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: Friday, Mar 6, 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 | 54.0% | 16.4% | 2.72 | -13.1% |
| ▶ | 12-Month Momentum Top 10 | Momentum | quarterly | 10 | 57.5% | 20.5% | 2.32 | -15.0% |
| ▶ | High Sharpe Ratio Top 10 | Quality | quarterly | 10 | 42.5% | 16.9% | 2.18 | -11.2% |
| ▶ | Quality Composite Score | Quality | quarterly | 15 | 35.9% | 16.1% | 1.99 | -12.5% |
| ▶ | 6-Month Momentum Top 20 | Momentum | quarterly | 20 | 35.4% | 16.1% | 1.96 | -13.0% |
| ▶ | Sector Rotation Momentum | Rotation | monthly | 20 | 35.4% | 16.1% | 1.96 | -13.0% |
| ▶ | All Weather Portfolio | Defensive | quarterly | 20 | 35.7% | 16.3% | 1.96 | -13.0% |
| ▶ | Above SMA200 Top 20 | Trend | monthly | 20 | 34.2% | 15.9% | 1.93 | -12.4% |
| ▶ | Low Vol + High Momentum | Low Volatility | monthly | 15 | 27.7% | 14.0% | 1.82 | -12.6% |
| ▶ | Defensive Low Beta | Defensive | quarterly | 15 | 27.7% | 14.0% | 1.82 | -12.6% |
| ▶ | 3-Month Momentum Top 15 | Momentum | monthly | 15 | 28.2% | 14.6% | 1.78 | -10.9% |
| ▶ | Above SMA50 + Momentum | Trend | monthly | 15 | 28.2% | 14.6% | 1.78 | -10.9% |
| ▶ | Golden Cross Portfolio | Trend | monthly | 15 | 28.8% | 14.8% | 1.78 | -11.2% |
| ▶ | High Volume + Momentum | Volume | monthly | 15 | 28.2% | 14.6% | 1.78 | -10.9% |
| ▶ | Aggressive Momentum Top 5 | Aggressive | weekly | 5 | 30.9% | 16.1% | 1.75 | -12.0% |
| ▶ | Risk Parity by Drawdown | Risk Parity | quarterly | 20 | 25.1% | 13.9% | 1.68 | -11.9% |
| ▶ | Momentum + Quality | Multi-Factor | monthly | 15 | 30.7% | 17.3% | 1.63 | -15.2% |
| ▶ | Low Drawdown Top 15 | Quality | quarterly | 15 | 24.0% | 14.4% | 1.56 | -11.9% |
| ▶ | Momentum + Low Volatility | Multi-Factor | monthly | 15 | 21.1% | 13.8% | 1.45 | -12.2% |
| ▶ | 1-Month Momentum Top 10 | Momentum | monthly | 10 | 21.6% | 14.5% | 1.42 | -9.6% |
| ▶ | Monthly Rebalance Top 10 | Rotation | monthly | 10 | 21.6% | 14.5% | 1.42 | -9.6% |
| ▶ | Equal Weight Top 30 Momentum | Equal Weight | quarterly | 30 | 21.9% | 15.7% | 1.34 | -12.0% |
| ▶ | Risk Parity by Volatility | Risk Parity | monthly | 20 | 16.5% | 13.5% | 1.20 | -11.4% |
| ▶ | Quality + Value | Multi-Factor | quarterly | 15 | 24.0% | 20.1% | 1.17 | -15.3% |
| ▶ | Low Volatility 20D Top 15 | Low Volatility | monthly | 15 | 15.2% | 12.9% | 1.16 | -10.6% |
| ▶ | Low Volatility 60D Top 20 | Low Volatility | quarterly | 20 | 16.0% | 13.7% | 1.15 | -11.7% |
| ▶ | Equal Weight Low Vol 25 | Equal Weight | quarterly | 25 | 15.7% | 13.7% | 1.13 | -11.9% |
| ▶ | Volume Breakout | Volume | monthly | 15 | 13.4% | 17.4% | 0.81 | -14.6% |
| ▶ | Oversold RSI Top 10 | Mean Reversion | weekly | 2 | 13.8% | 20.6% | 0.73 | -13.5% |
| ▶ | Max Drawdown Recovery | Mean Reversion | monthly | 6 | -18.2% | 19.8% | -0.91 | -25.6% |
| Ticker | Price | 1M % | 3M % | 6M % | Vol % | Sharpe | RSI |
|---|---|---|---|---|---|---|---|
| INTC | $45.95 | -5.5% | 5.0% | 86.7% | 71.9% | 0.34 | 48 |
| MRK | $116.07 | -1.9% | 14.5% | 40.7% | 25.0% | 0.13 | 43 |
| XOM | $150.76 | 2.8% | 28.8% | 36.2% | 26.8% | 1.04 | 51 |
| JNJ | $239.63 | 2.7% | 17.3% | 35.6% | 17.8% | 1.40 | 44 |
| LLY | $983.26 | -11.0% | -4.7% | 32.8% | 40.3% | 0.52 | 38 |
| GOOGL | $300.88 | -9.7% | -5.8% | 29.7% | 22.2% | 1.56 | 41 |
| CVX | $189.90 | 5.8% | 26.5% | 23.0% | 23.3% | 0.86 | 70 |
| WMT | $123.31 | -3.7% | 8.0% | 22.4% | 25.9% | 1.73 | 31 |
| VZ | $51.18 | 8.9% | 28.0% | 19.9% | 30.6% | 0.97 | 63 |
| TSLA | $405.55 | -0.1% | -9.2% | 19.8% | 36.5% | 0.98 | 43 |
| CSCO | $80.01 | -1.4% | 3.5% | 19.0% | 34.1% | 1.28 | 70 |
| KO | $77.03 | -0.4% | 8.8% | 14.5% | 17.1% | 1.08 | 40 |
| PFE | $26.61 | -0.6% | 5.8% | 12.2% | 22.5% | 0.35 | 37 |
| PEP | $160.70 | -3.3% | 9.6% | 11.6% | 22.8% | 0.22 | 38 |
| ABBV | $232.35 | 7.0% | 1.7% | 10.8% | 25.3% | 0.75 | 56 |
| AAPL | $260.29 | -5.8% | -8.3% | 8.8% | 23.1% | 0.92 | 48 |
| NVDA | $183.34 | 5.3% | 2.1% | 6.8% | 35.3% | 0.99 | 46 |
| CMCSA | $31.60 | 3.6% | 24.4% | 1.5% | 26.6% | -0.17 | 47 |
| T | $28.97 | 6.4% | 15.8% | 0.2% | 24.3% | 1.56 | 52 |
| BAC | $49.81 | -10.1% | -7.4% | -0.5% | 24.4% | 0.89 | 36 |