Asset Allocation
Performance
Performance Chart
The chart shows the growth of an initial investment of €10,000 in ETF Multifactor Tilted Growth, 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 rebalanced Every 3 months.
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The earliest data available for this chart is Apr 26, 2019, corresponding to the inception date of HYLE.DE
Returns By Period
| 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | 0.52% | -3.08% | -2.14% | -0.28% | 23.19% | 14.66% | 10.81% | 12.14% |
Portfolio ETF Multifactor Tilted Growth | 0.01% | -0.72% | 3.59% | -128.21% | -110.97% | — | — | — |
| Portfolio components: | ||||||||
ERN1.L iShares € Ultrashort Bond UCITS ETF | -0.06% | -0.55% | -0.26% | -597.95% | 867.10% | — | — | — |
HYLE.DE iShares Global High Yield Corporate Bond UCITS ETF (EUR Hedged) Dist | -0.01% | -0.82% | -0.87% | 0.01% | 6.22% | 5.84% | 2.05% | — |
QDVY.DE iShares USD Floating Rate Bond UCITS ETF | 0.45% | 0.32% | 2.73% | 1.16% | -5.03% | 1.13% | 2.78% | — |
MVED.L iShares Edge MSCI Europe Minimum Volatility UCITS ETF EUR (Dist) | 0.49% | 0.22% | 5.64% | 5.90% | 10.94% | 9.16% | 7.21% | — |
6PSC.DE Invesco FTSE RAFI Europe UCITS ETF | 0.31% | 0.86% | 4.23% | 11.23% | 31.34% | 17.17% | 12.97% | 10.26% |
PSWD.DE Invesco FTSE RAFI All World 3000 UCITS ETF | 0.00% | -1.19% | 4.56% | 9.65% | 29.78% | 15.68% | 11.74% | 11.07% |
5MVL.DE iShares Edge MSCI EM Value Factor UCITS ETF USD(Acc) | -1.11% | -0.29% | 12.62% | 21.38% | 55.61% | 24.34% | 11.63% | — |
DEM.L WisdomTree Emerging Markets Equity Income UCITS ETF | -0.83% | 0.51% | 6.26% | 8.94% | 21.50% | 15.71% | 10.14% | 10.02% |
EGLN.L iShares Physical Gold ETC | -1.76% | -7.54% | 10.25% | 22.16% | 46.83% | 30.18% | 22.32% | — |
EURUSD=X EUR/USD | 0.08% | 0.05% | 0.05% | 0.06% | 0.04% | 0.03% | 0.01% | 0.01% |
Monthly Returns
Based on dividend-adjusted daily data since Apr 29, 2019, ETF Multifactor Tilted Growth's average daily return is -0.15%, while the average monthly return is -3.17%.
Historically, 64% of months were positive and 36% were negative. The best month was Jun 2023 with a return of +17.4%, while the worst month was Dec 2025 at -126.7%. The longest winning streak lasted 10 consecutive months, and the longest losing streak was 3 months.
On a daily basis, ETF Multifactor Tilted Growth closed higher 57% of trading days. The best single day was Jun 15, 2023 with a return of +15.6%, while the worst single day was Dec 11, 2025 at -127.5%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 3.01% | 3.52% | -3.85% | 1.05% | 3.59% | ||||||||
| 2025 | 3.56% | 1.50% | -1.03% | -1.50% | 2.26% | -64.76% | 1.77% | 0.62% | 1.53% | 2.06% | 0.95% | -126.67% | -110.55% |
| 2024 | 1.01% | 1.00% | 2.96% | 0.57% | 1.52% | -44.65% | 1.39% | 0.27% | 0.96% | -0.13% | 1.51% | -49.05% | -68.53% |
| 2023 | 3.34% | 0.50% | -0.59% | 0.99% | -0.64% | 17.44% | 1.91% | -0.91% | 0.04% | -1.28% | 2.63% | -49.83% | -37.53% |
| 2022 | -0.31% | -0.90% | 0.94% | 0.34% | -0.72% | -4.28% | 3.32% | -1.38% | -3.57% | 2.55% | 3.39% | -2.03% | -2.94% |
| 2021 | 0.06% | 1.82% | 4.26% | 0.25% | 1.51% | 0.63% | 0.33% | 1.08% | -0.58% | 1.68% | -0.84% | 3.07% | 13.98% |
Benchmark Metrics
ETF Multifactor Tilted Growth has an annualized alpha of -35.34%, beta of 0.26, and R² of 0.01 versus S&P 500 Index. Calculated based on daily prices since April 29, 2019.
