25.3% CAGR OVER 20 YEARS.
THE PERFORMANCE SCORE BEHIND THE SCREENER.
SD50 is the portfolio built on the Performance Score (PERF) - one of several signal families that power the screener alongside Fundamentals, Regime, Direction, and more. It blends 13 orthogonal sub-signals into a monthly-rebalanced portfolio. 240-month backtest, live since August 2025.
HEADLINE PERFORMANCE
20 OF 21 POSITIVE YEARS
* partial year · † YTD through Apr 2026
| YEAR | SD50 | SPY | ALPHA |
|---|---|---|---|
| 2006* | +8.2% | +10.4% | -2.2pp |
| 2007 | +14.7% | +3.2% | +11.4pp |
| 2008 | -38.3% | -38.3% | +0.0pp |
| 2009 | +37.6% | +50.7% | -13.1pp |
| 2010 | +26.7% | +18.2% | +8.5pp |
| 2011 | +0.9% | -0.2% | +1.1pp |
| 2012 | +11.1% | +13.5% | -2.4pp |
| 2013 | +43.9% | +29.7% | +14.3pp |
| 2014 | +18.7% | +11.3% | +7.4pp |
| 2015 | +13.3% | -0.8% | +14.1pp |
| 2016 | +18.1% | +9.6% | +8.4pp |
| 2017 | +77.3% | +19.4% | +58.0pp |
| 2018 | +6.1% | -6.3% | +12.5pp |
| 2019 | +34.2% | +28.8% | +5.5pp |
| 2020 | +90.1% | +16.2% | +73.9pp |
| 2021 | +38.8% | +27.0% | +11.8pp |
| 2022 | +2.1% | -19.5% | +21.6pp |
| 2023 | +30.4% | +24.3% | +6.1pp |
| 2024 | +55.2% | +23.3% | +31.9pp |
| 2025 | +56.6% | +16.4% | +40.3pp |
| 2026† | +23.5% | +5.4% | +18.1pp |
| AVG | +27.2% | +12.4% | +14.8pp |
ASYMMETRIC RETURN PROFILE
BEHAVIOR IN CRISIS
Alpha in 5 of 6 major drawdowns. 2008 was the lone full-participation event.
| EVENT | SD50 | SPY | RELATIVE |
|---|---|---|---|
| Global Financial Crisis (2008) | -38.3% | -38.3% | +0.0pp |
| COVID Crash (Mar 2020) | -3.3% | -13.0% | +9.7pp |
| 2022 Bear Market (full year) | +2.1% | -19.5% | +21.6pp |
| 2018 Q4 Correction (worst mo.) | -8.3% | -9.3% | +1.0pp |
| 2025 Tariff Selloff (worst mo.) | -2.7% | -5.9% | +3.2pp |
| 2026-03 (AI capex fears + Iran) | -4.5% | -5.2% | +0.7pp |
LOW MARKET DEPENDENCE
R² = 0.57. most of SD50 return is non-SPY alpha.
| Annualized Std Dev | 16.9% | 14.9% | |
| Beta (vs SPY) | 0.85 | 1.00 | |
| R-squared (vs SPY) | 0.57 | 1.00 | Most return independent of broad market |
| Upside Capture | 126% | 100% | |
| Downside Capture | 59% | 100% | |
| Information Ratio | 1.15 | - | Top decile of active equity strategies |
| Sortino Ratio | 0.72 | 0.29 |
PORTFOLIO CONSTRUCTION
Systematic, rules-based, no discretionary overrides.
MAY 2026 SNAPSHOT
49 positions. Top 10 = ~52.5% weight. Monthly rotation.
| SYMBOL | WEIGHT | SLEEVE(S) |
|---|---|---|
| AVGO | 6.4% | Multiple + Index |
| KLAC | 6.1% | Contrarian |
| FBLA | 5.6% | Quality |
| L | 5.5% | Momentum + Quality |
| GOOGL | 5.4% | Multiple + Index |
| WMT | 5.4% | Multiple |
| HBM | 5.1% | Signal Support + Crisis |
| GEV | 4.5% | Regime Momentum |
| BWET | 4.5% | ETFs |
| SNDK | 4.1% | Confluence + Regime Momentum |
BEST-IDEA CONCENTRATE
13 positions, one per sleeve. Same signals, higher conviction.
| Core Strategy | GOOGL | 10% |
| Quality | FBLA | 10% |
| Signal Support | ROAD | 9% |
| Contrarian | KLAC | 8% |
| Coiled Spring | GVA | 8% |
| Crisis Alpha | PDFS | 8% |
| ETFs | BWET | 8% |
| Regime Momentum | GEV | 8% |
| Mean Reversion | AVGO | 8% |
| Momentum | L | 6% |
| Confluence Recovery | SNDK | 6% |
| Trend | GKOS | 6% |
| Risk-Parity | WMT | 5% |
| SD13 | SD50 | SPY | |
|---|---|---|---|
| CAGR | 26.5% | 25.3% | 10.3% |
| Sharpe (monthly) | 0.38 | 0.41 | 0.21 |
| Max Drawdown | -44.2% | -41.2% | -41.7% |
| Post-GFC Max DD | -16.6% | -13.6% | -24.8% |
| Win Rate | 67% | 67% | 65% |
| Positions | 13 | 40-55 | 500 |
| $100K → | $11.1M | $9.1M | $716K |
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BACKTEST METHODOLOGY
Reproducible from cached data. Code audit available under NDA.
- NO SURVIVORSHIP BIASUniverse reconstructed monthly from point-in-time constituent data.
- NO LOOK-AHEADAllocations use only prior month-end data. 1-day regime-signal lag.
- COSTSHeadline figures gross of fees. Estimated drag ~0.5-1.0% at institutional rates.
- 240-MONTH SAMPLE2008 GFC, COVID, 2022 bear, 2025-26 tariffs. Not cherry-picked.
Open to sub-advisory, SMA, LP, or licensing structures. Strategy IP remains with the developer. Full prospectus, attribution, and code audit available under NDA.
REQUEST PROSPECTUS →PRINCIPAL RISKS
This page is for informational and discussion purposes only. It does not constitute an offer to sell or a solicitation of an offer to buy any securities. Past performance, whether actual or backtested, is not indicative of future results. All performance figures are gross of fees and transaction costs unless otherwise noted. Backtested returns prior to August 2025 are hypothetical; live trading has been in effect since August 2025. Contact: contact@lopjlb.com.