# SD50 | 18.6% CAGR Performance Score Portfolio

URL: https://www.lopjlb.com/sd50

18.6% 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 14 orthogonal sub-signals into a monthly-rebalanced portfolio. 248-month backtest, live since August 2025.

- Range: 2006-01 - 2026-09
- Backtested prior to Aug 2025
- Gross of fees
- Interactive: https://www.lopjlb.com/sd50
- Methodology: https://www.lopjlb.com/methodology
- Screener (12,000+ tickers): https://www.lopjlb.com/screener

## Headline performance

| Metric | SD50 | SPY | Delta |
| --- | --- | --- | --- |
| CAGR (20yr) | 18.6% | 9.0% | +9.6pp |
| Sharpe (monthly) | 0.32 | 0.19 | +0.13 |
| Max Drawdown | -39.3% | -52.2% | +12.9pp |
| Post-GFC Max DD | -15.2% | -24.8% | +9.6pp |
| Win Rate (monthly) | 63.7% | 64.5% |  |
| Positive Completed Years | 18 of 20 | 15 of 20 |  |

## $100K invested · JAN 2006 → SEP 2026

- SD50: $3.40M
- SD14 (14-stock): $5.23M
- SPY: $598K

## 18 of 20 positive years

* 2026 partial (Jan-Sep). Positive alpha in 15 of 20 completed years.

| Year | SD50 | SD14 | SPY | VTI | VTV | FTEC | SPMO | Alpha |
| --- | --- | --- | --- | --- | --- | --- | --- | --- |
| 2006 | +4.3% | +3.0% | +11.1% | +10.1% | +15.8% | - | - | -6.8pp |
| 2007 | +25.9% | +14.0% | +3.2% | +3.5% | -2.7% | - | - | +22.7pp |
| 2008 | -24.5% | -21.3% | -38.3% | -38.3% | -38.0% | - | - | +13.8pp |
| 2009 | -4.3% | -3.4% | +23.5% | +26.0% | +16.0% | - | - | -27.8pp |
| 2010 | +17.6% | +22.5% | +12.8% | +15.2% | +11.7% | - | - | +4.8pp |
| 2011 | +3.9% | +1.2% | -0.2% | -1.0% | -1.6% | - | - | +4.1pp |
| 2012 | +15.1% | +9.3% | +13.5% | +14.0% | +12.0% | - | - | +1.7pp |
| 2013 | +53.0% | +56.3% | +29.7% | +30.9% | +29.9% | +7.5% | - | +23.3pp |
| 2014 | +22.2% | +31.0% | +11.3% | +10.5% | +10.6% | +17.0% | - | +10.9pp |
| 2015 | +11.3% | +12.5% | -0.8% | -1.6% | -3.5% | +3.6% | -1.5% | +12.2pp |
| 2016 | +3.1% | +10.6% | +9.6% | +10.6% | +14.1% | +12.4% | +5.3% | -6.6pp |
| 2017 | +19.0% | +37.8% | +19.4% | +19.0% | +14.3% | +35.4% | +26.7% | -0.4pp |
| 2018 | +10.6% | +16.4% | -6.3% | -7.0% | -7.9% | -1.5% | -1.9% | +17.0pp |
| 2019 | +32.6% | +34.8% | +28.8% | +28.2% | +22.4% | +47.2% | +24.1% | +3.8pp |
| 2020 | +59.3% | +75.9% | +16.2% | +19.0% | -0.7% | +44.2% | +26.2% | +43.1pp |
| 2021 | +36.9% | +26.3% | +27.0% | +24.0% | +23.7% | +29.6% | +21.9% | +9.8pp |
| 2022 | +7.2% | -5.4% | -19.5% | -20.8% | -4.6% | -30.2% | -12.0% | +26.7pp |
| 2023 | +23.7% | +36.2% | +24.3% | +24.1% | +6.5% | +52.0% | +15.4% | -0.5pp |
| 2024 | +47.1% | +51.5% | +23.3% | +22.2% | +13.2% | +28.7% | +45.1% | +23.8pp |
| 2025 | +32.6% | +34.7% | +16.4% | +15.7% | +12.8% | +21.5% | +25.6% | +16.3pp |
| 2026* | +20.7% | +34.5% | +11.8% | +11.6% | +13.1% | +33.6% | +27.0% | +8.9pp |
| AVG | +19.8% | +22.2% | +10.3% | +10.2% | +7.2% | +20.6% | +15.9% | +9.6pp |

## Asymmetric return profile

- Upside capture: 112% of SPY's up-month returns
- Downside capture: 64% of SPY's down-month losses
- Post-GFC max drawdown: -15.2% vs SPY -24.8%
- Information ratio: 0.76 (above 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 | Note |
| --- | --- | --- | --- |
| Annualized Std Dev | 16.9% | 15.1% |  |
| Beta (vs SPY) | 0.84 | 1.00 |  |
| R-squared (vs SPY) | 0.56 | 1.00 | Most return independent of broad market |
| Upside Capture | 112% | 100% |  |
| Downside Capture | 64% | 100% |  |
| Information Ratio | 0.76 | - | Near 1.0. above the 0.5-0.7 manager target |
| Sortino Ratio | 0.53 | 0.25 |  |

## Portfolio construction

Systematic, rules-based, no discretionary overrides. Sleeve composition, scoring formula, and universe construction remain proprietary.

- Rebalance: Monthly, 1st trading day. Prior month-end data only.
- Positions: 38-64. Current: 52 · ~76% monthly turnover
- Sleeves: 14 sub-signals. Quality, Alpha Leaders, Momentum, Mean-Reversion, Coiled Spring, Crisis Alpha, Confluence, Trend, Regime…
- Universe: U.S. equities + ETFs. Point-in-time constituent data. No survivorship bias.
- Leverage: None. Long-only, fully funded.
- SD14: 14-stock concentrate. One pick per sleeve. Higher conviction.
- Regime: 4-state HMM. BULL / RECOVERY / BEAR / CRISIS overlay.
- Capacity: $200-500M. Majority mega/large-cap. Multi-day execution.
- Current top 10 holdings: 43.4% of the portfolio.

## Signal service

New allocations publish on the 1st trading day each month. CSV/JSON need Pro. This markdown never includes current holdings.

- Live MTD (public): https://www.lopjlb.com/bff/api/sd50/mtd-tracker
- RSS feed (public): https://www.lopjlb.com/feeds/sd50.xml · https://www.lopjlb.com/bff/api/sd50/feed
- CSV / JSON (Pro): https://www.lopjlb.com/bff/api/sd50/allocation.csv · https://www.lopjlb.com/bff/api/sd50/allocation
- CLI: `uv tool install lopjlb` then `lopjlb sd50` (public) / `lopjlb sd50 allocation` (Pro)
- Skill: `npx skills add lopjlb/lopjlb-skill`
- Docs: https://www.lopjlb.com/docs#sd50 · https://www.lopjlb.com/developers · https://www.lopjlb.com/pricing

## Backtest methodology

- 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.

## 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.

Research only. Not investment advice.