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unhedged magg complete

Created byuser-jb4tpw

Quarterly Rebalancing

GBP

Low Risk

Multi-currency

1.3yr backtest

Performance Summary

Total Return+34.32%

Annualized Return+26.02%

Volatility+9.30%

Sharpe Ratio2.58

Max Drawdown+6.59%

Holdings

Asset Allocation

Asset Class

Equity 100.0%

Holdings Details

Diversified global equity ETF portfolio with 60% managed futures, 40% in US, Europe, emerging markets, and Japan stocks for broad market exposure.

Asset	ISIN	Dist. Policy	Type	Allocation	TER
DBMG.LSE iMGP DBi Managed Futures Fund R USD UCITS ETF • LU2951555585	LU2951555585	Acc	ETF	60.0%	0.75%
CSP1.LSE iShares Core S&P 500 UCITS ETF USD (Acc) • IE00B5BMR087	IE00B5BMR087	Acc	ETF	20.0%	0.07%
EIMI.LSE iShares Core MSCI Emerging Markets IMI UCITS ETF (Acc) • IE00BKM4GZ66	IE00BKM4GZ66	Acc	ETF	8.0%	0.18%
EEUD.LSE iShares MSCI Europe CTB Enhanced ESG UCITS ETF EUR (Dist) • IE00BHZPJ676	IE00BHZPJ676	Dist	ETF	8.0%	0.12%
SJPA.LSE iShares Core MSCI Japan IMI UCITS ETF • IE00B4L5YX21	IE00B4L5YX21	Acc	ETF	4.0%	0.12%
Total		Total			100.0%	0.49%

Performance

Portfolio Value Over Time

Starting with £10,000 investment → now worth £13,432.47

Histogram of Monthly Returns

The portfolio had a positive return during 14 of the 17 months (82%)

Monthly Returns Heatmap

Best month: +7.3% • Worst month: -4.7% • Best year: 2025 (+19.4%) • Worst year: 2026 (+12.5%)

Year	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2026	+2.9%	+7.3%	-4.7%	+1.5%	+4.3%	+1.0%	-1.7%	+1.7%	-	-	-	-	+12.5%
2025	-	-	-	+0.3%	+1.3%	+1.8%	+3.2%	+0.1%	+5.3%	+5.6%	+0.7%	-0.2%	+19.4%

> +2%

0% to +2%

-2% to 0%

< -2%

Drawdown Analysis

Maximum drawdown: +6.59% • The longest drawdown period lasted for 2 months and was between March 2026 and May 2026. It reached a trough of -6.6%.

Dividend Income

Summary

This portfolio contains 1 distributing ETF (8.0% of total allocation)

Total Dividends Received

£42.97

3 payments

Dividend Yield

0.28%

(annualized)

Avg Per Payment

£14.32

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

Year	Dividends	Yield	Payments
2026	£19.61	0.15%	1
2025	£23.36	0.21%	2
Total	£42.97	0.28%	3

Detailed Metrics

Returns

Total Return

+34.32%

Annualized Return

+26.02%

Avg Monthly Return

+1.79%

Risk

Volatility (Annual)

+9.30%

Max Drawdown

+6.59%

Positive Months

82%

Average Drawdown

-1.4%

Risk-Adjusted

Sharpe Ratio

2.58

Risk-free rate: 2.0%

Sortino Ratio

2.35

Downside risk adjusted

Return/Volatility

2.80

Calmar Ratio

3.95

Return/Max Drawdown

Ulcer Index

1.63

Drawdown depth & duration

Martin Ratio

0.15

Return/Ulcer Index

Backtest Configuration

Initial Investment

£10,000

Final Value

£13,432.47

Backtest Period

2025-04-28 to 2026-08-07
1.3 years

Rebalancing

quarterly

Base Currency

GBP