A 20-year backtested 50-stock portfolio.
The Performance Score behind the screener.
18.6% CAGR over 248 realized monthly returns.
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 14 orthogonal sub-signals into a monthly-rebalanced portfolio. Live since August 2025.
Headline performance
- 18.6%
- CAGR (20yr)SPY 9.0%+9.6pp
- 0.32
- Sharpe (monthly)SPY 0.19+0.13
- -39.3%
- Max DrawdownSPY -52.2%+12.9pp
- -15.2%
- Post-GFC Max DDSPY -24.8%+9.6pp
- 63.7%
- Win Rate (monthly)SPY 64.5%
- 18 of 20
- Positive Completed YearsSPY 15 of 20
SD50 / SD14 vs GSIB · DIVB · VTV · FTEC · SPMO · SPY
Normalized growth curves with window-aware risk metrics. Toggle series, change range, drag to inspect.
| Metric | SD50 | SD14 | SPY | GSIB | DIVB | VTV | FTEC | SPMO |
|---|---|---|---|---|---|---|---|---|
| Return | ||||||||
| CAGR | +26.2% | +31.4% | +13.1% | - | - | +9.5% | +22.9% | +17.9% |
| Sharpe (mo) | 0.40 | 0.45 | 0.26 | - | - | 0.20 | 0.32 | 0.30 |
| Sortino (mo) | 0.72 | 1.00 | 0.35 | - | - | 0.28 | 0.56 | 0.47 |
| Calmar | 1.73 | 1.90 | 0.53 | - | - | 0.37 | 0.70 | 0.80 |
| Risk | ||||||||
| Max Drawdown | -15.2% | -16.5% | -24.8% | - | - | -25.7% | -32.8% | -22.4% |
| Vol (ann.) | +18.2% | +18.8% | +15.2% | - | - | +14.6% | +20.7% | +17.6% |
| Win Rate | 67% | 70% | 67% | - | - | 64% | 64% | 64% |
| vs SPY | ||||||||
| Beta (vs SPY) | 0.94 | 0.91 | 1.00 | - | - | 0.87 | 1.22 | 0.99 |
| Alpha (ann.) | +14.0% | +19.4% | - | - | - | -1.8% | +7.0% | +5.0% |
| Up Capture | 186% | 245% | - | - | - | 62% | 261% | 110% |
| Down Capture | 79% | 71% | - | - | - | 97% | 101% | 89% |
| Info Ratio | 1.02 | 1.23 | - | - | - | -0.49 | 0.94 | 0.50 |
$100K invested · Jan 2006 → Sep 2026
- $3.40M
- SD50
- $5.23M
- SD14 (14-stock)
- $598K
- SPY
18 of 20 positive years
* 2026 partial (Jan-Sep). Positive alpha in 15 of 20 completed years.
| Year | SD50 | SD14 | SPY | GSIB | DIVB | VTV | FTEC | SPMO | Alpha |
|---|---|---|---|---|---|---|---|---|---|
| 2006 | +4.3% | +3.0% | +11.1% | - | - | +15.8% | - | - | -6.8pp |
| 2007 | +25.9% | +14.0% | +3.2% | - | - | -2.7% | - | - | +22.7pp |
| 2008 | -24.5% | -21.3% | -38.3% | - | - | -38.0% | - | - | +13.8pp |
| 2009 | -4.3% | -3.4% | +23.5% | - | - | +16.0% | - | - | -27.8pp |
| 2010 | +17.6% | +22.5% | +12.8% | - | - | +11.7% | - | - | +4.8pp |
| 2011 | +3.9% | +1.2% | -0.2% | - | - | -1.6% | - | - | +4.1pp |
| 2012 | +15.1% | +9.3% | +13.5% | - | - | +12.0% | - | - | +1.7pp |
| 2013 | +53.0% | +56.3% | +29.7% | - | - | +29.9% | +7.5% | - | +23.3pp |
| 2014 | +22.2% | +31.0% | +11.3% | - | - | +10.6% | +17.0% | - | +10.9pp |
| 2015 | +11.3% | +12.5% | -0.8% | - | - | -3.5% | +3.6% | -1.5% | +12.2pp |
| 2016 | +3.1% | +10.6% | +9.6% | - | - | +14.1% | +12.4% | +5.3% | -6.6pp |
| 2017 | +19.0% | +37.8% | +19.4% | - | +2.1% | +14.3% | +35.4% | +26.7% | -0.4pp |
| 2018 | +10.6% | +16.4% | -6.3% | - | -10.2% | -7.9% | -1.5% | -1.9% | +17.0pp |
| 2019 | +32.6% | +34.8% | +28.8% | - | +29.8% | +22.4% | +47.2% | +24.1% | +3.8pp |
| 2020 | +59.3% | +75.9% | +16.2% | - | +8.0% | -0.7% | +44.2% | +26.2% | +43.1pp |
| 2021 | +36.9% | +26.3% | +27.0% | - | +29.0% | +23.7% | +29.6% | +21.9% | +9.8pp |
| 2022 | +7.2% | -5.4% | -19.5% | - | -12.3% | -4.6% | -30.2% | -12.0% | +26.7pp |
| 2023 | +23.7% | +36.2% | +24.3% | - | +9.4% | +6.5% | +52.0% | +15.4% | -0.5pp |
| 2024 | +47.1% | +51.5% | +23.3% | +30.6% | +15.5% | +13.2% | +28.7% | +45.1% | +23.8pp |
| 2025 | +32.6% | +34.7% | +16.4% | +58.6% | +12.1% | +12.8% | +21.5% | +25.6% | +16.3pp |
| 2026* | +20.7% | +34.5% | +11.8% | +18.5% | +21.4% | +13.1% | +33.6% | +27.0% | +8.9pp |
| Avg | +19.8% | +22.2% | +10.3% | +44.6% | +9.3% | +7.2% | +20.6% | +15.9% | +9.6pp |
Swipe the table for every benchmark.
