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Home / Performance / Annual reports / 2023
Unlevered trending · Annual report
2023
Systematic trend exposure across the full 2023 calendar.
Annual return
+45.9%
vs. S&P 500: +26.3%
+45.9%
Annual return
−4.9%
Max drawdown
1.41×
Avg exposure
12.6%
Ann. volatility
9 of 12
Positive months
Monthly returns

9 of 12 months finished positive.

Real monthly returns from the 2023 daily backtest equity curve.

Jan
+8.9%
Feb
-0.7%
Mar
+4.4%
Apr
+0.2%
May
+7.5%
Jun
+1.3%
Jul
+7.1%
Aug
+1.1%
Sep
+1.8%
Oct
+11.0%
Nov
-1.1%
Dec
-2.1%
Return intensity:
Low positive
Strong positive
Negative
Cumulative equity · 2023

How the year was built, month by month.

Indexed to 0% at the start of 2023. Real daily equity curve, resampled to monthly.

0% 23% 46% 69% Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec

Cumulative return · Jan–Dec 2023 · Unlevered trending · Real backtest

Market context

What was happening. How the signal responded.

Editorial commentary for 2023 is being finalized and will appear here shortly.

— narrative write-up pending —
Strategy vs. benchmark

2023 vs. the S&P 500.

Sophus Quant · Unlevered
+45.9%
Fully-invested systematic trend exposure, 1.41× average gross.
Annual return
S&P 500
+26.3%
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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