GR_Strategies EUR
Real - time results since January 2023
Daily updates | EUR | by: Georg Reiter| Date | GR_Strategies | DAX | SP500 |
|---|---|---|---|
| -0.07 % | -0.29 % | ||
| 1.22 % | 1.74 % | ||
| 22.35 % | 9.66 % | ||
| 74.95 % | 67.99 % |
GR_Strategies represents a carefully curated and comprehensive overview of the combined performance of all strategies employed within my portfolio. These strategies are designed to operate cohesively, offering diversification and resilience across a wide spectrum of market conditions. The real - time results since January 2023 highlight the effectiveness and adaptability of this approach.
GR_Strategies analysis since start
Performance table since start 2023 (EUR):
| GR_Strategies: 35.62 % |
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2023 | |||||||||||||
| 2024 | |||||||||||||
| 2025 |
Performance and Risk Metrics for GR_Strategies
Performance Metrics
| GR_Strategies | |
|---|---|
| Cumulative Return (%) | 35.62 |
| Ann. Return (%) | 11.88 |
| Ann. Sharpe Ratio | 0.95 |
| MAR Ratio | 0.71 |
Risk Metrics
| GR_Strategies | |
|---|---|
| Ann. StdDev. (%) | 12.51 |
| SemiDeviation (%) | 0.60 |
| Max DrawDown (%) | 16.79 |
| Value-at-Risk (%) | -1.36 |
Daily Metrics
| daily metrics (%) | |
|---|---|
| Av. Return (%) | 0.05 |
| Best Day (%) | 3.19 |
| Worst Day (%) | -4.17 |
| Av. Up-Day (%) | 0.55 |
| Av. Down-Day (%) | -0.63 |
| Pct Up-Days (%) | 57.00 |
| Pct Down-Days (%) | 43.00 |
Monthly Metrics
| monthly metrics (%) | |
|---|---|
| Av. Return (%) | 0.90 |
| Best Month (%) | 11.35 |
| Worst Month (%) | -6.57 |
| Av. Up-Month (%) | 3.04 |
| Av. Down-Month (%) | -2.48 |
| Pct Up-Months (%) | 61.00 |
| Pct Down-Months (%) | 39.00 |
Drawdown Analysis in Days
| From | To | Depth | Length |
|---|---|---|---|
| 2025-02-20 | In Progress | -16.79 % | 128 |
| 2024-07-11 | 2024-11-22 | -12.36 % | 97 |
| 2023-02-03 | 2023-05-18 | -7.60 % | 75 |
| 2023-07-27 | 2023-12-11 | -6.92 % | 98 |
| 2024-04-16 | 2024-05-10 | -3.28 % | 19 |
GR Strategies vs Other Asset Classes since start | S&P 500
| GR_Strategies | TLT | VNQ | UUP | EFA | DBC | GLD | DAX | SPY | |
|---|---|---|---|---|---|---|---|---|---|
| Annualized Return | 11.9% | -1.5% | 7.1% | 3.3% | 16.6% | -0.9% | 24.4% | 22.9% | 22.6% |
| Annualized Std Dev | 12.5% | 15.4% | 18.1% | 7.0% | 14.5% | 15.0% | 15.1% | 14.5% | 15.5% |
| Annualized Sharpe | 0.95 | -0.10 | 0.39 | 0.48 | 1.15 | -0.06 | 1.62 | 1.57 | 1.46 |
| Worst Drawdown | 16.8% | 22.4% | 21.8% | 10.1% | 14.1% | 13.8% | 11.3% | 16.0% | 18.8% |
Rolling Correlation of GR Strategies vs. DAX | S&P 500
| GR_Strategies | DAX | SP500 | |
|---|---|---|---|
| GR_Strategies | 1.000 | 0.307 | 0.531 |
| DAX | 0.307 | 1.000 | 0.551 |
| SP500 | 0.531 | 0.551 | 1.000 |
More analysis for GR_Strategies
Rolling 12-Month Window for Return & Stdv & Sharpe Ratio
Risk Analysis for GR Strategies vs. DAX | S&P 500
GR Strategies Return versus Other Asset Classes
Extended analysis dating back to 2011
| GR_Strategies | TLT | VNQ | UUP | EFA | DBC | GLD | SPY | DAX | |
|---|---|---|---|---|---|---|---|---|---|
| Annualized Return | 17.3% | -9.1% | 5.8% | 3.9% | 10.2% | 12.4% | 10.6% | 15.0% | 13.1% |
| Annualized Std Dev | 13.0% | 15.9% | 19.1% | 7.1% | 16.1% | 18.6% | 14.9% | 17.2% | 17.1% |
| Annualized Sharpe | 1.33 | -0.57 | 0.30 | 0.55 | 0.63 | 0.67 | 0.71 | 0.87 | 0.77 |
| Worst Drawdown | 16.8% | 46.7% | 34.5% | 10.4% | 29.5% | 27.3% | 21.0% | 24.5% | 26.4% |
Longterm Return Table for GR_Strategies starting 2011
[1] “2025-08-16”
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2011 | |||||||||||||
| 2012 | |||||||||||||
| 2013 | |||||||||||||
| 2014 | |||||||||||||
| 2015 | |||||||||||||
| 2016 | |||||||||||||
| 2017 | |||||||||||||
| 2018 | |||||||||||||
| 2019 | |||||||||||||
| 2020 | |||||||||||||
| 2021 | |||||||||||||
| 2022 | |||||||||||||
| 2023 | |||||||||||||
