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Home / Performance / Annual reports / 2025
Unlevered trending · Annual report
2025
Systematic trend exposure across the full 2025 calendar.
Annual return
+39.9%
vs. S&P 500: +23.3%
+39.9%
Annual return
−5.7%
Max drawdown
1.39×
Avg exposure
14.1%
Ann. volatility
11 of 12
Positive months
Monthly returns

11 of 12 months finished positive.

Real monthly returns from the 2025 daily backtest equity curve.

Jan
+3.8%
Feb
+0.4%
Mar
-2.2%
Apr
+7.6%
May
+4.0%
Jun
+4.4%
Jul
+1.7%
Aug
+1.0%
Sep
+5.0%
Oct
+7.1%
Nov
+0.1%
Dec
+1.8%
Return intensity:
Low positive
Strong positive
Negative
Cumulative equity · 2025

How the year was built, month by month.

Indexed to 0% at the start of 2025. Real daily equity curve, resampled to monthly.

0% 15% 31% 46% Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec

Cumulative return · Jan–Dec 2025 · Unlevered trending · Real backtest

Market context

What was happening. How the signal responded.

Editorial commentary for 2025 is being finalized and will appear here shortly.

— narrative write-up pending —
Strategy vs. benchmark

2025 vs. the S&P 500.

Sophus Quant · Unlevered
+39.9%
Fully-invested systematic trend exposure, 1.39× average gross.
Annual return
S&P 500
+23.3%
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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