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 open its dedicated page with holdings, weights, and equity curve.
30 US equity strategies · 488 S&P 500 stocks
| Strategy | Category | Rebalance | Holdings | Return % | Volatility % | Sharpe | Max DD % | |
|---|---|---|---|---|---|---|---|---|
| ▶ | All Weather Portfolio | Defensive | quarterly | 20 | 106.1% | 16.6% | 4.44 | -5.6% |
| ▶ | Quality Composite Score | Quality | quarterly | 15 | 126.6% | 19.7% | 4.26 | -7.4% |
| ▶ | Momentum + Quality | Multi-Factor | monthly | 15 | 183.6% | 28.5% | 3.80 | -11.8% |
| ▶ | 6-Month Momentum Top 20 | Momentum | quarterly | 20 | 146.9% | 25.1% | 3.74 | -11.4% |
| ▶ | Above SMA200 Top 20 | Trend | monthly | 20 | 146.9% | 25.1% | 3.74 | -11.4% |
| ▶ | Sector Rotation Momentum | Rotation | monthly | 20 | 146.9% | 25.1% | 3.74 | -11.4% |
| ▶ | Low Drawdown Top 15 | Quality | quarterly | 15 | 57.6% | 13.2% | 3.52 | -6.1% |
| ▶ | Equal Weight Top 30 Momentum | Equal Weight | quarterly | 30 | 99.9% | 21.0% | 3.40 | -12.8% |
| ▶ | Risk Parity by Drawdown | Risk Parity | quarterly | 20 | 74.2% | 16.8% | 3.38 | -6.2% |
| ▶ | 12-Month Momentum Top 10 | Momentum | quarterly | 10 | 301.1% | 44.4% | 3.35 | -17.3% |
| ▶ | High Sharpe Ratio Top 10 | Quality | quarterly | 10 | 149.7% | 29.6% | 3.25 | -10.3% |
| ▶ | High Conviction Top 3 | Aggressive | monthly | 3 | 158.8% | 33.3% | 3.03 | -14.7% |
| ▶ | Quality + Value | Multi-Factor | quarterly | 15 | 110.6% | 29.1% | 2.70 | -13.1% |
| ▶ | Momentum + Low Volatility | Multi-Factor | monthly | 15 | 39.9% | 14.3% | 2.42 | -12.8% |
| ▶ | 1-Month Momentum Top 10 | Momentum | monthly | 10 | 85.3% | 28.1% | 2.33 | -8.5% |
| ▶ | Monthly Rebalance Top 10 | Rotation | monthly | 10 | 85.3% | 28.1% | 2.33 | -8.5% |
| ▶ | High Volume + Momentum | Volume | monthly | 15 | 71.8% | 30.5% | 1.92 | -22.0% |
| ▶ | Low Volatility 20D Top 15 | Low Volatility | monthly | 15 | 17.3% | 10.9% | 1.52 | -7.8% |
| ▶ | Aggressive Momentum Top 5 | Aggressive | weekly | 5 | 95.9% | 53.0% | 1.50 | -28.9% |
| ▶ | 3-Month Momentum Top 15 | Momentum | monthly | 15 | 52.5% | 32.1% | 1.47 | -27.5% |
| ▶ | Above SMA50 + Momentum | Trend | monthly | 15 | 52.5% | 32.1% | 1.47 | -27.5% |
| ▶ | Golden Cross Portfolio | Trend | monthly | 15 | 52.5% | 32.1% | 1.47 | -27.5% |
| ▶ | Low Vol + High Momentum | Low Volatility | monthly | 15 | 15.7% | 11.4% | 1.33 | -7.7% |
| ▶ | Defensive Low Beta | Defensive | quarterly | 15 | 15.7% | 11.4% | 1.33 | -7.7% |
| ▶ | Oversold RSI Top 10 | Mean Reversion | weekly | 10 | 25.1% | 18.5% | 1.30 | -11.0% |
| ▶ | Risk Parity by Volatility | Risk Parity | monthly | 20 | 12.3% | 13.0% | 0.96 | -8.7% |
| ▶ | Equal Weight Low Vol 25 | Equal Weight | quarterly | 25 | 9.1% | 11.4% | 0.82 | -10.2% |
| ▶ | Low Volatility 60D Top 20 | Low Volatility | quarterly | 20 | 7.4% | 11.4% | 0.69 | -10.5% |
| ▶ | Max Drawdown Recovery | Mean Reversion | monthly | 10 | -7.8% | 28.5% | -0.14 | -35.3% |
| ▶ | Volume Breakout | Volume | monthly | 15 | -8.6% | 19.8% | -0.36 | -18.7% |
| Ticker | Price | 1M % | 3M % | 6M % | Vol % | Sharpe | RSI |
|---|---|---|---|---|---|---|---|
| MRNA | $242.08 | 32.6% | 324.6% | 335.4% | 373.3% | 0.97 | 67 |
| DELL | $461.56 | -15.8% | 5.2% | 115.7% | 78.7% | 1.35 | 33 |
| MPC | $475.04 | 21.9% | 52.5% | 115.3% | 36.2% | 1.83 | 82 |
| PAYC | $262.32 | 16.8% | 89.4% | 102.0% | 59.6% | 0.74 | 83 |
| HPE | $56.09 | -8.1% | 18.0% | 97.8% | 68.1% | 1.29 | 38 |
| HUM | $427.38 | 14.9% | 8.3% | 97.1% | 41.7% | 0.80 | 65 |
| FTNT | $170.93 | -1.9% | 12.8% | 96.3% | 46.3% | 1.07 | 42 |
| CRWD | $227.37 | -9.1% | 24.0% | 94.9% | 72.0% | 1.31 | 29 |
| DDOG | $256.43 | 3.6% | 4.9% | 94.1% | 70.0% | 0.89 | 41 |
| NTAP | $209.97 | 9.1% | 27.8% | 90.1% | 43.0% | 0.87 | 50 |
| PANW | $340.28 | -9.2% | 4.5% | 87.8% | 61.8% | 0.90 | 32 |
| VLO | $433.42 | 14.9% | 42.5% | 86.5% | 35.0% | 1.84 | 68 |
| MU | $896.07 | -18.2% | -9.5% | 83.9% | 69.9% | 1.84 | 29 |
| PSX | $291.03 | 13.3% | 41.4% | 83.4% | 29.6% | 1.46 | 78 |
| CNC | $70.81 | 11.9% | 11.1% | 81.9% | 33.8% | 0.43 | 78 |
| AMD | $534.74 | -14.3% | -0.9% | 76.2% | 62.4% | 1.28 | 31 |
| CRL | $315.45 | 10.6% | 37.6% | 70.7% | 42.7% | 0.74 | 63 |
| ZBRA | $384.08 | 6.2% | 49.5% | 66.2% | 61.3% | 0.26 | 59 |
| RVTY | $156.01 | 8.9% | 37.9% | 65.6% | 37.5% | 0.55 | 54 |
| WDAY | $203.98 | 8.4% | 59.5% | 61.1% | 59.2% | 0.03 | 63 |
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