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S&P500 Trading Strategies Based on Algorithms
StrategyBacktesting PerformanceAnnual Returns & DrawdownsEquity Curve DeatiledBacktesting UploadedChart
Alfa Strategy Annual Returns & Drawdowns spx_alfa_profit curve spx_alfa
Beta Strategy annual returns & drawdowns spx_beta_profit curve not continued spx_beta
Gamma Strategy annual returns & drawdowns spx_gamma_profit curve spx_gamma
Zeta Strategy annual returns & drawdowns spx_zeta_profit curve spx_zeta





Sector optimized minimum variance portfolio of S&P500. (Defensive portfolio)



Changes of the weights of the sectors in the portfolio durring the last three quarter. As a percentage

[No canvas support]


Current weights in the portfolio.

Valid For 2024.1Q
Ticker Sector Name Weight ETF Ticker
$IXU UTILITIES SELECT SECTOR INDEX NT 0.233 XLU
$IXT TECHNOLOGY SELECT SECTOR INDEX N 0 XLK
$IXY CONSUMER DISCRETIONARY SELECT SE 0.023 XLY
$IXV HEALTH CARE SELECT SECTOR INDEX 0.25 XLV
$IXE ENERGY SELECT SECTOR INDEX NTR 0 XLE
$IXB MATERIALS SELECT SECTOR INDEX NT 0 XLB
$IXRE REAL ESTATE SELECT SECTOR INDEX 0 XLRE
$IXI INDUSTRIAL SELECT SECTOR INDEX N 0.067 XLI
$IXM FINANCIAL SELECT SECTOR INDEX NT 0 XLF
$IXR CONSUMER STAPLES SELECT SECTOR N 0.25 XLP
$IXC COMMUNICATION SERVICES SELECT SECTOR INDEX 0.178 XLC
UNIT 1


Portfolio allocation for sectors indexes of S&P500 index. The main goal is minimizing the risk of the portfolio. Used approach is the Markowitz Portfolio Theory (MPT). This allocation way emphasis to maximize the expected return and minimize the risk level. According to the theory, every level of the return of the portfolio can be matched to a risk level, depending to the risk aversion of the investor. Our allocation method - based on MPT - seeks that portfolio, where the expected risk is lower than the risk of the market portfolio (S&P500), and the return could excess the expected return of the index.

Portfolió performance downloading.

For these algorithms the minimum lenght of backtesting is fifteen years. E-Mini ES futures contract is assumed for trading, each strategy can be downloaded. Required margin parameters and trading costs are taken into account. The strategies are optimized for the S&P500 index. In case of use of another product representing S&P500, the result may differ from, because of the tracking error.






































































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