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 | Momentum (6m, salta 1m) | +21.6% | 0.80 | -36.4% | $37.012 |
| 2 | Reversión a la media (5d) | +21.4% | 0.77 | -50.7% | $36.625 |
| 3 | Cesta multi-factor (value+quality+momentum) | +20.6% | 0.80 | -41.9% | $34.934 |
| 4 | Combo short × momentum | +20.6% | 0.82 | -36.4% | $34.427 |
| 5 | Combo short × value | +18.8% | 0.74 | -53.3% | $31.162 |
| 6 | Short interest (poco shorteado) | +18.0% | 0.93 | -36.7% | $29.858 |
| 7 | Short interest (Diether) | +18.0% | 0.93 | -36.7% | $29.858 |
| 8 | Combo short × quality | +14.2% | 0.76 | -33.4% | $24.047 |
| 9 | Combo short × value × quality | +14.1% | 0.61 | -49.1% | $23.923 |
| 10 | Value (barato: B/P+E/P+S/P) | +14.0% | 0.60 | -52.3% | $24.070 |
| 11 | Quality (rentable y sólido) | +10.8% | 0.59 | -30.2% | $19.809 |
| 12 | Baja volatilidad | +7.6% | 0.54 | -32.7% | $16.297 |
| 13 | Estacionalidad (mismo mes histórico) | +6.7% | 0.38 | -49.4% | $15.422 |
| S&P 500 (benchmark) | +11.8% | — | — | $21.064 |
Momentum (6m, salta 1m)
$10.000 → $37.012 · CAGR +21.6%Data as of 2026-10-16 · survivorship-free backtest, net of costs. Monthly rebalance: figures move ~once a month, not weekly.