Backtest results
19 years of out-of-sample-flavored evidence
February 2007 to February 2026. Through the Global Financial Crisis, EU debt crisis, COVID-19 crash, and the AI rally.
Thesis backtest — frozen at Feb 2026
Live forward test — extends the chart every month
Annualized return
13.71%
vs 8.57% S&P 500
Sharpe ratio
0.73
vs 0.33 benchmark
Annualized alpha
+4.91%
Fama-French 4-factor
Max drawdown
−31.0%
vs −56.8% S&P 500
Cumulative growth of $100
Log scale. Crisis periods shaded.
Leversens S&P 500 Live period
Drawdown profile
How deep each strategy fell from its peak.
Leversens S&P 500
2008-2009 — Subprime / GFC
2020 — COVID-19 crash
Live period
Yearly returns (%)
Side-by-side comparison.
Monthly returns distribution
Histogram of all monthly returns since 2007. Mean — · σ —.
Rolling 12-month Sharpe
How risk-adjusted return evolved over time.
Sub-period performance
A different story in each market regime. Returns and alpha are annualised (average per year over the period, not cumulative). Sharpe and Beta annualised by convention.
| Period | Leversens ann. return | S&P 500 ann. return | Sharpe | Max DD | Alpha annualised | Beta |
|---|---|---|---|---|---|---|
| 2007-2010 GFC | +12.90% | −3.36% | 0.57 | −31.0% | +12.87% | 0.57 |
| 2011-2015 Recovery | +19.78% | +10.22% | 1.14 | −18.8% | +9.79% | 0.84 |
| 2016-2019 Bull | +10.11% | +12.15% | 0.66 | −19.2% | +0.50% | 0.77 |
| 2020-2022 COVID + Inflation | +10.82% | +5.92% | 0.45 | −24.4% | +5.88% | 0.62 |
| 2023-2026 AI rally | +12.76% | +20.41% | 0.84 | −11.4% | −0.55% | 0.64 |
Reading guide: Quality outperforms in stressed regimes
(GFC, COVID, recovery), slightly underperforms in junk-led rallies
(2016-2019 large-tech, 2023-2026 AI). This is the intended profile.