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08 Risk Parity

Created byuser-dmjf59
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Annual Rebalancing
EUR
Low Risk
Multi-currency
7.1yr backtest

Performance Summary

Total Return+58.05%
Annualized Return+6.70%
Volatility+9.31%
Sharpe Ratio0.50
Max Drawdown+17.65%

Holdings

Asset Allocation

Asset Class

Commodities 50.0%Bonds 25.0%Equity 25.0%
Holdings Details
Diversified ETF portfolio blending commodities, global equity factors, and long-term European bonds for multi-asset growth and stability.
AssetTypeAllocationTER
DBMF.US
iMGP DBi Managed Futures Strategy ETF • US53700T8273
ETF
27.5%0.85%
MTH.PA
Amundi Euro Government Bond 25+Y UCITS ETF Acc • LU1686832194
ETF
25.0%0.07%
JPGL.XETRA
JPMorgan Global Equity Multi-Factor UCITS ETF Accumulating • IE00BJRCLL96
ETF
25.0%0.19%
CMOD.LSE
Invesco Bloomberg Commodity UCITS ETF Acc • IE00BD6FTQ80
ETF
22.5%0.19%
Total100.0%0.34%

Performance

Portfolio Value Over Time
Starting with €10,000 investment → now worth €15,804.76
Histogram of Monthly Returns
The portfolio had a positive return during 53 of the 86 months (62%)
Monthly Returns Heatmap
Best month: +5.4% • Worst month: -7.3% • Best year: 2021 (+19.4%) • Worst year: 2020 (-1.2%)
YearJanFebMarAprMayJunJulAugSepOctNovDecTotal
2026+3.6%+5.2%+1.0%+1.0%+0.9%-0.4%+0.7%+0.5%----+13.1%
2025+2.1%-0.4%-4.2%-3.5%+0.0%-1.4%+1.1%-0.4%+2.6%+3.3%+1.6%-0.8%-0.4%
2024+1.7%+0.9%+3.8%+1.2%-1.1%+1.4%-0.9%-1.8%+1.6%-0.8%+5.1%-1.8%+9.5%
2023+0.5%-1.6%-2.4%-0.9%-0.0%+2.1%+0.5%+0.3%-0.1%-1.2%-0.2%+2.1%-1.0%
2022+4.1%+1.3%+5.4%+5.2%-2.3%-2.8%+4.7%-0.5%-0.9%+0.9%-4.2%-5.4%+4.8%
2021+0.9%+2.0%+3.8%+0.8%+1.2%+2.0%+2.8%-0.4%+1.1%+3.3%-0.7%+1.3%+19.4%
2020+1.2%-3.1%-7.3%+3.3%-0.7%-0.0%+0.4%+0.7%+0.7%+1.0%+1.6%+1.5%-1.2%
2019------+2.0%+3.5%+0.8%-2.1%+0.7%-0.3%+4.7%
> +2%
0% to +2%
-2% to 0%
< -2%
Drawdown Analysis
Maximum drawdown: +17.65% • The longest drawdown period lasted for 3 years and 5 months and was between August 2022 and January 2026. It reached a trough of -16.3%.

Dividend Income

Summary
This portfolio contains 1 distributing ETF (27.5% of total allocation)

Total Dividends Received

€1,529.61

17 payments

Dividend Yield

1.72%

(annualized)

Avg Per Payment

€89.98

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€37.88
2025€221.29
2024€215.51
2023€89.56
2022€692.75
2020€22.76
2019€249.85
Total€1,529.61

Detailed Metrics

Returns
Total Return
+58.05%
Annualized Return
+6.70%
Avg Monthly Return
+0.56%
Risk
Volatility (Annual)
+9.31%
Max Drawdown
+17.65%
Positive Months
62%
Average Drawdown
-6.4%
Risk-Adjusted
Sharpe Ratio
0.50
Risk-free rate: 2.0%
Sortino Ratio
0.47
Downside risk adjusted
Return/Volatility
0.72
Calmar Ratio
0.38
Return/Max Drawdown
Ulcer Index
7.70
Drawdown depth & duration
Martin Ratio
0.01
Return/Ulcer Index
Backtest Configuration
Initial Investment
€10,000
Final Value
€15,804.76
Backtest Period
2019-07-16 to 2026-08-07
7.1 years
Rebalancing
annual
Base Currency
EUR
08 Risk Parity | ETF Backtest