Max-Sharpe optimized (trailing 36 months) against the S&P 500 from Jul 2019 to Sep 2026: returns, volatility, Sharpe and Sortino ratios, drawdowns, the COVID crash and 2022, year by year.
From Jul 2019 to Sep 2026, max-sharpe optimized (trailing 36 months) returned +13.5% a year against +15.7% for the S&P 500, with volatility of 13.6% against 16.3%. It lagged the S&P 500 on both raw and risk-adjusted return over this period.
| Metric | Max-Sharpe optimized (trailing 36 months) | S&P 500 |
|---|---|---|
| Annual return (CAGR) | +13.5% | +15.7% |
| Volatility | 13.6% | 16.3% |
| Sharpe ratio | 0.83 | 0.83 |
| Sortino ratio | 1.31 | 1.34 |
| Max drawdown (month-end) | −30.5% | −23.9% |
| COVID crash (Feb–Mar 2020) | −1.4% | −19.4% |
| 2022 | −27.8% | −18.2% |
| Calendar years beating the S&P 500 | 3 of 6 | — |
| Correlation with the S&P 500 | 0.71 | 1.00 |
| Year | Max-Sharpe optimized (trailing 36 months) | S&P 500 | Difference |
|---|---|---|---|
| 2026 (YTD) | +7.1% | +12.1% | −5.0% |
| 2025 | +50.0% | +17.7% | +32.3% |
| 2024 | +28.3% | +24.9% | +3.4% |
| 2023 | +26.0% | +26.2% | −0.2% |
| 2022 | −27.8% | −18.2% | −9.6% |
| 2021 | +1.6% | +28.7% | −27.1% |
| 2020 | +24.3% | +18.3% | +6.0% |
| End of | Max-Sharpe optimized (trailing 36 months) |
|---|---|
| 2019 | $10,601 |
| 2020 | $13,172 |
| 2021 | $13,380 |
| 2022 | $9,655 |
| 2023 | $12,161 |
| 2024 | $15,599 |
| 2025 | $23,395 |
| Sep 2026 | $25,062 |
Holdings: SPY / QQQ / IWM / TLT / GLD / AGG. Each month, search long-only weights in 10% steps across SPY, QQQ, IWM, TLT, GLD and AGG for the mix with the highest Sharpe ratio over the previous 36 months, then hold it for one month.
Ten years is one market cycle dominated by US large‑cap growth, so results for value, small caps and international‑style tilts can look very different over other periods. Compare every strategy side by side on the strategies page, or read why beating the S&P 500 is so hard.
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 backtest from Jul 2019 to Sep 2026, max-sharpe optimized (trailing 36 months) returned +13.5% a year versus +15.7% for the S&P 500, with a Sharpe ratio of 0.83 versus 0.83. It lagged the S&P 500 on both raw and risk-adjusted return over this period. Results over other periods can differ.
It returned −27.8% in 2022, when the S&P 500 returned −18.2%.
Exent measures your portfolio against a risk-matched benchmark, shows its Sharpe ratio, drawdowns and crash exposure, and where it sits on the efficient frontier.
Educational content, not investment advice. Examples are illustrative; past performance does not guarantee future results.