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Home / Performance / Annual reports / 2026
Unlevered trending · Annual report
2026
Systematic trend exposure across the full 2026 (partial year, Jan–Mar) calendar.
Annual return
+11.9%
vs. S&P 500: +8.1%
+11.9%
Annual return
−4.5%
Max drawdown
1.50×
Avg exposure
13.2%
Ann. volatility
5 of 7
Positive months
Monthly returns

5 of 7 months finished positive.

Real monthly returns from the 2026 daily backtest equity curve.

Jan
+4.0%
Feb
+1.3%
Mar
-0.5%
Apr
+2.1%
May
-1.1%
Jun
+5.7%
Jul
+0.1%
Return intensity:
Low positive
Strong positive
Negative
Cumulative equity · 2026

How the year was built, month by month.

Indexed to 0% at the start of 2026. Real daily equity curve, resampled to monthly.

0% 8% 15% 23% Jan Feb Mar Apr May Jun Jul

Cumulative return · Jan–Jul 2026 · Unlevered trending · Real backtest

Market context

What was happening. How the signal responded.

Editorial commentary for 2026 is being finalized and will appear here shortly.

— narrative write-up pending —
Strategy vs. benchmark

2026 vs. the S&P 500.

Sophus Quant · Unlevered
+11.9%
Fully-invested systematic trend exposure, 1.50× average gross.
Annual return
S&P 500
+8.1%
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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