Stronghold EUR: up 0.6% in January and 2019 update Stronghold EUR: up 0.6% in January and 2019 update Stronghold EUR: up 0.6% in January and 2019 update

Stronghold EUR: up 0.6% in January and 2019 update

Equities 5 minutes to read
Picture of Peter Garnry
Peter Garnry

Head of Equity Strategy

Summary:  The Stronghold EUR portfolio was up 11% in 2019 the best year since inception. This was much better than the benchmark and the portfolio is also off to a good start in 2020 up 0.6% in January. Last year was evidence of the model's ability to quickly react to changing market conditions and our hope is that the model will be able to navigate a challenging 2020.

Last year marked the best year for the Stronghold EUR portfolio since inception gaining 11% net of all fees beating the benchmark up only 8.3%. What stands out last year was the model’s ability to quickly increase exposure to equities when the equity market rebounded on the historical Fed pivot on monetary policy. It also marked the first year when Saxo clients could invest into the strategy online through SaxoSelect and we experienced a record inflow of clients and AUM for which we are grateful. We hope to continue to earn the trust our clients have put in our strategy. The model has also started the year on a good note up 0.6% in January whereas the benchmark is down 0.2%. In January the model initially increased exposure to emerging market equities which made sense given the reflation trade dominated markets in the early weeks but the coronavirus outbreak in China crushed returns in emerging market equities and as a result negatively impacted the model’s tail-risk assessment and as a result the exposure has been bought to zero in early February.

Source: Bloomberg and Saxo Group

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.

Source: Bloomberg and Saxo Group

For those not familiar with the Stronghold portfolio is a tactical asset allocation strategy offered by Saxo Bank through its managed portfolio platform SaxoSelect.The minimum investment amount is EUR 30,000 and the annual performance fee is 0.75%. The portfolio is based on a mathematical framework which aims to limit large drawdowns by dynamically responding to changes financial markets while aiming to provide stable returns. Saxo clients can invest in the Stronghold EUR portfolio through SaxoSelect in the trading platform after a suitability test has been taken (see screenshot).

Source: Saxo Group


The Saxo Bank Group entities each provide execution-only service and access to Analysis permitting a person to view and/or use content available on or via the website. This content is not intended to and does not change or expand on the execution-only service. Such access and use are at all times subject to (i) The Terms of Use; (ii) Full Disclaimer; (iii) The Risk Warning; (iv) the Rules of Engagement and (v) Notices applying to Saxo News & Research and/or its content in addition (where relevant) to the terms governing the use of hyperlinks on the website of a member of the Saxo Bank Group by which access to Saxo News & Research is gained. Such content is therefore provided as no more than information. In particular no advice is intended to be provided or to be relied on as provided nor endorsed by any Saxo Bank Group entity; nor is it to be construed as solicitation or an incentive provided to subscribe for or sell or purchase any financial instrument. All trading or investments you make must be pursuant to your own unprompted and informed self-directed decision. As such no Saxo Bank Group entity will have or be liable for any losses that you may sustain as a result of any investment decision made in reliance on information which is available on Saxo News & Research or as a result of the use of the Saxo News & Research. Orders given and trades effected are deemed intended to be given or effected for the account of the customer with the Saxo Bank Group entity operating in the jurisdiction in which the customer resides and/or with whom the customer opened and maintains his/her trading account. Saxo News & Research does not contain (and should not be construed as containing) financial, investment, tax or trading advice or advice of any sort offered, recommended or endorsed by Saxo Bank Group and should not be construed as a record of our trading prices, or as an offer, incentive or solicitation for the subscription, sale or purchase in any financial instrument. To the extent that any content is construed as investment research, you must note and accept that the content was not intended to and has not been prepared in accordance with legal requirements designed to promote the independence of investment research and as such, would be considered as a marketing communication under relevant laws.

Please read our disclaimers:
Notification on Non-Independent Investment Research (
Full disclaimer (
Full disclaimer (

Saxo Bank A/S (Headquarters)
Philip Heymans Alle 15

Contact Saxo

Select region


Trade responsibly
All trading carries risk. Read more. To help you understand the risks involved we have put together a series of Key Information Documents (KIDs) highlighting the risks and rewards related to each product. Read more

This website can be accessed worldwide however the information on the website is related to Saxo Bank A/S and is not specific to any entity of Saxo Bank Group. All clients will directly engage with Saxo Bank A/S and all client agreements will be entered into with Saxo Bank A/S and thus governed by Danish Law.

Apple and the Apple logo are trademarks of Apple Inc, registered in the US and other countries and regions. App Store is a service mark of Apple Inc. Google Play and the Google Play logo are trademarks of Google LLC.