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 | Reversión a la media (5d) | +21.6% | 0.80 | -44.1% | $36.316 |
| 2 | Momentum (6m, salta 1m) | +19.9% | 0.82 | -26.5% | $33.165 |
| 3 | Cesta multi-factor (value+quality+momentum) | +19.3% | 0.83 | -30.1% | $32.034 |
| 4 | Combo short × momentum | +19.1% | 0.90 | -22.8% | $31.278 |
| 5 | Combo short × value | +18.4% | 0.73 | -38.0% | $30.115 |
| 6 | Short interest (poco shorteado) | +17.5% | 0.96 | -22.2% | $28.687 |
| 7 | Short interest (Diether) | +17.5% | 0.96 | -22.2% | $28.687 |
| 8 | Value (barato: B/P+E/P+S/P) | +14.4% | 0.60 | -43.3% | $24.309 |
| 9 | Combo short × quality | +13.8% | 0.82 | -17.8% | $23.170 |
| 10 | Combo short × value × quality | +13.7% | 0.61 | -34.0% | $23.078 |
| 11 | Quality (rentable y sólido) | +10.2% | 0.63 | -23.4% | $18.959 |
| 12 | Baja volatilidad | +8.3% | 0.62 | -20.8% | $16.892 |
| 13 | Estacionalidad (mismo mes histórico) | +6.5% | 0.37 | -38.1% | $15.164 |
| S&P 500 (benchmark) | +12.0% | — | — | $21.127 |
Reversión a la media (5d)
$10.000 → $36.316 · CAGR +21.6%Data as of 2026-09-18 · survivorship-free backtest, net of costs. Monthly rebalance: figures move ~once a month, not weekly.