18 well‑known investing strategies, from equal weight and momentum to 60/40, trend following and optimized portfolios, tested against the S&P 500 on the same 10‑year window with dividends reinvested.
| Strategy | Return / yr | Volatility | Sharpe | Max drawdown | Years beating S&P |
|---|---|---|---|---|---|
| Magnificent 7, equal weight | +36.5% | 26.3% | 1.25 | −45.7% | 8/9 |
| Nasdaq-100 | +21.5% | 18.8% | 1.03 | −32.6% | 7/9 |
| S&P 500 Growth | +17.8% | 17.2% | 0.92 | −30.5% | 7/9 |
| S&P 500 (buy and hold) | +15.2% | 15.2% | 0.88 | −23.9% | — |
| Max-Sharpe optimized (trailing 36 months) | +13.5% | 13.6% | 0.83 | −30.5% | 3/6 |
| Momentum factor | +16.2% | 18.0% | 0.81 | −30.2% | 5/9 |
| Quality factor | +14.2% | 15.5% | 0.81 | −27.8% | 3/9 |
| Dividend growth | +12.6% | 13.4% | 0.80 | −20.2% | 3/9 |
| 60/40 rebalanced once a year | +9.6% | 10.1% | 0.76 | −20.1% | 2/9 |
| 60/40 stocks and bonds (monthly rebalanced) | +9.5% | 10.1% | 0.75 | −20.0% | 2/9 |
| High-dividend equity | +12.2% | 15.2% | 0.70 | −21.6% | 2/9 |
| S&P 500 Value | +11.4% | 15.2% | 0.66 | −25.3% | 2/9 |
| 10-month moving-average trend filter (≈200-day) | +9.4% | 11.6% | 0.66 | −21.9% | 0/9 |
| Risk parity (inverse volatility) | +8.7% | 10.4% | 0.65 | −23.0% | 2/8 |
| Minimum volatility | +9.4% | 12.2% | 0.63 | −19.1% | 2/9 |
| Equal-weight S&P 500 | +11.5% | 16.5% | 0.62 | −26.7% | 2/9 |
| Small caps (Russell 2000) | +10.4% | 20.7% | 0.48 | −32.3% | 1/9 |
| All-weather-style mix | +5.1% | 9.0% | 0.38 | −21.6% | 1/9 |
| Minimum-variance optimized (trailing 36 months) | +0.7% | 5.9% | −0.27 | −17.1% | 1/6 |
Sorted by Sharpe ratio (return per unit of risk). The highlighted row is the S&P 500.
Across 112 rolling 12‑month windows, investing a lump sum in the S&P 500 on day one ended ahead of spreading the same money over 12 monthly purchases 84.8% of the time, by +7.43% on average. Markets rise more often than they fall, so time in the market usually wins; averaging in mainly buys peace of mind.
Beating the index on raw return and beating it on risk‑adjusted return are different goals. A strategy that matched the S&P 500 with half the drawdown would be a win for most people, because it is easier to hold through a crash. See portfolio optimization: return vs risk.
Backtested (hypothetical) results calculated by Exent from historical ETF prices with dividends reinvested, monthly rebalancing unless stated, and no trading costs, taxes or fees beyond the funds’ own expense ratios. Backtests are not actual trading and have hindsight bias. Past performance does not guarantee future results. Not investment advice.
In Exent's 10-year backtest, 4 of 18 popular strategies beat the S&P 500's annual return and 3 beat its Sharpe ratio. Results depend heavily on the period: over this decade US large-cap growth led the market.
Historically, usually yes: lump sum beat 12-month dollar-cost averaging into the S&P 500 in 84.8% of rolling windows in Exent's data, because markets rise more often than they fall.
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Educational content, not investment advice. Examples are illustrative; past performance does not guarantee future results.