Systematic portfolio construction for US equities. Compare strategy performance, risk-adjusted returns, and factor-based allocations. US equity results use S&P 500 stocks with multiple construction rules.
30 systematic portfolio strategies are constructed using S&P 500 stocks. Factor signals include momentum (1M, 3M, 6M, 12M), volatility, quality (Sharpe ratio), trend (SMA), and volume metrics. Each strategy selects and weights stocks based on its factor rules, then rebalances weekly, monthly, or quarterly.
Backtests use daily price data. Transaction costs are not modeled. Equity curves show portfolio value normalized to 100 at the start of the backtest period.
Click any strategy row to expand its holdings, weights, and equity curve. The risk-return scatter plots each strategy by annualized volatility vs total return, with bubble size proportional to Sharpe ratio.
30 US equity strategies · 36 S&P 500 stocks
| Strategy | Category | Rebalance | Holdings | Return % | Volatility % | Sharpe | Max DD % | |
|---|---|---|---|---|---|---|---|---|
| ▶ | 12-Month Momentum Top 10 | Momentum | quarterly | 10 | 91.9% | 13.9% | 4.77 | -7.1% |
| ▶ | Low Vol + High Momentum | Low Volatility | monthly | 15 | 50.0% | 9.3% | 4.42 | -3.3% |
| ▶ | Defensive Low Beta | Defensive | quarterly | 15 | 50.0% | 9.3% | 4.42 | -3.3% |
| ▶ | Quality Composite Score | Quality | quarterly | 15 | 62.3% | 11.3% | 4.35 | -4.2% |
| ▶ | Above SMA200 Top 20 | Trend | monthly | 17 | 64.8% | 11.6% | 4.35 | -4.4% |
| ▶ | High Sharpe Ratio Top 10 | Quality | quarterly | 10 | 76.6% | 14.1% | 4.11 | -8.0% |
| ▶ | 6-Month Momentum Top 20 | Momentum | quarterly | 20 | 54.4% | 10.8% | 4.09 | -4.9% |
| ▶ | Sector Rotation Momentum | Rotation | monthly | 20 | 54.4% | 10.8% | 4.09 | -4.9% |
| ▶ | Risk Parity by Drawdown | Risk Parity | quarterly | 20 | 54.0% | 10.8% | 4.06 | -5.3% |
| ▶ | Low Drawdown Top 15 | Quality | quarterly | 15 | 65.5% | 13.0% | 3.95 | -7.2% |
| ▶ | All Weather Portfolio | Defensive | quarterly | 20 | 48.2% | 10.3% | 3.88 | -5.4% |
| ▶ | Golden Cross Portfolio | Trend | monthly | 11 | 78.8% | 16.1% | 3.70 | -10.2% |
| ▶ | 1-Month Momentum Top 10 | Momentum | monthly | 10 | 82.7% | 17.5% | 3.53 | -11.7% |
| ▶ | Monthly Rebalance Top 10 | Rotation | monthly | 10 | 82.7% | 17.5% | 3.53 | -11.7% |
| ▶ | Aggressive Momentum Top 5 | Aggressive | weekly | 5 | 124.9% | 23.9% | 3.52 | -14.8% |
| ▶ | High Conviction Top 3 | Aggressive | monthly | 3 | 155.2% | 27.8% | 3.52 | -10.6% |
| ▶ | 3-Month Momentum Top 15 | Momentum | monthly | 15 | 49.7% | 13.1% | 3.15 | -5.8% |
| ▶ | High Volume + Momentum | Volume | monthly | 15 | 49.7% | 13.1% | 3.15 | -5.8% |
| ▶ | Momentum + Quality | Multi-Factor | monthly | 15 | 37.9% | 10.6% | 3.10 | -4.9% |
| ▶ | Above SMA50 + Momentum | Trend | monthly | 15 | 49.4% | 13.6% | 3.03 | -10.2% |
| ▶ | Equal Weight Top 30 Momentum | Equal Weight | quarterly | 30 | 32.9% | 10.1% | 2.87 | -6.8% |
| ▶ | Quality + Value | Multi-Factor | quarterly | 15 | 32.0% | 10.9% | 2.61 | -4.5% |
| ▶ | Momentum + Low Volatility | Multi-Factor | monthly | 15 | 23.2% | 10.2% | 2.10 | -5.2% |
| ▶ | Equal Weight Low Vol 25 | Equal Weight | quarterly | 25 | 18.9% | 9.2% | 1.93 | -5.5% |
| ▶ | Low Volatility 20D Top 15 | Low Volatility | monthly | 15 | 18.1% | 9.8% | 1.74 | -5.1% |
| ▶ | Volume Breakout | Volume | monthly | 15 | 22.3% | 12.8% | 1.64 | -11.2% |
| ▶ | Risk Parity by Volatility | Risk Parity | monthly | 20 | 14.3% | 9.5% | 1.46 | -5.3% |
