Top_Target is a rule-based volatility targeting strategy designed to align overall portfolio risk with a predefined target level. Rather than reacting to market direction, the strategy continuously scales equity exposure based on observed market volatility. The objective is to keep portfolio volatility close to the specified risk target over time. Equity exposure is dynamically adjusted and is not intended to remain fully invested at all times.
- A fixed risk target defines the desired level of portfolio volatility
- Exposure is reduced when realized volatility rises above the target
- Exposure is increased when realized volatility falls below the target
Top_Research represents the complete universe of rule-based trading strategies, which are systematically implemented within the GR_Strategies portfolios in both USD and EUR.
| Date | Top_Target | DAX | SP500 |
|---|---|---|---|
| -0.02 % | -0.43 % | ||
| 3.04 % | -0.87 % | ||
| 3.24 % | 0.49 % | ||
| 81.59 % | 79.16 % | ||
| 20.23 % | 19.73 % | ||
| 1.43 | 1.34 |
How risk targeting works
The strategy defines a
fixed target level of portfolio volatility. Realized volatility of the
equity component is measured on a rolling basis and directly compared to
this target. When observed volatility exceeds the target, exposure is
reduced proportionally; when volatility falls below the target, exposure
is increased accordingly.
Continuous adjustment
Exposure changes are driven
by a systematic volatility-scaling mechanism rather than discrete regime
switches. This results in smooth, incremental allocation shifts that
adapt to changing market conditions without abrupt transitions.
Objective
Top_Target seeks to maintain a stable and
predictable risk profile across different market environments. By
anchoring exposure to a predefined volatility target, the strategy aims
to participate in equity upside while controlling overall portfolio
risk.
Top_Target vs. Top_Dual
Top_Target aligns exposure
with a fixed volatility objective. Top_Dual, in contrast, adjusts
exposure relative to the market’s own historical volatility regime. In
essence, Top_Target stabilizes risk around a constant target, whereas
Top_Dual dynamically adapts to shifting volatility regimes.
Performance table since start 2023 (USD):
| Top_Target: 73.83 % |
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2023 | |||||||||||||
| 2024 | |||||||||||||
| 2025 | |||||||||||||
| 2026 |
Performance and Risk Metrics for Top_Target
Performance Metrics
| Top_Target | |
|---|---|
| Cumulative Return (%) | 73.83 |
| Ann. Return (%) | 19.26 |
| Ann. Sharpe Ratio | 1.73 |
| MAR Ratio | 1.59 |
Risk Metrics
| Top_Target | |
|---|---|
| Ann. StdDev. (%) | 11.14 |
| SemiDeviation (%) | 0.52 |
| Max DrawDown (%) | 12.10 |
| Value-at-Risk (%) | -1.12 |
Daily Metrics
| daily metrics (%) | |
|---|---|
| Av. Return (%) | 0.07 |
| Best Day (%) | 3.99 |
| Worst Day (%) | -3.57 |
| Av. Up-Day (%) | 0.52 |
| Av. Down-Day (%) | -0.53 |
| Pct Up-Days (%) | 57.00 |
| Pct Down-Days (%) | 42.00 |
Monthly Metrics
| monthly metrics (%) | |
|---|---|
| Av. Return (%) | 1.42 |
| Best Month (%) | 5.70 |
| Worst Month (%) | -2.63 |
| Av. Up-Month (%) | 3.18 |
| Av. Down-Month (%) | -1.15 |
| Pct Up-Months (%) | 59.00 |
| Pct Down-Months (%) | 41.00 |
Drawdown Analysis Top_Target in Days
| From | To | Depth | Length |
|---|---|---|---|
| 2025-02-20 | 2025-08-08 | -12.10 % | 118 |
| 2024-07-11 | 2024-11-06 | -7.76 % | 84 |
| 2026-01-29 | In Progress | -5.54 % | 22 |
| 2023-08-01 | 2023-12-01 | -5.27 % | 87 |
| 2023-02-03 | 2023-03-31 | -4.84 % | 40 |
Top_Target vs Other Asset Classes since start | S&P 500
| Top_Target | TLT | VNQ | UUP | EFA | DBC | GLD | DAX | SPY | |
|---|---|---|---|---|---|---|---|---|---|
| Annualized Return | 18.6% | 0.9% | 8.7% | 3.5% | 19.2% | 4.8% | 38.2% | 20.2% | 19.7% |
| Annualized Std Dev | 11.0% | 14.6% | 17.3% | 6.8% | 14.0% | 15.2% | 18.3% | 14.2% | 14.7% |
| Annualized Sharpe | 1.70 | 0.06 | 0.50 | 0.52 | 1.37 | 0.31 | 2.08 | 1.43 | 1.34 |
| Worst Drawdown | 12.1% | 22.4% | 21.8% | 10.1% | 14.1% | 13.8% | 13.9% | 16.0% | 18.9% |
Rolling Correlation of Top_Target vs. DAX | S&P 500
| Top_Target | DAX | SP500 | |
|---|---|---|---|
| Top_Target | 1.000 | 0.325 | 0.681 |
| DAX | 0.325 | 1.000 | 0.550 |
| SP500 | 0.681 | 0.550 | 1.000 |
More analysis for Top_Target
Rolling 12-Month Window for Return & Stdv & Sharpe Ratio
Risk Analysis for Top_Target vs. DAX | S&P 500
Top_Target Return versus Other Asset Classes
| Top_Target | TLT | VNQ | UUP | EFA | DBC | GLD | SPY | DAX | |
|---|---|---|---|---|---|---|---|---|---|
| Annualized Return | 14.8% | 1.7% | 7.2% | 3.3% | 6.7% | 1.2% | 12.1% | 11.1% | 8.0% |
| Annualized Std Dev | 11.2% | 14.5% | 19.6% | 7.1% | 16.6% | 17.1% | 15.3% | 17.2% | 18.6% |
| Annualized Sharpe | 1.32 | 0.12 | 0.37 | 0.47 | 0.41 | 0.07 | 0.80 | 0.65 | 0.43 |
| Worst Drawdown | 13.7% | 48.4% | 42.4% | 14.2% | 34.2% | 59.9% | 24.5% | 33.9% | 38.8% |
Longterm Return Table for Top_Target starting 2014
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year | |
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My portfolio comprises:
- Top_Dual & Top_Target momentum and accumulation strategies, are focusing on harnessing and leveraging market trends for consistent and sustainable growth.
- Top_Switch, an Asset rotation strategy is dynamically reallocating capital across asset classes to optimize returns and mitigate risks.
- Top_Vola strategy, is tailored to capitalize on both sudden and sustained market fluctuations, enhancing risk - adjusted returns.
- Top_Rank, a systematic ranking strategy that continuously allocates capital to the strongest-performing assets, ensuring disciplined participation in prevailing market leadership.
- Top_Trend (=CTA) strategy, which forms the backbone of diversification with a 30 % allocation. This strategy excels in capturing trends and providing stability during market
- 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!