My Actual Portfolio REAL MONEY
All strategies combined — this is how I invest my own capital.
Backtest Jan 2002 – Nov 2022
→Real Money Dec 2022 → present
Real MoneyDec 2022 – Present · 41 months
+156.3%
Return
SPY: +90.6%
31.7%
Annualized
SPY: 20.8%
-8.4%
Max DD
SPY: -18.8%
2.39
Sharpe
SPY: 1.44
4.17
Sortino
0.74
Corr SPY
Real capital, real broker, real execution. All strategies combined — this is how I invest my own capital.
+20.9%
Full Period Ann.
S&P 500: +10%
-13.4%
Full Period Max DD
S&P 500: −55%
1.81
Full Period Sharpe
24 yrs
Track Record
Backtest + Live
4
Strategies Combined
Weekly
Rebalance
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 | +7.81% | +7.97% | -0.16% | ● LIVE |
| 3 Months | +12.47% | +7.35% | +5.12% | ● LIVE |
| 6 Months | +28.61% | +9.08% | +19.53% | ● LIVE |
| YTD | +24.90% | +8.93% | +15.98% | ● LIVE |
| 1 Year | +59.92% | +28.52% | +31.40% | ● LIVE |
| 2 Years | +105% | +45.67% | +59.55% | ● LIVE |
| 3 Years | +160% | +86.78% | +73.19% | ● LIVE |
| 5 Years | +221% | +91.48% | +129% | mixed |
| 10 Years | +814% | +322% | +492% | mixed |
| 15 Years | +1,420% | +619% | +801% | mixed |
| Since Inception | +9,997% | +908% | +9,089% | 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 2002 – Jan 2004 | -32.97% | -11.62% | 668 days | 173 days |
| 2 | Oct 2007 – Aug 2012 | -55.19% | -13.39% | 1773 days | 476 days |
| 3 | Sep 2018 – Apr 2019 | -19.35% | -9.92% | 204 days | 132 days |
| 4 | Feb 2020 – Aug 2020 | -33.72% | -7.69% | 173 days | 43 days |
| 5 | Jan 2022 – Dec 2023 | -24.50% | -9.12% | 709 days | 168 days |
| 6 | Feb 2025 – Jun 2025 | -18.76% | -8.25% | 127 days | 63 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* | +24.90% | +8.93% | +15.97% | ● LIVE |
| 2025 | +43.15% | +17.72% | +25.43% | ● LIVE |
| 2024 | +24.10% | +24.89% | -0.79% | ● LIVE |
| 2023 | +18.00% | +26.18% | -8.18% | ● LIVE |
| 2022 | +11.71% | -18.65% | +30.36% | |
| 2021 | +32.34% | +28.73% | +3.61% | |
| 2020 | +38.66% | +18.33% | +20.33% | |
| 2019 | +18.80% | +31.22% | -12.42% | |
| 2018 | +3.17% | -4.57% | +7.74% | |
| 2017 | +15.34% | +21.70% | -6.36% | |
| 2016 | +26.03% | +12.00% | +14.03% | |
| 2015 | +3.77% | +1.23% | +2.54% | |
| 2014 | +16.55% | +13.47% | +3.08% | |
| 2013 | +25.05% | +32.31% | -7.26% | |
| 2012 | +14.52% | +15.99% | -1.47% | |
| 2011 | -6.40% | +0.85% | -7.25% | |
| 2010 | +19.40% | +15.06% | +4.34% | |
| 2009 | +49.52% | +26.35% | +23.17% | |
| 2008 | +23.35% | -36.80% | +60.15% | |
| 2007 | +14.08% | +5.15% | +8.93% | |
| 2006 | +22.76% | +15.84% | +6.92% | |
| 2005 | +12.65% | +5.33% | +7.32% | |
| 2004 | +16.60% | +10.71% | +5.89% | |
| 2003 | +38.50% | +28.17% | +10.33% | |
| 2002 | +15.97% | -21.58% | +37.55% |
* 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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