Twenty S&P 500 model portfolios: five factor strategies —multi-factor, momentum, value, quality and growth— in four sizes, each with its full backtest since 1998. It opens on the 20-stock multi-factor portfolio, the one that combines all four factors. The holdings are today's; the track record is measured with a monthly rebalance and without commissions or spread, so trading these lists every day is not the strategy that was tested.
Strategy
Holdings
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How the stocks are picked: model rules
Total Return:
Recent days today's holdings
Walk-forward backtested rule
1 Day:-
1 Mo.:-
2 Days:-
3 Mo.:-
3 Days:-
6 Mo.:-
4 Days:-
YTD:-
5 Days:-
1 Year:-
Two different things, so they are in two columns. The left one is the portfolio the model picks today, priced over the last few sessions. The right one is the rule run forward through history, rebalancing monthly. Over one to five days a 20-stock portfolio moves mostly on noise; the annualized figures are in the box beside this one.
Risk of this model portfolio (simulated):
CAGR (Annual):-
Max Drawdown:-
More risk ratios: Sharpe, Sortino, Calmar, volatility…
Sharpe Ratio:-
Sortino Ratio:-
Calmar Ratio:-
Volatility:-
Beta (vs equal-weight, monthly):-
Alpha (Jensen):-
Treynor Ratio:-
Monthly Win Rate:-
Ticker
Sector
Last Price
Today live
1 Wk Ret.
1 Mo Ret.
3 Mo Ret.
Z-Score
Algorithm Weight
The stocks this portfolio holds
$commission$/trade
Historical Wealth Evolution
Cumulative total return, dividends reinvested, rebalanced monthly. The band is the distance to the index.
Fall from previous peak
Year by year whole track record, does not follow the selector
All of this is measured on the monthly points of the chart; the Max Drawdown in the risk box uses daily closes and is therefore deeper — sometimes much deeper: a fall that recovers within the month leaves no trace in monthly points. The drawdown panel footer gives both figures.
How these figures are measured, exactly
The fall from peak compares each monthly point with the previous high of the series. Since a deeper low may have happened between two monthly points without showing here, this curve bottoms out higher than the Max Drawdown in the risk box, which is computed on daily closes.
Year by year is measured between December points, because monthly data has no 31st close. That is why the year in progress does not match the YTD figure to the decimal, and why the first and last years carry an asterisk: they are parts of a year, not whole years.
The twenty portfolios, one by one
Next to each one, its annual return and its worst fall, both from the full backtest and exactly as carteras.json publishes them. They do not rank the same way, and the first column should not be read alone: on the long history, the top earner is also the one that falls furthest.
Factor model portfolios
Twenty portfolios built with the same rules as the ranking - five strategies by four sizes - holdings in the open. Here, the last twelve months; the full track record, risk metrics and methodology for each are on its card, below. Past performance does not guarantee future results.
We save the portfolios you design, your own portfolio and your Academy progress, synced across devices.
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