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 | Combo short × value | +28.6% | 1.43 | -15.6% | $43.440 |
| 2 | Momentum (6m, salta 1m) | +26.6% | 1.24 | -22.4% | $39.795 |
| 3 | Combo short × value × quality | +26.4% | 1.33 | -19.1% | $39.423 |
| 4 | Combo short × momentum | +26.1% | 1.40 | -15.1% | $38.885 |
| 5 | Short interest (poco shorteado) | +24.5% | 1.80 | -11.0% | $36.064 |
| 6 | Short interest (Diether) | +24.5% | 1.80 | -11.0% | $36.064 |
| 7 | Cesta multi-factor (value+quality+momentum) | +22.3% | 1.17 | -24.3% | $32.389 |
| 8 | Value (barato: B/P+E/P+S/P) | +21.8% | 1.11 | -23.9% | $31.635 |
| 9 | Combo short × quality | +18.3% | 1.28 | -10.8% | $26.761 |
| 10 | Estacionalidad (mismo mes histórico) | +15.6% | 0.80 | -20.8% | $23.367 |
| 11 | Quality (rentable y sólido) | +11.1% | 0.78 | -25.0% | $18.526 |
| 12 | Baja volatilidad | +10.2% | 0.90 | -12.4% | $17.603 |
| 13 | Reversión a la media (5d) | +6.8% | 0.45 | -37.9% | $14.724 |
| S&P 500 (benchmark) | +16.1% | — | — | $23.974 |
Combo short × value
$10.000 → $43.440 · CAGR +28.6%Data as of 2026-06-23 · survivorship-free backtest, net of costs. Monthly rebalance: figures move ~once a month, not weekly.