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Home / Performance / Annual reports / 2020
Unlevered trending · Annual report
2020
Systematic trend exposure across the full 2020 calendar.
Annual return
+44.7%
vs. S&P 500: +18.4%
+44.7%
Annual return
−13.6%
Max drawdown
1.37×
Avg exposure
20.6%
Ann. volatility
9 of 12
Positive months
Monthly returns

9 of 12 months finished positive.

Real monthly returns from the 2020 daily backtest equity curve.

Jan
+4.3%
Feb
-0.2%
Mar
-4.0%
Apr
+11.1%
May
-0.4%
Jun
+1.7%
Jul
+5.4%
Aug
+5.4%
Sep
+1.1%
Oct
+1.8%
Nov
+7.3%
Dec
+4.7%
Return intensity:
Low positive
Strong positive
Negative
Cumulative equity · 2020

How the year was built, month by month.

Indexed to 0% at the start of 2020. Real daily equity curve, resampled to monthly.

0% 19% 38% 57% Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec

Cumulative return · Jan–Dec 2020 · Unlevered trending · Real backtest

Market context

What was happening. How the signal responded.

Editorial commentary for 2020 is being finalized and will appear here shortly.

— narrative write-up pending —
Strategy vs. benchmark

2020 vs. the S&P 500.

Sophus Quant · Unlevered
+44.7%
Fully-invested systematic trend exposure, 1.37× average gross.
Annual return
S&P 500
+18.4%
Buy-and-hold benchmark for the same calendar year.
Annual return
All years · Unlevered trending

Select any year to view its annual report.

2014
+11.5%
2015
+10.3%
2016
+33.4%
2017
+24.7%
2018
−6.4%
2019
+32.4%
2020
+44.7%
2021
+25.7%
2022
+32.5%
2023
+45.9%
2024
+34.9%
2025
+39.9%
2026
+11.9%

Twelve years of annual reports. Every trend documented.

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