| 2024 | |||||||||||||
| 2025 |
Some more information
My portfolio comprises:
- GR_TrendFollowing (= CTA - Commodity Trading Advisor) strategy, which forms the backbone of diversification with a 30 % allocation. This strategy excels in capturing trends and providing stability during market volatility.
- Volatility strategies, tailored to capitalize on both sudden and sustained market fluctuations, enhancing risk - adjusted returns.
- Momentum accumulation strategies, focusing on harnessing and leveraging market trends for consistent and sustainable growth.
- Asset rotation strategies, dynamically reallocating capital across asset classes to optimize returns and mitigate risks.
- Additional advanced and highly specialized approaches, crafted to adapt seamlessly to complex and evolving market dynamics.
Together, these strategies create a robust and well - balanced portfolio framework. By blending simplicity with sophistication, the approach ensures adaptability, consistency, and long - term success, even in the face of unpredictable market conditions.
Uncorrelated Strategies
The cornerstone of success lies in the deliberate and precise integration of diverse, genuinely uncorrelated strategies, executed with unwavering discipline and emotional composure. My approach is devoid of the influence of greed or fear, guided instead by the principles of expertise and professionalism. Each decision is the product of meticulous analysis and a technically sound methodology, consciously avoiding impulsive or reactionary behavior. Furthermore, all decisions are grounded 100% in mathematical and statistical principles, ensuring objectivity and consistency. By consciously excluding any human influence, the process eliminates the risk of emotional bias or subjective judgment. This steadfast adherence to strategy allows me to navigate the complexities of the markets with confidence and consistency, maintaining an unyielding commitment to excellence.
Trading
The elegance of these strategies lies in their straightforward yet effective design. Each morning, data is carefully downloaded, and within 15 minutes, calculations ensure that theoretical models align seamlessly with practical execution. By evening, new orders are automatically dispatched to the exchange, just before the market closes. This approach is not a feat of magic, but rather a testament to disciplined craftsmanship. It guarantees that execution timing remains uninfluenced — an essential factor in maintaining the robustness and reliability of the strategy.
Data Used
Back-testing is often dismissed as mere theory or abstract mathematics. However, I recognize that the performance up to December 2022 reflects a combination of real - time trading outcomes and newly implemented systems. While historical achievements provide valuable insights, I find little satisfaction in endlessly revisiting past successes. My focus is clear and uncompromising—cutting through bureaucracy to channel my energy toward the present and future, where true progress is made.
Dedication
In collaboration with my dear friend and developer, Helmuth Vollmeier, in a fit of genius or maybe just sheer madness, we decided to hit the reset button on everything in 2022. It was like a software update for our lives — new and improved. Unfortunately, the joy of our new start was short-lived as Helmuth passed away suddenly in February 2023, leaving me deeply saddened. Despite facing phases of doubt and questioning the meaning of it all, I returned to my desk, immersing myself in learning once again, now without my dear friend Helmuth by my side! I dedicate this work to Helmuth Vollmeier, one of my best friends, my intellectual partner, my daily communicator, and companion!
Link to GR_TrendFollowing, which form the backbone of diversification.
This is the link that brings you to the Dollar version of
GR_Strategies_USD!