HomePortfoliosMax Sharpe Modified

Max Sharpe Modified

Optimize
Annual Rebalancing
EUR
Moderate Risk
6.9yr backtest

Performance Summary

Total Return+163.92%
Annualized Return+15.08%
Volatility+12.40%
Sharpe Ratio1.06
Max Drawdown+22.04%

Holdings

Asset Allocation

Asset Class

Precious Metals 45.9%Equity 42.7%Commodities 6.4%Bonds 5.0%
Holdings Details
Diversified ETF portfolio blending gold, global low-volatility equities, leveraged US stocks, commodities, and Euro bonds for balanced growth.
AssetTypeAllocationTER
GLDA.F
Amundi Physical Gold ETC C EURFR0013416716
ETC
45.9%0.12%
IQQ0.XETRA
iShares Edge MSCI World Minimum Volatility UCITS ETF USD (Acc)IE00B8FHGS14
ETF
27.8%0.3%
CL2.PA
Amundi MSCI USA Daily (2x) Leveraged UCITS ETF AccFR0010755611
ETF
14.9%0.5%
LYTR.XETRA
Amundi Bloomberg Equal-weight Commodity ex-Agriculture UCITS ETF AccLU1829218749
ETF
6.4%0.3%
MTD.PA
Amundi Euro Government Bond 7-10Y UCITS ETF AccLU1287023185
ETF
5.0%0.15%
Total100.0%0.24%

Performance

Portfolio Value Over Time
Starting with 10,000 investment → now worth €26,391.64
Histogram of Monthly Returns
The portfolio had a positive return during 60 of the 84 months (71%)
Monthly Returns Heatmap
Best month: +7.5% • Worst month: -6.2% • Best year: 2024 (+31.4%) • Worst year: 2022 (-1.9%)
YearJanFebMarAprMayJunJulAugSepOctNovDecTotal
2026+5.4%+4.3%-5.2%+2.0%+1.6%-1.1%------+6.8%
2025+5.8%+0.5%-1.6%-2.2%+1.5%-1.9%+3.2%+0.7%+6.5%+4.8%+2.4%+1.5%+22.8%
2024+2.8%+1.1%+6.6%+1.5%-0.3%+3.6%+1.7%+1.0%+2.1%+4.8%+4.3%-1.1%+31.4%
2023+2.1%-1.7%+3.3%+0.0%+0.9%+0.1%+1.9%-0.2%-1.4%+1.0%+2.7%+1.5%+10.6%
2022-2.5%+2.6%+5.2%+1.6%-4.4%-1.8%+3.9%-1.5%-3.3%+0.9%+0.3%-2.4%-1.9%
2021+0.9%-1.2%+4.3%+1.8%+2.6%+1.6%+3.5%+2.1%-1.9%+4.0%+2.1%+3.2%+25.6%
2020+4.1%-4.6%-6.2%+7.5%+0.5%+1.7%+2.0%+2.2%-1.6%-1.0%-0.8%+1.1%+4.2%
2019------+2.2%+3.6%+0.1%-0.4%+1.1%+1.1%+7.8%
> +2%
0% to +2%
-2% to 0%
< -2%
Drawdown Analysis
Maximum drawdown: +22.04% • The longest drawdown period lasted for 1 year and 8 months and was between April 2022 and December 2023. It reached a trough of -10.6%.

Detailed Metrics

Returns
Total Return
+163.92%
Annualized Return
+15.08%
Avg Monthly Return
+1.20%
Risk
Volatility (Annual)
+12.40%
Max Drawdown
+22.04%
Positive Months
71%
Average Drawdown
-4.0%
Risk-Adjusted
Sharpe Ratio
1.06
Risk-free rate: 2.0%
Sortino Ratio
0.99
Downside risk adjusted
Return/Volatility
1.22
Calmar Ratio
0.68
Return/Max Drawdown
Ulcer Index
4.78
Drawdown depth & duration
Martin Ratio
0.03
Return/Ulcer Index
Backtest Configuration
Initial Investment
10,000
Final Value
26,391.64
Backtest Period
2019-07-09 to 2026-06-05
6.9 years
Rebalancing
annual
Base Currency
EUR
Max Sharpe Modified | +15.1% CAGR | ETF Backtest