QUANTUS STRATEGIES
Quantus Global All-Weather Active V2
The strategy in one sentence
Global All-Weather Active V2: Allocates US-listed ETFs across equities, real assets, bonds and alternatives according to asset-group risk budgets and an investment level.
- CAGR
- 12.86%
- Max drawdown
- -12.6%
- Backtest period
- 4.8 yrs
2022-01-03 ~ 2026-10-21 · updated 2026-10-21
Cumulative return
Compares the weekly cumulative return of the strategy and its benchmark.
Weekly observations 2022-01-03 ~ 2026-10-21 · last values over the full period: strategy 78.7% · S&P500 72.4%. When you pick a period, both series are re-based to 0% at the first observation in that range. The scorecard uses the full backtest; the chart uses weekly observations.
Total return basis · 30 bp transaction costs included · taxes not included · Source: Quantus public strategy catalog
Calendar-year returns vs. benchmark
Drawdown
Shows how far weekly observations fell from their prior peak.
Max drawdown -12.6% · daily basis
The chart uses weekly observations, so it can look shallower than the daily maximum drawdown.
Current composition
Weights by asset group in the public catalog
Investment rules
The reference configuration groups 19 ETFs into 8 asset groups. US equities (SPMO, SMMV); global equities (VEA, VWO); sectors (SMH, VHT, VDC); real assets (GLDM, PDBC, COPX, XLE); US bonds (BND, TLT, VTIP); credit (VCSH, HYG); global bonds (BNDX, VWOB); alternatives (DBMF).
Target risk contributions by asset group are US equities 22%, global equities 16%, sectors 18%, real assets 22%, US bonds 8%, credit 4%, global bonds 4% and alternatives 6%. These values divide risk; the share of capital is calculated separately.
Risk allocation across asset groups is derived from the covariance of price returns and blended with the strategic base weights. Within each group, inverse volatility and a risk-adjusted return score are combined, and target weights are then calculated after exposure adjustments for momentum, weight constraints and tail risk.
Strategic base weights by level, in the order growth (US and global equities, sectors) / real assets / bonds / alternatives, are L1 51/21/21/7%, L2 55/22/16/7%, L3 58/23/12/7%, L4 61/24/8/7% and L5 64/25/4/7%.
Moving from L1 to L5, the bond base weight is reduced and shifted to growth and real assets. The base weight of the alternative asset DBMF is 7% at every level.
The reference configuration selected this strategy for hierarchical risk allocation because of its distinct asset groups, its ETF-buying-weight structure, and its diversification across growth and inflation regimes.
L1 to L5 are levels of the strategic base weights. The execution function blends the strategic weights at 40, 55, 70, 85 and 95% in level order, and adjusts base weights and risk budgets when economic-regime detection is used. The figures above are pre-optimization settings; they are not this month's allocation or final holdings.
The gold ETF in the reference configuration is GLDM, while the trading universe in the supplied production catalog lists GLD. Check the actual trading universe in the account-connected details.
Source cited in the reference code: Bridgewater (2012), The All Weather Story; Roncalli (2013), Introduction to Risk Parity and Budgeting, Ch.4
Backtest results
Results calculated from past data. Past backtest results do not guarantee future returns.
| Metric | Strategy | S&P500 |
|---|---|---|
| Compound annual growth rate (CAGR) | 12.86% | 12.03% |
| Maximum drawdown (MDD) | -12.6% | -24.5% |
| Sharpe ratio | 0.9 | 0.8 |
| Sortino ratio | 1.4 | 1.1 |
| Last 1-year return | 7.9% | 16.4% |
| Cumulative return | 78.7% | 72.4% |
Period: 2022-01-03 to 2026-10-21
Total return basis · 30 bp transaction costs included · taxes not included · CAGR based on DB Securities
Source: Quantus public strategy catalog · Updated:
A dash (—) means the comparison figure is not provided or there are too few observations to calculate it.
Calendar-year returns
Calculated from each year's first and last observation. The formula is (100 + last cumulative return) / (100 + first cumulative return) - 1. Figures cover only the observed range shown in the table, so a partial year differs from the full calendar-year return. The benchmark is compared only when it has the same observation dates.
| Year | Observed range | Strategy | S&P500 |
|---|---|---|---|
| 2022 | 2022-01-03 ~ 2022-12-30 | 3.6% | -18.6% |
| 2023 | 2023-01-03 ~ 2023-12-29 | 8.1% | 26.7% |
| 2024 | 2024-01-02 ~ 2024-12-31 | 29.0% | 25.6% |
| 2025 | 2025-01-02 ~ 2025-12-31 | 17.0% | 18.0% |
| 2026 | 2026-01-02 ~ 2026-10-21 | 3.7% | 14.0% |
Frequently asked questions
What are the backtest period, CAGR and maximum drawdown?
The backtest period runs from 2022-01-03 to 2026-10-21. CAGR is 12.86%, maximum drawdown is -12.6%. Past backtest results do not guarantee future returns.
What is the minimum investment?
The public catalog lists a minimum investment of USD 6,000. Check the strategy details before you apply it to your account.
How often does it rebalance?
Target weights are calculated from asset-group risk and the investment level. A fixed execution schedule is not specified in the reference configuration or the optimization function.
Which assets does it trade?
It trades Invesco S&P 500 Momentum ETF (SPMO-US), iShares MSCI USA Small-Cap Min Vol Factor ETF (SMMV-US), Vanguard FTSE Developed Markets ETF (VEA-US), Vanguard FTSE Emerging Markets ETF (VWO-US), VanEck Semiconductor ETF (SMH-US), Vanguard Health Care ETF (VHT-US), Vanguard Consumer Staples ETF (VDC-US), SPDR Gold Shares (GLD-US), Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF (PDBC-US), Global X Copper Miners ETF (COPX-US), Energy Select Sector SPDR Fund (XLE-US), Vanguard Total Bond Market ETF (BND-US), iShares 20+ Year Treasury Bond ETF (TLT-US), Vanguard Short-Term Inflation-Protected Securities ETF (VTIP-US), Vanguard Short-Term Corporate Bond ETF (VCSH-US), iShares iBoxx $ High Yield Corporate Bond ETF (HYG-US), Vanguard Total International Bond ETF (BNDX-US), Vanguard Emerging Markets Government Bond ETF (VWOB-US), iMGP DBi Managed Futures Strategy ETF (DBMF-US). Actual holdings and weights can change over time.
Do the backtest results include fees?
Results are on a total-return basis with 30 bp (0.3%) transaction costs included and taxes not included. Your actual brokerage costs and service fees will differ, so check them before you apply the strategy.
How do I apply it to my own account?
Open the strategy details, sign in, review the strategy and connect your brokerage account. Then check the investment amount and execution conditions and apply it to your account.
Related strategies and resources
This service is for reference only and does not constitute investment advice or guarantee returns. All investment decisions and responsibility rest with the user. Past backtest results do not guarantee future returns.