Asymmetric return profile
- 112%
- Upside captureof SPY's up-month returns
- 64%
- Downside captureof SPY's down-month losses
- -15.2%
- Post-GFC max drawdownvs SPY -24.8% (same period)
- 0.76
- Information ratioabove the 0.5-0.7 manager target
Rolling 12-month Sharpe positive in 92% of completed windows.
Behavior in crisis
Outperformed SPY in 5 of 5 shown stress periods.
| Event | SD50 | SPY | Relative |
|---|---|---|---|
| Global Financial Crisis (2008) | -24.5% | -38.3% | +13.8pp |
| COVID Crash (Mar 2020) | -10.0% | -13.0% | +3.0pp |
| 2022 Bear Market (full year) | +7.2% | -19.5% | +26.7pp |
| 2018 Q4 (worst month) | -7.9% | -9.3% | +1.4pp |
| 2026-03 (AI capex fears + Iran) | -4.3% | -5.2% | +0.9pp |
Low market dependence
R² = 0.56. Most of SD50 return is not explained by SPY.
| Measure | SD50 | SPY |
|---|---|---|
| Annualized Std Dev | 16.9% | 15.1% |
| Beta (vs SPY) | 0.84 | 1.00 |
| R-squared (vs SPY)Most return independent of broad market | 0.56 | 1.00 |
| Upside Capture | 112% | 100% |
| Downside Capture | 64% | 100% |
| Information RatioNear 1.0. above the 0.5-0.7 manager target | 0.76 | - |
| Sortino Ratio | 0.53 | 0.25 |
Portfolio construction
Systematic, rules-based, no discretionary overrides.
Monthly
1st trading day. Prior month-end data only.
38-64
Current: 52 · ~76% monthly turnover
14 sub-signals
Quality, Alpha Leaders, Momentum, Mean-Reversion, Coiled Spring, Crisis Alpha, Confluence, Trend, Regime…
U.S. equities + ETFs
Point-in-time constituent data. No survivorship bias.
None
Long-only, fully funded.
14-stock concentrate
One pick per sleeve. Higher conviction.
4-state HMM
BULL / RECOVERY / BEAR / CRISIS overlay.
$200-500M
Majority mega/large-cap. Multi-day execution.
Copy the portfolio monthly
New allocations publish on the 1st trading day each month. CSV/JSON need Pro. Full channel notes in docs · developers.
Live MTD
PublicCurrent-month SD50 + SD14 performance vs benchmarks (panel above).
RSS feed
PublicMonthly SD14 allocation history for Feedly, Inoreader, or any reader.
CSV / JSON
ProCurrent allocation. Optional ?variant=sd14|sd50 and ?account_value=100000.
CLI
Public / ProInstall once, then pull the public feed or Pro allocation JSON.
Skill
FreeCursor / Agent Skills package for research workflows. · GitHub
Backtest methodology
Reproducible from cached data. Code audit available under NDA.
No survivorship bias
Universe reconstructed monthly from point-in-time constituent data.
No look-ahead
Allocations use only prior month-end data. 1-day regime-signal lag.
Costs
Headline figures gross of fees. Modeled gross-to-net CAGR drag 2.1pp at ~76% monthly turnover.
248-month sample
Monthly return observations exclude the initial zero baseline. Includes the 2008 GFC, COVID, 2022 bear, and 2025-26 tariffs.
Partnership
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
Backtest Risk
Pre-Aug 2025 returns are hypothetical. Actual trading may differ due to slippage, costs, and market impact.
Model Risk
Quantitative models may degrade due to regime changes, structural breaks, or factor crowding.
Concentration
Current top 10 holdings are 43.4% of the portfolio. Single-stock adverse moves can materially impact returns.
Liquidity
Small/micro-cap sleeves may experience market impact at scale during monthly rebalancing.
Turnover
~76% monthly turnover (~909% annualized). Higher transaction costs and short-term capital gains.
Market Risk
Long-only, β ≈ 0.84 to SPY. Expected to decline in broad selloffs, though historically less than benchmark.
Factor Crowding
Momentum-style sleeves may underperform during regime transitions or when similar strategies become crowded.
Disclaimer
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.