Small Cap — Growth SMALL CAP
Small-cap stocks, aggressive alpha generation. The highest-returning strategy, with drawdowns kept in check.
Backtest Jan 2000 – Jul 2023
→OOS Paper Jul 2023 – Jun 2024
→Real Money Jun 2024 → present
OOS Paper TradingJul 2023 – Jun 2024 · 10 months
+19.3%
Return
23.6%
Annualized
-2.9%
Max DD
SPY: -10.0%
Parameters frozen. Next-day avg prices, commissions & slippage included.
Real MoneyJun 2024 – Present · 29 months
+77.9%
Return
SPY: +42.2%
26.9%
Annualized
SPY: 15.7%
-7.5%
Max DD
SPY: -18.8%
2.06
Sharpe
SPY: 1.00
Real capital, real broker, real execution.
+21.9%
ANN. RETURN
S&P 500: +8.2%
-12.3%
MAX DRAWDOWN
S&P 500: −55%
1.91
SHARPE RATIO
2.06
LIVE SHARPE
S&P 500: 1.00
27 yrs
TRACK RECORD
77.9%
LIVE RETURN
29 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 | -0.42% | -3.04% | +2.62% | ● LIVE |
| 3 Months | +0.36% | -2.79% | +3.14% | ● LIVE |
| 6 Months | +3.86% | +2.14% | +1.72% | ● LIVE |
| YTD | +17.43% | +11.69% | +5.74% | ● LIVE |
| 1 Year | +20.25% | +13.67% | +6.58% | ● LIVE |
| 3 Years | +103% | +78.03% | +24.48% | mixed |
| 5 Years | +151% | +72.87% | +77.89% | mixed |
| 10 Years | +614% | +309% | +305% | mixed |
| 15 Years | +1,367% | +682% | +685% | mixed |
| Since Inception | +20,240% | +731% | +19,509% | 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 | -47.51% | -8.40% | 2407 days | 143 days |
| 2 | Oct 2007 – Aug 2012 | -55.19% | -11.81% | 1773 days | 347 days |
| 3 | Sep 2018 – Apr 2019 | -19.35% | -9.62% | 204 days | 132 days |
| 4 | Feb 2020 – Aug 2020 | -33.72% | -12.14% | 173 days | 44 days |
| 5 | Jan 2022 – Dec 2023 | -24.50% | -7.63% | 709 days | 185 days |
| 6 | Feb 2025 – Jun 2025 | -18.75% | -7.06% | 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* | +17.43% | +11.69% | +5.74% | ● LIVE |
| 2025 | +35.36% | +17.72% | +17.64% | ● LIVE |
| 2024 | +18.65% | +24.89% | -6.24% | ● LIVE |
| 2023 | +20.03% | +26.18% | -6.15% | |
| 2022 | +12.93% | -18.65% | +31.58% | |
| 2021 | +33.05% | +28.73% | +4.32% | |
| 2020 | +37.33% | +18.33% | +19.00% | |
| 2019 | +16.16% | +31.22% | -15.06% | |
| 2018 | +5.68% | -4.57% | +10.25% | |
| 2017 | +17.47% | +21.70% | -4.23% | |
| 2016 | +22.63% | +12.00% | +10.63% | |
| 2015 | +6.40% | +1.23% | +5.17% | |
| 2014 | +13.64% | +13.47% | +0.17% | |
| 2013 | +32.34% | +32.31% | +0.03% | |
| 2012 | +15.80% | +15.98% | -0.18% | |
| 2011 | -5.71% | +0.86% | -6.57% | |
| 2010 | +25.50% | +15.07% | +10.43% | |
| 2009 | +57.24% | +26.35% | +30.89% | |
| 2008 | +26.70% | -36.80% | +63.50% | |
| 2007 | +9.02% | +5.15% | +3.87% | |
| 2006 | +29.12% | +15.84% | +13.28% | |
| 2005 | +10.63% | +5.32% | +5.31% | |
| 2004 | +21.04% | +10.70% | +10.34% | |
| 2003 | +45.06% | +28.19% | +16.87% | |
| 2002 | +33.84% | -21.58% | +55.42% | |
| 2001 | +29.18% | -11.76% | +40.94% | |
| 2000* | +19.28% | -8.85% | +28.13% |
* 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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