Performance · Out-of-Sample Walk-Forward Validated
Global Systematic Quant Long / Short
Period 2014/01 — 2026/03 ·
Universe 55 ETFs (Cross-Asset) ·
Style Systematic Quant L/S ·
Rebalance Monthly ·
Observations 147 monthly
Calmar Ratio
3.81
Ann. return / Max DD
% Positive Months
74.1%
Monthly batting avg
Position Win Rate
57.6%
Individual signals
IMPORTANT DISCLOSURE — All performance data shown is derived from out-of-sample
walk-forward validation. No in-sample or simulated data is included. Returns reflect a
theoretical long/short portfolio using proprietary volatility-adjusted conviction sizing. Long and short books each target
50% gross exposure. Actual trading results will differ due to execution costs, market impact,
and slippage. Past performance is not indicative of future results.
SQ Strategy
Ann. Return+18.3%
Ann. Vol8.2%
Sharpe2.24
Calmar3.81
Max DD-4.8%
Best Month+8.3%
Worst Month-4.3%
% Pos. Months74.1%
SPY
Ann. Return+19.5%
Ann. Vol17.6%
Sharpe1.10
Calmar0.58
Max DD-33.4%
Best Month+15.8%
Worst Month-22.0%
% Pos. Months65.3%
QQQ
Ann. Return+27.8%
Ann. Vol22.6%
Sharpe1.23
Calmar0.58
Max DD-47.8%
Best Month+21.7%
Worst Month-18.1%
% Pos. Months65.3%
DIA
Ann. Return+17.9%
Ann. Vol17.3%
Sharpe1.03
Calmar0.55
Max DD-32.5%
Best Month+13.9%
Worst Month-24.8%
% Pos. Months63.9%
IWM
Ann. Return+14.2%
Ann. Vol26.2%
Sharpe0.54
Calmar0.31
Max DD-45.7%
Best Month+24.9%
Worst Month-33.2%
% Pos. Months60.5%
| Year | SQ Strategy | SPY | QQQ | DIA | IWM |
|---|
| 2014 | +10.1% | +9.1% | +11.2% | +7.6% | -2.7% |
| 2015 | +8.9% | -0.7% | +9.5% | -0.1% | -10.2% |
| 2016 | +19.0% | +19.1% | +13.9% | +29.3% | +33.5% |
| 2017 | +14.5% | +33.2% | +56.8% | +44.8% | +11.9% |
| 2018 | +21.1% | -5.6% | +1.5% | -4.4% | -10.8% |
| 2019 | +25.8% | +53.3% | +77.1% | +43.7% | +43.4% |
| 2020 | +21.1% | +31.1% | +74.8% | +22.9% | +37.5% |
| 2021 | +14.7% | +49.8% | +39.4% | +43.5% | +12.6% |
| 2022 | +42.1% | -27.2% | -44.2% | -12.5% | -26.7% |
| 2023 | +17.6% | +37.5% | +90.7% | +20.2% | +10.0% |
| 2024 | +9.7% | +45.8% | +58.5% | +22.2% | +26.5% |
| 2025 | +31.4% | +26.5% | +36.6% | +20.2% | +35.7% |
| 2026 | +6.5% | -2.5% | -2.3% | -3.0% | +2.7% |
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Full Year |
|---|
| 2014 | +3.9 | -0.6 | -2.4 | +1.8 | -0.8 | -2.9 | +2.4 | +1.3 | -0.6 | +5.2 | +1.5 | +1.1 | +10.1% |
| 2015 | +1.3 | +1.3 | +0.7 | +1.1 | +0.9 | +0.5 | +5.8 | -1.7 | -1.3 | +4.2 | -0.3 | -3.6 | +8.9% |
| 2016 | +7.0 | -1.1 | -0.0 | +0.7 | -0.7 | -0.5 | +3.9 | -0.9 | -1.2 | +4.7 | +5.4 | +0.7 | +19.0% |
| 2017 | +2.3 | +0.7 | +0.5 | +3.2 | +1.3 | +1.3 | +1.8 | +0.4 | +0.1 | +2.5 | -0.3 | -0.2 | +14.5% |
| 2018 | +1.6 | +0.8 | +1.5 | +3.6 | +0.6 | +1.4 | +4.1 | +0.0 | +1.0 | +3.6 | +0.6 | +0.6 | +21.1% |
| 2019 | +3.9 | +2.6 | +1.2 | +2.0 | +1.1 | -0.4 | +7.1 | +1.0 | +1.8 | +3.0 | +0.9 | -0.7 | +25.8% |
| 2020 | +3.8 | -1.3 | +1.0 | +8.3 | +3.5 | -0.3 | +4.3 | +0.2 | -0.1 | +1.1 | +2.6 | -3.2 | +21.1% |
| 2021 | +4.5 | +1.1 | +0.7 | +2.8 | +0.5 | -1.2 | +5.5 | -1.4 | -3.1 | +3.8 | +3.3 | -2.2 | +14.7% |
| 2022 | +5.8 | +3.4 | +0.3 | +3.5 | +1.9 | +5.2 | +5.1 | +1.1 | +2.4 | +4.9 | +2.0 | +0.3 | +42.1% |
| 2023 | +6.1 | -0.0 | +1.6 | +0.3 | +1.0 | +0.2 | +1.8 | +2.9 | +1.6 | +1.7 | -0.5 | -0.1 | +17.6% |
| 2024 | +5.1 | -1.5 | +6.0 | +2.4 | -0.3 | -4.3 | +6.1 | -0.5 | +0.5 | +0.4 | -3.4 | -0.5 | +9.7% |
| 2025 | +2.8 | +0.8 | -1.5 | +3.5 | +4.7 | +4.2 | +2.9 | +2.8 | +2.3 | +2.2 | -1.0 | +4.1 | +31.4% |
| 2026 | +4.0 | +1.4 | +1.0 | — | — | — | — | — | — | — | — | — | +6.5% |
SQ Research LLC · Global Systematic Quant Long/Short ·
Out-of-sample period: 2014/01 — 2026/03 · 147 monthly observations
Systematic research publisher · Publisher exemption under Investment Advisers Act ·
Not a registered investment adviser · For informational purposes only