QUANTUS STRATEGIES
Quantus Monthly Dividend Rotation
The strategy in one sentence
Monthly Dividend Rotation: Allocates dividend-growth, covered-call, energy, alternative and bond income ETFs according to asset-group risk budgets and an investment level.
- CAGR
- 11.05%
- Max drawdown
- -14.0%
- Backtest period
- 5.0 yrs
2021-10-03 ~ 2026-10-21 · updated 2026-10-21
Cumulative return
Compares the weekly cumulative return of the strategy and its benchmark.
Weekly observations 2021-10-03 ~ 2026-10-21 · last values over the full period: strategy 69.9% · SCHD 65.2%. 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 -14.0% · 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 10 ETFs into 5 asset groups. Dividend growth (SCHD, DIVO, IDV); covered call (JEPI, JEPQ, FEPI); energy income (XLE, AMLP); alternative income (SVOL); bond income (TLTW).
Target risk contributions by asset group are dividend growth 30%, covered call 28%, energy income 22%, alternative income 10% and bond income 10%. 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 equity income (dividend growth, covered call) / real-asset income (energy) / defensive (alternative and bond income), are L1 55/18/27%, L2 60/20/20%, L3 65/22/13%, L4 70/24/6% and L5 74/26/0%.
Moving from L1 to L5, the weights of equity and energy income rise while alternative and bond income fall. The defensive base weight at L5 is 0%.
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.
"Monthly dividend" is part of the strategy name. A regular execution schedule is not specified in this configuration file or the optimization function, and the optimization's minimum asset-group weight constraint may apply even to the 0% defensive weight at L5.
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 | SCHD |
|---|---|---|
| Compound annual growth rate (CAGR) | 11.05% | 10.44% |
| Maximum drawdown (MDD) | -14.0% | -16.9% |
| Sharpe ratio | 0.9 | 0.8 |
| Sortino ratio | 1.3 | 1.1 |
| Last 1-year return | 7.7% | 33.9% |
| Cumulative return | 69.9% | 65.2% |
Period: 2021-10-03 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 | SCHD |
|---|---|---|---|
| 2021 | 2021-10-03 ~ 2021-12-26 | -1.9% | 6.7% |
| 2022 | 2022-01-02 ~ 2022-12-25 | 23.2% | -3.2% |
| 2023 | 2023-01-01 ~ 2023-12-31 | 0.2% | 4.5% |
| 2024 | 2024-01-07 ~ 2024-12-29 | 21.8% | 11.9% |
| 2025 | 2025-01-05 ~ 2025-12-28 | 11.8% | 4.7% |
| 2026 | 2026-01-04 ~ 2026-10-21 | 4.4% | 28.1% |
Frequently asked questions
What are the backtest period, CAGR and maximum drawdown?
The backtest period runs from 2021-10-03 to 2026-10-21. CAGR is 11.05%, maximum drawdown is -14.0%. Past backtest results do not guarantee future returns.
What is the minimum investment?
The public catalog lists a minimum investment of USD 1,000. 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 Schwab U.S. Dividend Equity ETF (SCHD-US), Amplify CWP Enhanced Dividend Income ETF (DIVO-US), iShares International Select Dividend ETF (IDV-US), JPMorgan Equity Premium Income ETF (JEPI-US), JPMorgan Nasdaq Equity Premium Income ETF (JEPQ-US), REX FANG & Innovation Equity Premium Income ETF (FEPI-US), Energy Select Sector SPDR Fund (XLE-US), Alerian MLP ETF (AMLP-US), Simplify Volatility Premium ETF (SVOL-US), iShares 20+ Year Treasury Bond Covered Call ETF (TLTW-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.