Holding now
Signal from Dec 2025 close- SPY100%
- SPYS&P 500100.0%
Trailing returns
Through Sep 25, 2026 · 3Y+ annualised1M
+0.8%
YTD
+14.0%
1Y
+17.0%
3Y
+23.2%
5Y
+14.0%
10Y
+15.4%
Growth of $100
Backtest from Feb 1, 1995 to Sep 25, 2026 (31.5 years)
Growth of $100, rebased to the start of the selected range. Month-end prices, dividends reinvested, no taxes or trading costs.
Risk & return, full backtest
CAGR
+11.2%
Volatility
19.0%
Max drawdown
-55.2%
Sharpe
0.59
Sortino
0.83
Calmar
0.20
Best year
+33.5%
Worst year
-36.8%
Drawdowns
Percent below the prior peak
Calendar-year returns
Faded bars are partial years · 65% of months positive
Strategy Lab
Stress-test the implementation: trade on the signal day's close or later, split the portfolio into tranches that rebalance on different days (reduces timing luck), or swap a fund for a same-asset-class alternative.
The idea
The S&P 500 with dividends reinvested: the all-equity reference point, with the highest long-run return of the simple options and the deepest drawdowns.
The rules
- 1100% S&P 500.
Funds used
- SPY S&P 500
Early history uses proxy funds: SHY.
Recent allocations
Decided at each month-end, held the following month
- Dec 2025
- Dec 2024
- Dec 2023
- Dec 2022
- Dec 2021
- Dec 2020
- Dec 2019
- Dec 2018
- Dec 2017
- Dec 2016
- Dec 2015
- Dec 2014