. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.

value+qulity+momentum ranks 47 for risk / return — on par with similar portfolios. You're getting a typical balance of risk and reward. Not a standout, but not a red flag either — a reasonable choice if other factors align with your goals.

The Sharpe ratio helps investors understand how much return they're getting for the level of risk taken. A higher Sharpe ratio indicates better risk-adjusted performance, meaning more reward for each unit of risk.

value+qulity+momentum Sharpe ratios as of Apr 3, 2026 (values are recalculated daily):

• 1-Year: 0.90
• 5-Year: 0.74
• 10-Year: 0.77
• All Time: 0.66

These values reflect how efficiently the investment has delivered returns relative to its volatility over different time periods. All figures are annualized and based on daily total returns (including price changes and dividends).

Compared to the broad market, where average Sharpe ratios range from 0.97 to 1.66, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests weaker risk-adjusted returns than most portfolios, possibly due to lower returns, higher volatility, or both. It may be worth reviewing the allocation. You can use the Portfolio Optimization tool to explore options for improving the Sharpe ratio.

The chart below shows the rolling Sharpe ratio of value+qulity+momentum compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time.

The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.

The table below displays the maximum drawdowns of the value+qulity+momentum. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.

The maximum drawdown for the value+qulity+momentum was 32.36%, occurring on Mar 23, 2020. Recovery took 205 trading sessions.

The current value+qulity+momentum drawdown is 3.99%.

The chart below shows the rolling one-month volatility.