Maximum Sharpe

Backtest report

In sample Nov 1996 to Oct 2016 · out of sample Nov 2016 to Oct 2026
4 assets · monthly · rebalanced quarterly · no trading costs · against Benchmark

Summary

The allocation, and how it did on returns it had not seen

The allocation

40%

12%

US Equity 40.0%Bonds 40.0%Real Estate 12.1%Gold 7.9%

Maximum Sharpe, fitted to the returns from Nov 1996 to Oct 2016. Limits: at most 40% in any asset. Rebalanced quarterly. Benchmark: 60% US Equity and 40% Bonds, held the same way.

Return, out of sample

5.9% a year

Benchmark 6.0%

Volatility

9.5%

Benchmark 10.6%

Sharpe ratio

0.39

0.61 in sample · Benchmark 0.37

Maximum drawdown

−21.4%

Benchmark −24.9%

Tracking error

2.5%

Information ratio −0.08

Statistics

	Maximum Sharpe, in sample	Maximum Sharpe, out of sample	Benchmark, in sample	Benchmark, out of sample
Return a year	7.8%	5.9%	8.1%	6.0%
Volatility	9.4%	9.5%	10.4%	10.6%
Sharpe ratio	0.61	0.39	0.59	0.37
Sortino ratio	1.51	1.01	1.42	0.93
Maximum drawdown	−32.4%	−21.4%	−36.2%	−24.9%
Calmar ratio	0.24	0.28	0.22	0.24
Best month	+10.0%	+7.2%	+9.4%	+8.0%
Worst month	−7.1%	−8.4%	−8.4%	−9.7%
Value at risk, 95%, 1 month	3.5%	3.8%	3.7%	4.2%
Expected shortfall, 95%, 1 month	4.9%	6.3%	5.5%	6.7%
Tracking error	2.9%	2.5%
Information ratio	−0.12	−0.08
Beta to the benchmark	0.87	0.87

In sample: Nov 1996 to Oct 2016, the history the weights were fitted to. Out of sample: Nov 2016 to Oct 2026.

Growth and drawdown

The whole history, with the holdout shaded apart

Growth of 100

Maximum Sharpe 798Benchmark 847

Drawdown

Maximum Sharpe −21.4% at worst out of sampleBenchmark −24.9%

Weights and trading

What drifting and rebalancing cost

Weights held, out of sample

US EquityBondsReal EstateGold

Between rebalances the weights drift with prices; at each rebalance they return to the targets.

Rebalances

Rebalanced quarterly

Turnover

8.4% a year

Trading costs

0.00% a year

None

Largest rebalance

9.6%

Of the portfolio's value

Returns

By year and by month

Calendar-year returns

Maximum SharpeBenchmark

Part years: 1996 from Nov, 2026 to Oct.

Monthly returns, out of sample

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Year
2016											3.8%	2.2%	6.1%
2017	−3.0%	5.5%	1.8%	3.0%	0.8%	0.9%	4.9%	−1.4%	−0.7%	−1.0%	1.2%	1.0%	13.4%
2018	1.5%	−1.4%	3.3%	2.1%	1.9%	4.1%	3.7%	2.3%	−0.4%	1.0%	4.5%	1.9%	27.2%
2019	0.0%	1.3%	0.6%	−1.4%	−0.4%	0.5%	1.2%	−0.5%	7.1%	−1.7%	−2.0%	2.8%	7.5%
2020	1.6%	−8.4%	−5.1%	−2.1%	4.0%	7.2%	−1.1%	3.2%	0.9%	2.1%	5.0%	−0.1%	6.4%
2021	−1.4%	0.2%	−0.9%	−0.5%	1.2%	−2.9%	0.3%	−1.5%	2.1%	−0.3%	−1.2%	2.1%	−2.9%
2022	−1.4%	−5.2%	1.2%	2.0%	−3.7%	−3.5%	−3.7%	−2.9%	0.4%	0.4%	2.0%	1.4%	−12.5%
2023	3.7%	3.2%	1.1%	−0.5%	−1.0%	−0.9%	1.8%	−0.4%	−1.3%	1.7%	4.3%	3.0%	15.4%
2024	3.6%	0.8%	1.4%	1.1%	4.6%	4.8%	0.8%	1.4%	0.8%	1.3%	2.6%	2.6%	28.9%
2025	−7.1%	1.2%	−1.6%	1.1%	−1.8%	−6.7%	−1.1%	0.0%	2.5%	0.6%	−1.0%	−2.0%	−15.4%
2026	0.5%	−0.8%	2.2%	−2.6%	−1.3%	−5.1%	3.0%	−2.2%	4.4%	−2.7%			−4.9%

Method

How the backtest was run

How the allocation was tested

Assets	US Equity, Intl Equity, Bonds, Gold and Real Estate; T-Bills as the risk-free asset, held as cash. Monthly returns, Nov 1996 to Oct 2026.
Validation	A holdout: weights fitted to the history to Oct 2016 and scored on Nov 2016 to Oct 2026, returns they had not seen.
Estimates	Ledoit–Wolf covariance and historical mean returns, annualised by 12.
Limits	At most 40% in any asset; fully invested.
Rebalancing	Quarterly, to the targets; between rebalances the weights drift with prices.
Trading costs	None.
In sample	The same weights over the history they were fitted to, Nov 1996 to Oct 2016.
Ratios	Sharpe and Sortino ratios against the T-Bills return over each period scored (2.5% a year over the test); value at risk and expected shortfall from history, at 95% over one month.

Every figure is computed by Finalytics 1.0.0-rc.1 from the assets' returns; the same inputs give the same report, identified by the input digest cfdd0dbb8b6d.