Since inception in July 2017 the Stronghold EUR portfolio has delivered 3.5% annualized return which is lower than the returns we observe in the backtest but these returns are for many reasons an upper limit for what to expect in the future. The annualized volatility has been 4.5% which is a bit lower than what we observe in the backtest. Combining the two metrics the annualized Sharpe ratio (assuming 0% risk-free return) is realized 0.8 and our outperformance over the benchmark (which is calibrated to have the same risk profile as our target) is 0.9% annualized.
Stronghold EUR increased equity exposure in early January but has since scaled it somewhat back but with an equity exposure of 32.3% the portfolio still has a historically high level of equities. That means that the portfolio will benefit from improvements in economic activity and the coronavirus only being a temporary event with minor economic impact for China and the global economy. Obviously the key risks are the coronavirus, weaker USD (due to its USD exposure via minimum volatility stocks) and higher interest rates.