Performance

S&P 500 Alpha · Backtest

Full backtest results for the S&P 500 Alpha model from 2004 to present. All data is simulated and subject to survivorship bias. Past performance does not guarantee future results.

Important: Results shown are from a simulated backtest using current S&P 500 constituents applied historically. This introduces survivorship bias. Transaction costs, taxes, and slippage are not included. Actual trading results would differ. This is not investment advice.

CAGR
~50%
Benchmark CAGR
~10.8%
Alpha
~40%
Max Drawdown
-47.9%
Sharpe Ratio
1.21
Win Rate
50.4%
Sortino
2.69
Calmar
1.06
Volatility
40.5%
Cash Months
48/258
Outperformance
18/23 yrs
Period
2004–2026

Equity Curve

Log scale · €100 starting capital · hover for details
Model Final
€311K
S&P Final
€715
€100€1K€10K€100K€1M200420062008201020122014201620182020202220242026
S&P 500 Alpha
S&P 500 Index

Yearly Returns

YearModelS&P 500Alpha
2004+31.5%+5.2%+26.3%
2005+119.9%+9.8%+110.1%
2006+14.4%+14.8%-0.4%
2007+92.6%-2.7%+95.3%
2008+0.8%-38.3%+39.1%
2009+63.5%+32.7%+30.8%
2010+26.0%+22.2%+3.8%
2011+30.8%+4.2%+26.6%
2012+44.1%+16.5%+27.6%
2013+55.7%+30.2%+25.5%
2014+23.2%+13.6%+9.6%
2015+4.6%+1.8%+2.8%
2016+158.8%+13.3%+145.5%
2017+32.2%+21.7%+10.5%
2018+16.6%-6.5%+23.1%
2019-19.0%+29.6%-48.6%
2020+153.8%+17.5%+136.3%
2021-10.4%+28.4%-38.8%
2022-5.0%-13.8%+8.8%
2023+134.8%+24.2%+110.6%
2024+233.1%+23.5%+209.6%
2025+48.7%+13.5%+35.2%

Worst Drawdowns

#PeriodDepth
1Aug 2018 → Jun 2020-47.9%
2Jan 2015 → Apr 2016-41.2%
3Dec 2020 → Jun 2022-35.2%
4Jul 2006 → Feb 2007-28.7%
5Dec 2004 → Jun 2005-16.4%

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Model Configuration

Universe
S&P 500
Pool Size
8
Top N
3
Seatbelt
2/3
Weighting
Equal
Rebalance
Monthly

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Every month.

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