HomePortfoliosOptimised High Sharpe Ratio Portfolio Example Testing

Optimised High Sharpe Ratio Portfolio Example Testing

Created byuser-9npkus
Optimize
None Rebalancing
GBP
Moderate Risk
Multi-currency
8.1yr backtest

Performance Summary

Total Return+120.47%
Annualized Return+10.31%
Volatility+15.47%
Sharpe Ratio0.54
Max Drawdown+39.51%

Holdings

Asset Allocation

Asset Class

Equity 95.0%Precious Metals 5.0%
Holdings Details
Diversified global portfolio blending dividend ETFs, private equity, energy MLPs, and silver for balanced income and growth potential.
AssetTypeAllocationTER
XGSD.LSE
Xtrackers STOXX Global Select Dividend 100 Swap UCITS ETF 1D • LU0292096186
ETF
25.0%0.5%
CTY.LSE
City Of London Investment Trust • GB0001990497
STOCK
17.0%0%
CTPE.LSE
CT Private Equity Trust PLC • GB0030738271
STOCK
15.0%0%
MLPP.LSE
Invesco Morningstar US Energy Infrastructure MLP UCITS ETF Dist • IE00B8CJW150
ETF
10.0%0.5%
HFEL.LSE
Henderson Far East Income Ltd • JE00B1GXH751
STOCK
10.0%0%
PFFA.US
Virtus InfraCap U.S. Preferred Stock • US26923G8226
ETF
8.0%1.72%
SLVRP.PA
WisdomTree Silver • GB00B15KY328
ETF
5.0%0.49%
NCYF.LSE
CQS New City High Yield Fund • JE00B1LZS514
STOCK
5.0%0%
TRY.LSE
TR Property Investment Trust plc • GB0009064097
STOCK
5.0%0%
Total100.0%0.34%

Performance

Portfolio Value Over Time
Starting with £10,000 investment → now worth £22,046.52
Histogram of Monthly Returns
The portfolio had a positive return during 56 of the 98 months (57%)
Monthly Returns Heatmap
Best month: +17.1% • Worst month: -21.9% • Best year: 2021 (+20.1%) • Worst year: 2020 (-9.1%)
YearJanFebMarAprMayJunJulAugSepOctNovDecTotal
2026+12.4%+2.7%-6.8%+2.7%+1.8%-0.1%------+12.6%
2025+5.1%-2.4%-0.2%-1.1%+1.7%+1.7%+4.1%-0.6%+1.2%+2.7%+2.2%+1.8%+16.9%
2024-0.6%-1.1%+3.0%+2.5%+2.3%-0.7%+4.5%-2.0%+1.3%-0.6%+3.4%-0.2%+12.3%
2023+5.8%-1.0%-3.7%+2.9%-5.0%+0.6%+3.5%-1.2%+0.4%-4.0%+4.6%+3.7%+6.3%
2022+1.8%-2.2%+3.4%-0.3%+0.9%-5.9%+3.3%+17.1%-5.3%+2.5%+5.2%-1.3%+19.0%
2021-0.7%+0.7%+7.4%+3.2%+2.8%+0.5%-0.3%+3.8%-1.6%+1.2%-1.6%+3.4%+20.1%
2020-0.9%-9.3%-21.9%+14.5%+0.9%+0.6%-0.5%+1.7%-3.9%+0.5%+10.1%+3.6%-9.1%
2019+4.2%+1.5%+1.7%+2.4%-1.5%+4.1%+3.5%-1.8%+0.9%-1.1%-0.5%+3.0%+17.5%
2018-----1.1%-0.3%+1.4%-0.1%-0.2%-3.7%-0.3%-3.8%-8.0%
> +2%
0% to +2%
-2% to 0%
< -2%
Drawdown Analysis
Maximum drawdown: +39.51% • The longest drawdown period lasted for 1 year and 3 months and was between January 2020 and May 2021. It reached a trough of -39.5%.

Dividend Income

Summary
This portfolio contains 3 distributing ETFs (43.0% of total allocation)

Total Dividends Received

£4,828.32

296 payments

Dividend Yield

4.52%

(annualized)

Avg Per Payment

£16.31

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£192.07
2025£442.61
2024£453.78
2023£445.48
2022£2,516.08
2021£278.15
2020£242.93
2019£215.08
2018£42.10
Total£4,828.32

Detailed Metrics

Returns
Total Return
+120.47%
Annualized Return
+10.31%
Avg Monthly Return
+0.91%
Risk
Volatility (Annual)
+15.47%
Max Drawdown
+39.51%
Positive Months
57%
Average Drawdown
-4.8%
Risk-Adjusted
Sharpe Ratio
0.54
Risk-free rate: 2.0%
Sortino Ratio
0.53
Downside risk adjusted
Return/Volatility
0.67
Calmar Ratio
0.26
Return/Max Drawdown
Ulcer Index
7.38
Drawdown depth & duration
Martin Ratio
0.01
Return/Ulcer Index
Backtest Configuration
Initial Investment
£10,000
Final Value
£22,046.52
Backtest Period
2018-05-21 to 2026-06-12
8.1 years
Rebalancing
none
Base Currency
GBP
Optimised High Sharpe Ratio Portfolio Example Testing