Backtest results

19 years of out-of-sample-flavored evidence: February 2007 to February 2026. Through GFC, EU debt crisis, COVID, and the AI rally.

Annualized return

13.71%

vs 8.57% S&P 500

Sharpe ratio

0.73

vs 0.33 benchmark

Annualized alpha

+6.84%

net of beta

Max drawdown

−31.0%

vs −56.8% S&P 500

Cumulative growth of $1

QMJ Enhanced S&P 500

Drawdown profile

Yearly returns (%)

Sub-period performance

A different story in each market regime.

Period	QMJ Return	S&P 500	QMJ Sharpe	QMJ Max DD	Alpha	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: The strategy outperforms in stressed regimes (GFC, COVID, recovery) and slightly underperforms in junk-led rallies (2016-2019 large-tech, 2023-2026 AI). This is the intended quality profile.

Rolling 12-month Sharpe