- Beta of 0.26 may look defensive, but with R² of 0.01 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 0.01 means this portfolio moves largely independently of S&P 500 Index — capture ratios reflect limited market correlation rather than active downside protection. Consider using a more representative benchmark.
- Alpha
- -35.34%
- Beta
- 0.26
- R²
- 0.01
- Upside Capture
- -51.81%
Expense Ratio
ETF Multifactor Tilted Growth 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.
Return for Risk
Return / Risk — by metrics
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | — | 0.43 | — |
Sortino ratioReturn per unit of downside risk | -1.15 | 0.73 | -1.88 |
Omega ratioGain probability vs. loss probability | 0.21 | 1.12 | -0.90 |
Calmar ratioReturn relative to maximum drawdown | -1.01 | 0.64 | -1.65 |
Martin ratioReturn relative to average drawdown | -1.63 | 2.67 | -4.29 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
How much return does each position deliver for the risk it carries? Higher values mean better reward for the risk taken.
| Risk / Return Rank | Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|---|
ERN1.L iShares € Ultrashort Bond UCITS ETF | 28 | 1.29 | -1.33 | 0.02 | 1.45 | 2.61 |
HYLE.DE iShares Global High Yield Corporate Bond UCITS ETF (EUR Hedged) Dist | 57 | 1.05 | 1.54 | 1.22 | 1.75 | 8.32 |
QDVY.DE iShares USD Floating Rate Bond UCITS ETF | 3 | -0.79 | -0.96 | 0.87 | -0.49 | -0.73 |
MVED.L iShares Edge MSCI Europe Minimum Volatility UCITS ETF EUR (Dist) | 26 | 0.56 | 0.78 | 1.12 | 0.96 | 2.18 |
6PSC.DE Invesco FTSE RAFI Europe UCITS ETF | 77 | 1.43 | 1.81 | 1.29 | 2.96 | 11.40 |
PSWD.DE Invesco FTSE RAFI All World 3000 UCITS ETF | 74 | 1.20 | 1.57 | 1.25 | 3.96 | 15.26 |
5MVL.DE iShares Edge MSCI EM Value Factor UCITS ETF USD(Acc) | 92 | 2.17 | 2.73 | 1.39 | 5.12 | 16.85 |
DEM.L WisdomTree Emerging Markets Equity Income UCITS ETF | 59 | 0.92 | 1.29 | 1.18 | 3.15 | 10.37 |
EGLN.L iShares Physical Gold ETC | 78 | 1.65 | 2.13 | 1.32 | 2.63 | 9.85 |
EURUSD=X EUR/USD | 56 | 0.03 | 0.06 | 1.01 | 0.12 | 0.69 |
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Dividends
Dividend yield
ETF Multifactor Tilted Growth provided a 60.94% dividend yield over the last twelve months.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 60.94% | 60.85% | 86.07% | 49.50% | 1.94% | 1.44% | 1.64% | 1.83% | 1.65% | 1.02% | 1.58% | 3.91% |
| Portfolio components: | ||||||||||||
ERN1.L iShares € Ultrashort Bond UCITS ETF | 271.17% | 270.43% | 382.39% | 214.76% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 3.00% | 13.08% |
HYLE.DE iShares Global High Yield Corporate Bond UCITS ETF (EUR Hedged) Dist | 5.44% | 5.34% | 5.38% | 4.76% | 4.17% | 3.83% | 4.50% | 1.75% | 0.00% | 0.00% | 0.00% | 0.00% |
QDVY.DE iShares USD Floating Rate Bond UCITS ETF | 0.00% | 0.00% | 2.90% | 5.61% | 1.50% | 0.57% | 1.75% | 2.94% | 2.20% | 0.47% | 0.00% | 0.00% |
MVED.L iShares Edge MSCI Europe Minimum Volatility UCITS ETF EUR (Dist) | 0.00% | 0.00% | 0.00% | 2.67% | 2.95% | 2.16% | 2.54% | 2.81% | 2.50% | 0.00% | 0.00% | 0.00% |
6PSC.DE Invesco FTSE RAFI Europe UCITS ETF | 2.87% | 3.05% | 3.57% | 3.59% | 3.41% | 2.75% | 2.06% | 3.55% | 3.67% | 2.80% | 2.83% | 2.73% |
PSWD.DE Invesco FTSE RAFI All World 3000 UCITS ETF | 1.95% | 2.03% | 2.27% | 2.48% | 2.66% | 1.92% | 1.98% | 2.37% | 2.56% | 2.06% | 1.97% | 2.02% |
5MVL.DE iShares Edge MSCI EM Value Factor UCITS ETF USD(Acc) | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
DEM.L WisdomTree Emerging Markets Equity Income UCITS ETF | 3.54% | 4.47% | 11.82% | 9.48% | 7.05% | 4.14% | 9.14% | 6.10% | 4.19% | 3.16% | 1.48% | 4.55% |
EGLN.L iShares Physical Gold ETC | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
EURUSD=X EUR/USD | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Drawdowns
Drawdowns Chart
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.