| ▶ | Low Volatility 60D Top 20 | Low Volatility | quarterly | 20 | 13.2% | 9.4% | 1.36 | -5.3% |
| ▶ | Max Drawdown Recovery | Mean Reversion | monthly | 2 | 13.9% | 23.8% | 0.67 | -17.1% |
| ▶ | Oversold RSI Top 10 | Mean Reversion | weekly | 7 | -16.7% | 14.4% | -1.20 | -25.5% |
| Ticker | Price | 1M % | 3M % | 6M % | Vol % | Sharpe | RSI |
|---|---|---|---|---|---|---|---|
| INTC | $116.42 | 70.0% | 148.8% | 207.3% | 88.4% | 1.32 | 72 |
| CSCO | $114.78 | 35.8% | 50.2% | 56.9% | 36.8% | 1.87 | 86 |
| GOOGL | $400.39 | 19.2% | 31.1% | 39.8% | 35.3% | 1.58 | 80 |
| XOM | $152.71 | 0.5% | 2.9% | 31.3% | 28.6% | 0.80 | 56 |
| WMT | $132.29 | 6.2% | -0.8% | 28.7% | 23.2% | 1.85 | 57 |
| MRK | $112.83 | -2.3% | -6.4% | 25.4% | 24.0% | 0.01 | 53 |
| CVX | $186.47 | -0.9% | 2.5% | 24.2% | 24.8% | 0.58 | 52 |
| NVDA | $235.13 | 18.5% | 28.6% | 21.3% | 37.2% | 1.22 | 70 |
| UNH | $401.18 | 26.8% | 37.9% | 20.0% | 34.4% | -0.02 | 86 |
| JNJ | $229.95 | -2.0% | -5.0% | 19.7% | 17.1% | 1.43 | 54 |
| VZ | $47.09 | 0.7% | -2.5% | 19.2% | 19.7% | 0.74 | 56 |
| KO | $80.61 | 7.2% | 3.2% | 14.3% | 16.9% | 1.01 | 71 |
| AMZN | $268.50 | 7.5% | 35.1% | 10.0% | 28.8% | 0.73 | 56 |
| AAPL | $298.42 | 13.4% | 16.8% | 9.3% | 22.8% | 0.98 | 81 |
| PEP | $148.51 | -6.2% | -9.7% | 4.8% | 19.5% | -0.19 | 37 |
| TSLA | $444.18 | 14.2% | 6.4% | 3.2% | 39.7% | 1.06 | 81 |
| PFE | $25.79 | -3.7% | -5.0% | 3.0% | 20.2% | 0.20 | 35 |
| META | $618.13 | -8.7% | -3.3% | 1.7% | 40.5% | 0.57 | 28 |
| LLY | $1007.00 | 11.4% | -3.2% | -0.7% | 38.0% | 0.57 | 71 |
| T | $24.75 | -6.2% | -12.8% | -1.3% | 23.8% | 1.12 | 32 |
Portfolio optimization comparing Max Sharpe, Min Variance, Equal Weight, Inverse Volatility, Max Diversification, and Risk Parity — with equity curves, drawdowns, rolling Sharpe, return distributions, and weights.
Generated Thursday, May 14, 2026
Built with the skfolio library. US portfolio uses a subset of S&P 500 stocks; global portfolio uses major equity indices. Six models fitted on historical daily returns — transaction costs not modeled.
36 assets · Select a model to view metrics and plots
What this shows: Model-level risk/return scatter: volatility on x-axis, total return on y-axis, bubble size by Sharpe.
How to read it: Higher and leftward points with larger bubbles are generally better risk-adjusted candidates.
What this shows: Overlayed wealth-index curves for all optimization models.
How to read it: Compare long-run slope and drawdown/recovery behavior to spot robust models rather than single-period winners.
What this shows: Selected model wealth-index path over time (Equal Weight).
How to read it: Steadier ascent with smaller interruptions is typically preferable to highly jagged paths with similar endpoint return.
20 assets · Select a model to view metrics and plots
What this shows: Model-level risk/return scatter: volatility on x-axis, total return on y-axis, bubble size by Sharpe.
How to read it: Higher and leftward points with larger bubbles are generally better risk-adjusted candidates.
What this shows: Overlayed wealth-index curves for all optimization models.
How to read it: Compare long-run slope and drawdown/recovery behavior to spot robust models rather than single-period winners.
What this shows: Selected model wealth-index path over time (Equal Weight).
How to read it: Steadier ascent with smaller interruptions is typically preferable to highly jagged paths with similar endpoint return.
