Comparator
Compare S&P 500 investment strategies by return, Sharpe and max drawdown — survivorship-free, net-of-cost backtest. Pick investment and period and see what your money becomes.
Backtest results (simulation), not real trading. Not investment advice. Past performance does not guarantee future results.
| # | Strategy | CAGR | Sharpe | Max drawdown | Your money today |
|---|---|---|---|---|---|
| 1 | Cesta multi-factor (value+quality+momentum) | +21.6% | 0.91 | -30.1% | $35.871 |
| 2 | Reversión a la media (5d) | +21.4% | 0.79 | -44.1% | $35.545 |
| 3 | Combo short × value | +20.5% | 0.79 | -38.3% | $33.240 |
| 4 | Momentum (6m, salta 1m) | +19.9% | 0.82 | -26.5% | $32.624 |
| 5 | Combo short × momentum | +19.4% | 0.90 | -22.8% | $31.385 |
| 6 | Short interest (poco shorteado) | +18.5% | 1.00 | -22.2% | $29.914 |
| 7 | Short interest (Diether) | +18.5% | 1.00 | -22.2% | $29.914 |
| 8 | Value (barato: B/P+E/P+S/P) | +17.5% | 0.68 | -42.6% | $28.589 |
| 9 | Combo short × value × quality | +16.9% | 0.71 | -33.9% | $27.332 |
| 10 | Combo short × quality | +13.9% | 0.83 | -17.8% | $23.167 |
| 11 | Quality (rentable y sólido) | +10.1% | 0.62 | -23.4% | $18.765 |
| 12 | Baja volatilidad | +8.8% | 0.65 | -20.8% | $17.307 |
| 13 | Estacionalidad (mismo mes histórico) | +6.8% | 0.38 | -38.1% | $15.360 |
| S&P 500 (benchmark) | +12.8% | — | — | $21.946 |
Cesta multi-factor (value+quality+momentum)
$10.000 → $35.871 · CAGR +21.6%Data as of 2026-08-21 · survivorship-free backtest, net of costs. Monthly rebalance: figures move ~once a month, not weekly.