Small Cap — Conservative SMALL CAP
Small-cap stocks with a four-component risk system. Strongest risk-adjusted performance.
Backtest Jan 1999 – Jul 2023
→OOS Paper Jul 2023 – Jun 2024
→Real Money Jun 2024 → present
OOS Paper TradingJul 2023 – Jun 2024 · 10 months
+13.9%
Return
16.9%
Annualized
-2.2%
Max DD
SPY: -10.0%
Parameters frozen. Next-day avg prices, commissions & slippage included.
Real MoneyJun 2024 – Present · 22 months
+51.8%
Return
SPY: +30.0%
25.5%
Annualized
SPY: 15.4%
-4.4%
Max DD
SPY: -18.8%
2.59
Sharpe
SPY: 0.89
Real capital, real broker, real execution.
+16.2%
ANN. RETURN
S&P 500: +8.4%
-9.5%
MAX DRAWDOWN
S&P 500: −55%
1.91
SHARPE RATIO
2.59
LIVE SHARPE
S&P 500: 0.89
27 yrs
TRACK RECORD
51.8%
LIVE RETURN
22 months
Equity Curve (log scale)
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Backtest
OOS Paper
Real Money
S&P 500
Performance by Period
| Period | Strategy | S&P 500 | Alpha | |
|---|---|---|---|---|
| 1 Month | +0.30% | +4.08% | -3.78% | ● LIVE |
| 3 Months | +5.13% | +0.87% | +4.26% | ● LIVE |
| 6 Months | +13.46% | +5.46% | +8.00% | ● LIVE |
| YTD | +9.59% | +2.11% | +7.48% | ● LIVE |
| 1 Year | +29.64% | +30.29% | -0.65% | ● LIVE |
| 3 Years | +79.30% | +74.96% | +4.34% | mixed |
| 5 Years | +120% | +80.71% | +39.22% | mixed |
| 10 Years | +409% | +293% | +116% | mixed |
| 15 Years | +713% | +589% | +124% | mixed |
| Since Inception | +5,917% | +806% | +5,110% | mixed |
● LIVE = period falls entirely within the real money period (Jun 2024 – present). Mixed = includes backtest data.
Drawdown Analysis
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Strategy Drawdown
S&P 500 Drawdown
S&P 500 Crises — Strategy Comparison
| # | Crisis Period | S&P 500 DD | Strategy DD | S&P 500 DD Days | Strategy DD Days |
|---|---|---|---|---|---|
| 1 | Mar 2000 – Oct 2006 | -47.52% | -7.55% | 2407 days | 143 days |
| 2 | Oct 2007 – Aug 2012 | -55.19% | -9.51% | 1773 days | 362 days |
| 3 | Sep 2018 – Apr 2019 | -19.35% | -7.09% | 204 days | 118 days |
| 4 | Feb 2020 – Aug 2020 | -33.72% | -5.73% | 173 days | 36 days |
| 5 | Jan 2022 – Dec 2023 | -24.50% | -4.88% | 709 days | 160 days |
| 6 | Feb 2025 – Jun 2025 | -18.76% | -4.08% | 127 days | 48 days |
Table shows every major S&P 500 crisis (>10% drawdown from ATH) since 2000, and how the strategy performed during the same period. In 6 out of 7 crises, the strategy fell dramatically less and recovered faster. The only exception is Jul 2015 where the strategy's recovery took longer.
Calendar Year Returns
| Year | Strategy | S&P 500 | Alpha | |
|---|---|---|---|---|
| 2026* | +9.59% | +2.11% | +7.48% | ● LIVE |
| 2025 | +26.27% | +17.72% | +8.55% | ● LIVE |
| 2024 | +15.51% | +24.89% | -9.38% | ● LIVE |
| 2023 | +13.32% | +26.18% | -12.86% | |
| 2022 | +9.96% | -18.65% | +28.61% | |
| 2021 | +23.51% | +28.73% | -5.22% | |
| 2020 | +32.92% | +18.33% | +14.59% | |
| 2019 | +15.90% | +31.22% | -15.32% | |
| 2018 | +6.14% | -4.57% | +10.71% | |
| 2017 | +14.92% | +21.70% | -6.78% | |
| 2016 | +15.28% | +12.00% | +3.28% | |
| 2015 | +3.78% | +1.23% | +2.55% | |
| 2014 | +12.04% | +13.47% | -1.43% | |
| 2013 | +24.66% | +32.30% | -7.64% | |
| 2012 | +11.43% | +15.99% | -4.56% | |
| 2011 | -2.60% | +0.85% | -3.45% | |
| 2010 | +16.10% | +15.06% | +1.04% | |
| 2009 | +37.96% | +26.35% | +11.61% | |
| 2008 | +29.38% | -36.79% | +66.17% | |
| 2007 | +9.06% | +5.15% | +3.91% | |
| 2006 | +18.83% | +15.84% | +2.99% | |
| 2005 | +6.82% | +5.32% | +1.50% | |
| 2004 | +13.71% | +10.70% | +3.01% | |
| 2003 | +26.49% | +28.18% | -1.69% | |
| 2002 | +23.34% | -21.59% | +44.93% | |
| 2001 | +14.13% | -11.75% | +25.88% | |
| 2000* | +17.51% | -8.85% | +26.36% | |
| 1999 | +5.88% | +20.39% | -14.51% |
* Partial year. ● LIVE = real money. ● OOS = paper trading with frozen parameters. Unmarked rows = backtest. Strategy was positive while S&P 500 negative in 2001, 2002, 2008, 2018, 2022.
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