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 US equity strategies · 36 S&P 500 stocks
US data: Sunday, Mar 15, 2026
Methodology: 30 systematic portfolio strategies using S&P 500 stocks. Factor analysis includes momentum (1M, 3M, 6M, 12M), volatility, quality (Sharpe ratio), trend (SMA), and volume metrics. Portfolios rebalance weekly, monthly, or quarterly based on strategy.
| Strategy | Category | Rebalance | Holdings | Return % | Volatility % | Sharpe | Max DD % | |
|---|---|---|---|---|---|---|---|---|
| ▶ | High Conviction Top 3 | Aggressive | monthly | 3 | 63.1% | 15.6% | 3.22 | -11.7% |
| ▶ | High Sharpe Ratio Top 10 | Quality | quarterly | 10 | 43.5% | 14.6% | 2.55 | -9.8% |
| ▶ | 12-Month Momentum Top 10 | Momentum | quarterly | 10 | 61.7% | 20.8% | 2.41 | -15.0% |
| ▶ | Quality Composite Score | Quality | quarterly | 15 | 47.7% | 17.1% | 2.37 | -13.1% |
| ▶ | Above SMA200 Top 20 | Trend | monthly | 18 | 36.8% | 15.1% | 2.15 | -12.3% |
| ▶ | Low Vol + High Momentum | Low Volatility | monthly | 15 | 35.3% | 14.6% | 2.14 | -12.3% |
| ▶ | Defensive Low Beta | Defensive | quarterly | 15 | 35.3% | 14.6% | 2.14 | -12.3% |
| ▶ | All Weather Portfolio | Defensive | quarterly | 20 | 38.6% | 16.1% | 2.11 | -13.0% |
| ▶ | Risk Parity by Drawdown | Risk Parity | quarterly | 20 | 33.8% | 14.4% | 2.09 | -11.6% |
| ▶ | 3-Month Momentum Top 15 | Momentum | monthly | 15 | 32.1% | 14.3% | 2.02 | -10.6% |
| ▶ | Low Drawdown Top 15 | Quality | quarterly | 15 | 30.4% | 13.6% | 2.02 | -10.4% |
| ▶ | High Volume + Momentum | Volume | monthly | 15 | 32.1% | 14.3% | 2.02 | -10.6% |
| ▶ | 6-Month Momentum Top 20 | Momentum | quarterly | 20 | 35.0% | 15.8% | 1.98 | -12.5% |
| ▶ | Sector Rotation Momentum | Rotation | monthly | 20 | 35.0% | 15.8% | 1.98 | -12.5% |
| ▶ | Golden Cross Portfolio | Trend | monthly | 12 | 28.0% | 13.7% | 1.88 | -10.3% |
| ▶ | Above SMA50 + Momentum | Trend | monthly | 13 | 26.5% | 13.5% | 1.81 | -10.0% |
| ▶ | Momentum + Low Volatility | Multi-Factor | monthly | 15 | 24.6% | 13.6% | 1.68 | -11.0% |
| ▶ | Quality + Value | Multi-Factor | quarterly | 15 | 35.6% | 21.2% | 1.54 | -15.8% |
| ▶ | Aggressive Momentum Top 5 | Aggressive | weekly | 5 | 28.0% | 17.4% | 1.51 | -12.6% |
| ▶ | Equal Weight Top 30 Momentum | Equal Weight | quarterly | 30 | 23.0% | 15.3% | 1.43 | -11.8% |
| ▶ | Momentum + Quality | Multi-Factor | monthly | 15 | 22.4% | 15.5% | 1.38 | -11.7% |
| ▶ | Risk Parity by Volatility | Risk Parity | monthly | 20 | 19.4% | 13.5% | 1.38 | -10.8% |
| ▶ | Low Volatility 60D Top 20 | Low Volatility | quarterly | 20 | 19.6% | 13.8% | 1.36 | -11.1% |
| ▶ | Low Volatility 20D Top 15 | Low Volatility | monthly | 15 | 16.9% | 12.9% | 1.27 | -10.0% |
| ▶ | Equal Weight Low Vol 25 | Equal Weight | quarterly | 25 | 17.0% | 13.5% | 1.23 | -10.9% |
| ▶ | 1-Month Momentum Top 10 | Momentum | monthly | 10 | 13.5% | 15.0% | 0.92 | -10.2% |
| ▶ | Monthly Rebalance Top 10 | Rotation | monthly | 10 | 13.5% | 15.0% | 0.92 | -10.2% |
| ▶ | Oversold RSI Top 10 | Mean Reversion | weekly | 10 | 13.6% | 15.8% | 0.89 | -11.5% |
| ▶ | Volume Breakout | Volume | monthly | 15 | 11.3% | 16.1% | 0.74 | -12.7% |
| ▶ | Max Drawdown Recovery | Mean Reversion | monthly | 3 | -7.3% | 26.4% | -0.15 | -28.6% |
| Ticker | Price | 1M % | 3M % | 6M % | Vol % | Sharpe | RSI |
|---|---|---|---|---|---|---|---|
| INTC | $45.77 | -1.5% | 15.8% | 90.1% | 73.6% | 0.37 | 55 |
| MRK | $115.61 | -3.0% | 17.8% | 42.2% | 24.4% | 0.16 | 30 |
| XOM | $156.12 | 4.1% | 31.5% | 41.3% | 27.1% | 1.02 | 61 |
| JNJ | $241.52 | -0.7% | 15.6% | 37.2% | 16.3% | 1.43 | 44 |
| LLY | $985.08 | -5.0% | -2.2% | 30.8% | 39.7% | 0.56 | 32 |
| CVX | $196.82 | 9.0% | 31.9% | 27.9% | 24.2% | 0.83 | 71 |
| GOOGL | $302.28 | -2.1% | -3.2% | 25.7% | 21.9% | 1.43 | 39 |
| WMT | $126.52 | -5.3% | 9.7% | 22.5% | 25.3% | 1.76 | 52 |
| VZ | $51.38 | 3.9% | 30.0% | 20.9% | 29.9% | 0.99 | 65 |
| CSCO | $78.33 | 4.4% | -0.7% | 19.1% | 34.7% | 1.21 | 52 |
| KO | $77.34 | -1.4% | 12.7% | 17.9% | 16.4% | 1.04 | 32 |
| PFE | $26.58 | -3.2% | 4.7% | 15.2% | 22.2% | 0.27 | 44 |
| PEP | $159.88 | -3.5% | 8.2% | 13.5% | 21.8% | 0.20 | 33 |
| AAPL | $250.12 | -4.4% | -10.0% | 7.1% | 23.8% | 0.81 | 30 |
| ABBV | $219.68 | -3.4% | -1.1% | 2.2% | 25.6% | 0.64 | 36 |
| NVDA | $180.25 | -3.6% | -0.4% | 1.4% | 35.7% | 0.98 | 39 |
| CMCSA | $30.16 | -5.2% | 18.0% | -0.5% | 25.6% | -0.29 | 35 |
| BRK-B | $490.03 | -2.0% | -1.2% | -0.8% | 17.7% | 0.63 | 47 |
| TSLA | $391.20 | -6.2% | -12.5% | -1.2% | 35.4% | 1.02 | 45 |
| PG | $150.65 | -6.6% | 7.8% | -3.2% | 20.2% | 0.04 | 24 |