HomePortfoliosOptimised High Sharpe Ratio Portfolio Example

Optimised High Sharpe Ratio Portfolio Example

Created byuser-9npkus
Optimize
None Rebalancing
GBP
Moderate Risk
Multi-currency
8.0yr backtest

Performance Summary

Total Return+147.60%
Annualized Return+11.94%
Volatility+12.46%
Sharpe Ratio0.80
Max Drawdown+21.97%

Holdings

Asset Allocation

Asset Class

Equity 53.1%Precious Metals 46.9%
Holdings Details
Diversified portfolio blending global equities, dividend stocks, and precious metals (gold & silver) for balanced growth and defensive allocation.
AssetTypeAllocationTER
BULP.LSE
WisdomTree Gold • GB00B15KXX56
ETF
41.9%0.49%
CTY.LSE
City Of London Investment Trust • GB0001990497
STOCK
11.6%0%
CTPE.LSE
CT Private Equity Trust PLC • GB0030738271
STOCK
11.5%0%
XGSD.LSE
Xtrackers STOXX Global Select Dividend 100 Swap UCITS ETF 1D • LU0292096186
ETF
5.0%0.5%
NCYF.LSE
CQS New City High Yield Fund • JE00B1LZS514
STOCK
5.0%0%
PFFA.US
Virtus InfraCap U.S. Preferred Stock • US26923G8226
ETF
5.0%1.72%
SLVRP.PA
WisdomTree Silver • GB00B15KY328
ETF
5.0%0.49%
MLPP.LSE
Invesco Morningstar US Energy Infrastructure MLP UCITS ETF Dist • IE00B8CJW150
ETF
5.0%0.5%
HFEL.LSE
Henderson Far East Income Ltd • JE00B1GXH751
STOCK
5.0%0%
TRY.LSE
TR Property Investment Trust plc • GB0009064097
STOCK
5.0%0%
Total100.0%0.37%

Performance

Portfolio Value Over Time
Starting with £10,000 investment → now worth £24,760.4
Histogram of Monthly Returns
The portfolio had a positive return during 60 of the 98 months (61%)
Monthly Returns Heatmap
Best month: +15.7% • Worst month: -9.6% • Best year: 2025 (+30.4%) • Worst year: 2018 (-3.5%)
YearJanFebMarAprMayJunJulAugSepOctNovDecTotal
2026+15.7%+4.5%-9.6%-0.1%+0.8%-3.2%------+6.5%
2025+6.9%-1.9%+3.0%+0.1%+0.1%-0.1%+3.7%+0.8%+5.6%+4.3%+3.7%+1.1%+30.4%
2024-0.7%-0.5%+5.0%+3.5%+1.4%-0.6%+4.0%-0.8%+1.9%+2.8%+1.1%-0.2%+17.9%
2023+4.8%-2.3%+0.4%+1.8%-2.6%-2.4%+2.5%-0.2%-0.6%+0.6%+2.1%+2.0%+6.2%
2022+0.4%+1.1%+3.2%+1.6%-2.3%-2.1%+0.3%+11.2%-2.5%-0.5%+4.2%+0.3%+15.1%
2021-1.6%-5.0%+4.1%+3.6%+3.8%-1.6%+1.0%+2.5%-1.5%+0.7%+0.3%+2.2%+8.3%
2020+1.7%-3.9%-9.4%+9.5%+2.1%+1.3%+2.0%-0.5%-2.7%-0.3%-1.0%+4.3%+2.0%
2019+2.2%+0.1%+0.9%+0.9%+0.9%+5.8%+4.2%+2.8%-2.3%-1.2%-1.8%+2.7%+16.0%
2018----+0.2%-1.6%-0.5%-0.4%-0.6%-0.5%-0.4%+0.3%-3.5%
> +2%
0% to +2%
-2% to 0%
< -2%
Drawdown Analysis
Maximum drawdown: +21.97% • The longest drawdown period lasted for 9 months and was between August 2020 and June 2021. It reached a trough of -11.4%.

Dividend Income

Summary
This portfolio contains 3 distributing ETFs (15.0% of total allocation)

Total Dividends Received

£2,481.93

296 payments

Dividend Yield

2.16%

(annualized)

Avg Per Payment

£8.38

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£74.24
2025£178.74
2024£177.40
2023£167.54
2022£1,571.11
2021£108.24
2020£91.71
2019£86.57
2018£26.39
Total£2,481.93

Detailed Metrics

Returns
Total Return
+147.60%
Annualized Return
+11.94%
Avg Monthly Return
+0.99%
Risk
Volatility (Annual)
+12.46%
Max Drawdown
+21.97%
Positive Months
61%
Average Drawdown
-3.2%
Risk-Adjusted
Sharpe Ratio
0.80
Risk-free rate: 2.0%
Sortino Ratio
0.81
Downside risk adjusted
Return/Volatility
0.96
Calmar Ratio
0.54
Return/Max Drawdown
Ulcer Index
4.01
Drawdown depth & duration
Martin Ratio
0.02
Return/Ulcer Index
Backtest Configuration
Initial Investment
£10,000
Final Value
£24,760.4
Backtest Period
2018-05-21 to 2026-06-05
8.0 years
Rebalancing
none
Base Currency
GBP
Optimised High Sharpe Ratio Portfolio Example | ETF Backtest