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Risk Parity Slow Pace

Created byuser-dqaxw8
Optimize
Annual Rebalancing
EUR
Low Risk
14.5yr backtest

Performance Summary

Total Return+108.01%
Annualized Return+5.17%
Volatility+7.30%
Sharpe Ratio0.43
Max Drawdown+16.68%

Holdings

Asset Allocation

Asset Class

Bonds 43.0%Commodities 30.0%Equity 15.0%Precious Metals 12.0%
Holdings Details
Diversified ETF portfolio blending European government bonds, global commodities, world equities, and gold for balanced, multi-asset exposure.
AssetTypeAllocationTER
LYQ6.XETRA
Amundi Euro Government Bond 10-15Y UCITS ETF Acc • LU1650489385
ETF
43.0%0.15%
EXXY.XETRA
iShares Diversified Commodity Swap UCITS ETF (DE) • DE000A0H0728
ETF
30.0%0.46%
IUSQ.XETRA
iShares MSCI ACWI UCITS ETF USD (Acc) • IE00B6R52259
ETF
15.0%0.2%
4GLD.XETRA
Xetra-Gold • DE000A0S9GB0
ETF
12.0%0%
Total100.0%0.23%

Performance

Portfolio Value Over Time
Starting with €10,000 investment → now worth €20,800.56
Histogram of Monthly Returns
The portfolio had a positive return during 107 of the 175 months (61%)
Monthly Returns Heatmap
Best month: +5.8% • Worst month: -6.3% • Best year: 2021 (+14.4%) • Worst year: 2022 (-5.6%)
YearJanFebMarAprMayJunJulAugSepOctNovDecTotal
2026+4.5%+1.9%+0.9%+1.6%--------+9.1%
2025+2.8%+0.4%-1.6%-2.0%+0.5%-0.8%+1.5%-0.3%+3.0%+3.4%+1.4%+0.3%+8.7%
2024+0.6%-0.3%+3.1%+0.7%-0.1%+1.1%-0.1%-0.3%+2.7%+0.7%+3.4%-0.7%+11.3%
2023+2.1%-2.4%+1.5%-0.9%+0.5%+0.4%+1.6%+0.3%-1.8%+0.5%+1.1%+2.2%+5.1%
2022+1.4%+1.3%+3.5%+1.1%-1.6%-5.2%+5.5%-2.6%-4.5%-0.1%+1.3%-5.3%-5.6%
2021+1.5%+0.5%+1.3%+1.5%+1.3%+1.4%+2.7%+0.2%+1.2%+1.5%-0.7%+1.2%+14.4%
2020+0.0%-2.4%-6.3%+1.8%+0.8%+1.7%+1.7%+1.4%-0.1%+0.8%+0.7%+0.9%+0.8%
2019+3.7%+0.6%+2.0%+0.3%-0.7%+2.9%+2.3%+1.7%+0.5%-0.6%-0.5%+1.2%+14.3%
2018-0.5%+0.0%-0.1%+1.8%+1.4%-1.3%-0.8%-0.7%+0.5%-0.3%+0.1%-2.1%-2.0%
2017-1.9%+2.6%-1.4%-0.9%-1.4%-1.5%-0.2%+0.5%+0.2%+2.4%-0.6%+0.0%-2.3%
2016+0.4%+1.6%-0.1%+1.3%+2.1%+3.5%-0.4%-0.9%+0.8%-0.7%+0.2%+1.6%+9.5%
2015+4.6%+2.2%+1.5%-1.6%-0.8%-3.1%-1.2%-3.3%-0.0%+2.7%+0.0%-3.6%-3.1%
2014+2.1%+2.8%+0.4%+1.5%+0.7%+1.9%-0.1%+2.2%-0.4%-0.3%+1.5%-0.3%+12.5%
2013-0.3%+0.3%+2.0%-0.7%-1.0%-4.5%+0.9%+1.4%-1.4%+1.2%-0.4%-0.6%-3.4%
2012+2.8%+0.9%-1.0%-0.7%+0.0%+0.1%+5.8%-0.2%+1.4%-1.1%+1.1%-1.3%+7.7%
2011---------+1.4%-0.9%+0.9%+1.4%
> +2%
0% to +2%
-2% to 0%
< -2%
Drawdown Analysis
Maximum drawdown: +16.68% • The longest drawdown period lasted for 4 years and 2 months and was between April 2015 and June 2019. It reached a trough of -15.2%.

Detailed Metrics

Returns
Total Return
+108.01%
Annualized Return
+5.17%
Avg Monthly Return
+0.44%
Risk
Volatility (Annual)
+7.30%
Max Drawdown
+16.68%
Positive Months
61%
Average Drawdown
-5.4%
Risk-Adjusted
Sharpe Ratio
0.43
Risk-free rate: 2.0%
Sortino Ratio
0.42
Downside risk adjusted
Return/Volatility
0.71
Calmar Ratio
0.31
Return/Max Drawdown
Ulcer Index
6.73
Drawdown depth & duration
Martin Ratio
0.00
Return/Ulcer Index
Backtest Configuration
Initial Investment
€10,000
Final Value
€20,800.56
Backtest Period
2011-10-21 to 2026-04-30
14.5 years
Rebalancing
annual
Base Currency
EUR