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test2 — Max Sharpe strategy

Optimize
Annual Rebalancing
EUR
Moderate Risk
6.8yr backtest

Performance Summary

Total Return+159.61%
Annualized Return+15.09%
Volatility+10.36%
Sharpe Ratio1.26
Max Drawdown+9.52%

Holdings

Asset Allocation

Asset Class

Precious Metals 45.9%Equity 42.7%Commodities 6.4%Bonds 5.0%
Holdings Details
Max Sharpe portfolio blending leveraged US stocks, gold, volatility, commodities, and Euro bonds for strategic diversification.
AssetTypeAllocationTER
GLDA.F
Amundi Physical Gold ETC C EURFR0013416716
ETC
45.9%0.12%
LU0557872479
Amundi Funds - Volatility World A EUR (C)LU0557872479
FUND
27.8%2%
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%0.71%

Performance

Portfolio Value Over Time
Starting with 10,000 investment → now worth €25,960.76
Histogram of Monthly Returns
The portfolio had a positive return during 57 of the 82 months (70%)
Monthly Returns Heatmap
Best month: +6.5% • Worst month: -3.6% • Best year: 2024 (+29.8%) • Worst year: 2022 (+2.9%)
YearJanFebMarAprMayJunJulAugSepOctNovDecTotal
2026+5.5%+3.3%-2.7%+1.7%--------+7.8%
2025+4.3%+0.2%-1.3%-0.7%+0.7%-2.4%+3.4%+0.3%+6.5%+5.6%+1.8%+1.3%+20.9%
2024+1.8%+0.7%+5.9%+2.7%-1.1%+3.3%+0.6%+0.7%+2.6%+5.7%+3.0%+0.6%+29.8%
2023+0.9%-0.8%+2.6%-1.0%+2.1%-1.5%+1.5%+0.4%-0.5%+1.9%+0.5%+1.1%+7.3%
2022-0.2%+3.2%+4.0%+3.1%-3.6%-0.3%+2.8%-0.6%-1.1%-0.5%-1.2%-2.3%+2.9%
2021+1.7%-1.1%+2.1%+0.7%+1.9%+1.1%+2.9%+1.5%-0.2%+2.9%+3.1%+1.5%+19.5%
2020+3.3%+0.7%-0.2%+5.5%+0.2%+2.1%+0.4%+1.1%-0.8%+0.0%-3.2%+0.4%+9.7%
2019------+2.1%+4.6%-0.4%-1.0%+0.4%+0.2%+5.9%
> +2%
0% to +2%
-2% to 0%
< -2%
Drawdown Analysis
Maximum drawdown: +9.52% • The longest drawdown period lasted for 1 year and 5 months and was between August 2022 and January 2024. It reached a trough of -8.6%.

Detailed Metrics

Returns
Total Return
+159.61%
Annualized Return
+15.09%
Avg Monthly Return
+1.19%
Risk
Volatility (Annual)
+10.36%
Max Drawdown
+9.52%
Positive Months
70%
Average Drawdown
-2.9%
Risk-Adjusted
Sharpe Ratio
1.26
Risk-free rate: 2.0%
Sortino Ratio
1.25
Downside risk adjusted
Return/Volatility
1.46
Calmar Ratio
1.59
Return/Max Drawdown
Ulcer Index
3.35
Drawdown depth & duration
Martin Ratio
0.04
Return/Ulcer Index
Backtest Configuration
Initial Investment
10,000
Final Value
25,960.76
Backtest Period
2019-07-09 to 2026-04-23
6.8 years
Rebalancing
annual
Base Currency
EUR
test2 — Max Sharpe strategy | +15.1% CAGR | ETF Backtest