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Worst Drawdowns
The table below displays the maximum drawdowns of the ETF Multifactor Tilted Growth. 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 ETF Multifactor Tilted Growth was 101.76%, occurring on Mar 1, 2026. The portfolio has not yet recovered.
The current ETF Multifactor Tilted Growth drawdown is 101.71%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -101.76% | Dec 12, 2023 | 624 | Mar 1, 2026 | — | — | — |
| -21.14% | Feb 20, 2020 | 20 | Mar 18, 2020 | 251 | Mar 8, 2021 | 271 |
| -7.81% | Jan 6, 2022 | 191 | Sep 29, 2022 | 99 | Feb 15, 2023 | 290 |
| -3.37% | Jul 25, 2019 | 16 | Aug 15, 2019 | 19 | Sep 11, 2019 | 35 |
| -3.22% | Mar 6, 2023 | 10 | Mar 17, 2023 | 41 | May 15, 2023 | 51 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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Diversification
Diversification Metrics
Number of Effective Assets
The portfolio contains 10 assets, with an effective number of assets of 7.12, reflecting the diversification based on asset allocation. This number of effective assets indicates a moderate level of diversification, where some assets may have a more significant influence on overall performance.
Asset Correlations Table
| Benchmark | EURUSD=X | EGLN.L | ERN1.L | QDVY.DE | HYLE.DE | MVED.L | DEM.L | 5MVL.DE | 6PSC.DE | PSWD.DE | Portfolio | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Benchmark | 1.00 | 0.02 | -0.00 | 0.13 | 0.23 | 0.34 | 0.37 | 0.39 | 0.40 | 0.39 | 0.50 | 0.48 |
| EURUSD=X | 0.02 | 1.00 | -0.02 | 0.13 | 0.00 | -0.02 | -0.01 | 0.01 | -0.04 | -0.01 | -0.02 | 0.01 |
| EGLN.L | -0.00 | -0.02 | 1.00 | -0.01 | 0.07 | 0.00 | 0.07 | 0.12 | 0.10 | -0.01 | 0.02 | 0.17 |
| ERN1.L | 0.13 | 0.13 | -0.01 | 1.00 | -0.02 | -0.05 | -0.06 | 0.14 | -0.05 | -0.06 | -0.07 | 0.05 |
| QDVY.DE | 0.23 | 0.00 | 0.07 | -0.02 | 1.00 | -0.25 | -0.06 | 0.06 | 0.00 | -0.14 | 0.06 | -0.02 |
| HYLE.DE | 0.34 | -0.02 | 0.00 | -0.05 | -0.25 | 1.00 | 0.49 | 0.37 | 0.44 | 0.56 | 0.56 | 0.56 |
| MVED.L | 0.37 | -0.01 | 0.07 | -0.06 | -0.06 | 0.49 | 1.00 | 0.44 | 0.45 | 0.73 | 0.64 | 0.75 |
| DEM.L | 0.39 | 0.01 | 0.12 | 0.14 | 0.06 | 0.37 | 0.44 | 1.00 | 0.77 | 0.55 | 0.59 | 0.68 |
| 5MVL.DE | 0.40 | -0.04 | 0.10 | -0.05 | 0.00 | 0.44 | 0.45 | 0.77 | 1.00 | 0.61 | 0.67 | 0.71 |
| 6PSC.DE | 0.39 | -0.01 | -0.01 | -0.06 | -0.14 | 0.56 | 0.73 | 0.55 | 0.61 | 1.00 | 0.82 | 0.89 |
| PSWD.DE | 0.50 | -0.02 | 0.02 | -0.07 | 0.06 | 0.56 | 0.64 | 0.59 | 0.67 | 0.82 | 1.00 | 0.88 |
| Portfolio | 0.48 | 0.01 | 0.17 | 0.05 | -0.02 | 0.56 | 0.75 | 0.68 | 0.71 | 0.89 | 0.88 | 1.00 |