Generated Sunday, Feb 22, 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 | 50.4% | 16.4% | 2.58 | -14.3% |
| ▶ | 12-Month Momentum Top 10 | Momentum | quarterly | 10 | 46.5% | 17.2% | 2.30 | -15.5% |
| ▶ | High Sharpe Ratio Top 10 | Quality | quarterly | 10 | 33.0% | 15.0% | 1.98 | -14.3% |
| ▶ | 6-Month Momentum Top 20 | Momentum | quarterly | 20 | 31.4% | 16.5% | 1.74 | -16.0% |
| ▶ | Above SMA200 Top 20 | Trend | monthly | 20 | 31.4% | 16.5% | 1.74 | -16.0% |
| ▶ | Sector Rotation Momentum | Rotation | monthly | 20 | 31.4% | 16.5% | 1.74 | -16.0% |
| ▶ | Golden Cross Portfolio | Trend | monthly | 15 | 27.2% | 14.6% | 1.72 | -11.4% |
| ▶ | Risk Parity by Drawdown | Risk Parity | quarterly | 20 | 26.2% | 14.1% | 1.72 | -13.4% |
| ▶ | All Weather Portfolio | Defensive | quarterly | 20 | 30.0% | 16.6% | 1.66 | -15.2% |
| ▶ | Low Vol + High Momentum | Low Volatility | monthly | 15 | 25.3% | 14.3% | 1.65 | -13.6% |
| ▶ | Quality Composite Score | Quality | quarterly | 15 | 30.0% | 16.7% | 1.65 | -16.2% |
| ▶ | Defensive Low Beta | Defensive | quarterly | 15 | 25.3% | 14.3% | 1.65 | -13.6% |
| ▶ | Aggressive Momentum Top 5 | Aggressive | weekly | 5 | 38.5% | 21.7% | 1.61 | -14.7% |
| ▶ | 1-Month Momentum Top 10 | Momentum | monthly | 10 | 23.8% | 14.4% | 1.55 | -9.7% |
| ▶ | Monthly Rebalance Top 10 | Rotation | monthly | 10 | 23.8% | 14.4% | 1.55 | -9.7% |
| ▶ | 3-Month Momentum Top 15 | Momentum | monthly | 15 | 23.9% | 14.6% | 1.54 | -11.5% |
| ▶ | High Volume + Momentum | Volume | monthly | 15 | 23.9% | 14.6% | 1.54 | -11.5% |
| ▶ | Momentum + Quality | Multi-Factor | monthly | 15 | 29.3% | 18.3% | 1.50 | -18.6% |
| ▶ | Momentum + Low Volatility | Multi-Factor | monthly | 15 | 22.5% | 14.3% | 1.49 | -14.0% |
| ▶ | Low Drawdown Top 15 | Quality | quarterly | 15 | 21.9% | 14.3% | 1.46 | -12.0% |
| ▶ | Above SMA50 + Momentum | Trend | monthly | 15 | 23.3% | 15.1% | 1.46 | -12.2% |
| ▶ | Risk Parity by Volatility | Risk Parity | monthly | 20 | 17.9% | 13.9% | 1.26 | -12.6% |
| ▶ | Low Volatility 60D Top 20 | Low Volatility | quarterly | 20 | 18.3% | 14.2% | 1.25 | -13.1% |
| ▶ | Equal Weight Top 30 Momentum | Equal Weight | quarterly | 30 | 18.3% | 15.9% | 1.14 | -14.6% |
| ▶ | Low Volatility 20D Top 15 | Low Volatility | monthly | 15 | 15.4% | 14.0% | 1.09 | -12.5% |
| ▶ | Equal Weight Low Vol 25 | Equal Weight | quarterly | 25 | 13.8% | 14.0% | 0.99 | -13.3% |
| ▶ | Quality + Value | Multi-Factor | quarterly | 15 | 15.4% | 20.9% | 0.79 | -19.8% |
| ▶ | Volume Breakout | Volume | monthly | 15 | 2.1% | 16.7% | 0.21 | -15.2% |
| ▶ | Max Drawdown Recovery | Mean Reversion | monthly | 3 | -5.9% | 20.3% | -0.20 | -16.9% |
| ▶ | Oversold RSI Top 10 | Mean Reversion | weekly | 6 | -9.7% | 24.8% | -0.29 | -23.1% |
| Ticker | Price | 1M % | 3M % | 6M % | Vol % | Sharpe | RSI |
|---|---|---|---|---|---|---|---|
| INTC | $44.11 | -18.8% | 25.6% | 87.7% | 76.0% | 0.33 | 42 |
| GOOGL | $314.98 | -4.7% | 7.6% | 57.9% | 25.6% | 1.49 | 32 |
| MRK | $122.26 | 12.0% | 29.7% | 44.7% | 25.2% | 0.16 | 78 |
| LLY | $1009.52 | -7.0% | -3.7% | 42.7% | 39.2% | 0.62 | 47 |
| JNJ | $242.49 | 11.0% | 20.5% | 37.4% | 16.7% | 1.44 | 76 |
| XOM | $147.28 | 10.9% | 26.3% | 36.9% | 26.3% | 1.03 | 59 |
| TSLA | $411.82 | -8.4% | 1.9% | 28.6% | 38.1% | 0.91 | 39 |
| WMT | $122.99 | 4.4% | 22.5% | 25.8% | 24.8% | 1.84 | 55 |
| CVX | $183.93 | 11.4% | 22.4% | 20.7% | 23.2% | 0.69 | 64 |
| CSCO | $79.20 | 6.6% | 1.6% | 19.5% | 33.3% | 1.30 | 52 |
| AAPL | $264.58 | 6.6% | -1.4% | 17.9% | 22.4% | 0.82 | 54 |
| KO | $79.84 | 11.1% | 13.1% | 14.7% | 16.4% | 1.11 | 72 |
| VZ | $49.25 | 24.7% | 21.6% | 13.2% | 30.7% | 0.82 | 76 |
| PEP | $164.94 | 14.2% | 13.2% | 12.9% | 21.5% | 0.22 | 67 |
| BAC | $53.06 | 1.2% | 2.5% | 11.1% | 20.7% | 1.14 | 49 |
| ABBV | $224.81 | 3.1% | -2.7% | 9.0% | 25.4% | 0.75 | 52 |
| NVDA | $189.82 | 2.7% | 1.8% | 8.5% | 32.8% | 1.28 | 49 |
| JPM | $310.79 | 2.4% | 2.9% | 7.6% | 26.2% | 1.30 | 54 |
| PFE | $26.65 | 3.8% | 8.9% | 7.1% | 22.2% | 0.31 | 52 |
| PG | $160.78 | 8.0% | 10.2% | 2.7% | 19.2% | 0.24 | 71 |