Quantbase · investment strategy
by Quantbase
During times of crisis, buy into blue chip stocks (within the S&P) that have a strong chance of rebounding stronger than the S&P as a whole. The blue chip stocks are based on value and sentiment factors.
Description from Quantbase
of the return and risk figures:as the source publishes them
What $10,000 would have become, from the strategy's own published history, against the S&P 500 over the same dates. The basis is labelled.
Each rule is quoted word for word from the strategy's own documents.
“It invests in 20 stocks on an equal-weighted basis”
“Stocks are ranked based on quality (margins, turnover, and returns on capital), value (earnings, price/book), growth (EPS, sales), and momentum.”
“undervalued blue-chip stocks”
“checking weekly whether they still meet all prerequisite inclusion conditions”
“where the average spread is above 6.5%”
“rotates into undervalued blue-chip stocks when the High Yield Option-Adjusted Spread averages >= 6.0%”
“This fund uses the high-yield spread signal to detect a crisis”
“focuses on only the universe of stocks within the S&P 500”
1 positions as of 2022-08-03
by the source.
Fitted to 77 returns (composite) from 2023-11-01 to 2026-10-05. An estimate, not holdings: it can't name stocks.
· : 0.98 · Holdings take precedence for verdicts.
Beta to the S&P 500: 0.98 (90%: 0.98 to 0.99)
Compares the stated rules with the holdings (or, where none are published, a mix estimated from returns), using tests fixed before any results were seen.
3.0% of weight in (IVV: 3.0%)
1 fund (SEC N-PORT, as of 2026-06-30) · : SPY via IVV
The holdings on file are more than 120 days old, so there’s no verdict. : 99% · 2022-08-03
0.0% of weight in (SPY: 0%)
The holdings on file are more than 120 days old, so there’s no verdict. : 100% · 2022-08-03
Strategies that share its Fundamental research label, from other sources first, strongest risk-adjusted return first.
Composer Technologies · Composer
Interactive Advisors
How much of what we look for this strategy has, and why anything is missing. Fields that don't apply to it aren't counted.
3 missing · 1 out of date
The text the rules are quoted from, with where it came from.
Defaults to SPY; rotates into undervalued blue-chip stocks when the High Yield Option-Adjusted Spread averages >= 6.0%
This factor-based portfolio focuses on only the universe of stocks within the S&P 500. It invests in 20 stocks on an equal-weighted basis, checking weekly whether they still meet all prerequisite inclusion conditions (and rebalancing if not). Stocks are ranked based on quality (margins, turnover, and returns on capital), value (earnings, price/book), growth (EPS, sales), and momentum. Resulting stocks are then screened for the top 20 value and sentiment (EPS surprise, analyst recommendations) factors. This fund uses the high-yield spread signal to detect a crisis - historically, a crisis can be predicted when the difference in interest rates between low-quality (high yield) bonds and the US Treasury rate is above 6.5%. On the first day of the month after a “crisis month” (where the average spread is above 6.5%), this fund invests in blue chip distressed stocks. In non-crisis times, this fund is invested in the S&P.
This fund uses factors, which are a method to rank stocks based on a certain condition. When we use the value factor, we are ranking all stocks in our investable universe (the S&P stocks in this case) based on how well they match the criteria of that factor, and invest in the ones that match it best.;Investing in blue chip stocks is safer than investing in small or mid-cap stocks, especially in a bear market. While not necessarily as safe as investing in the entire S&P, the majority of studies show that investing in 20 stocks showcases 95 percent of the diversification of the entire index, with less turnover
This strategy relies on the theory that certain factors do better than others, rather than investing in a broad basket of the market as a whole during crises. It also relies on a signal to predict the start of a bear market correctly, two strong assumptions. This strategy invests in fractional shares when available. When not available, it will invest in the nearest (lower) whole number of shares. Please note that this number may be 0 if your investment in this strategy is sufficiently low, meaning our investment strategy advertised returns will be different from your returns.
During times of crisis, buy into blue chip stocks (within the S&P) that have a strong chance of rebounding stronger than the S&P as a whole. The blue chip stocks are based on value and sentiment factors.
Every value on file, each labelled with its calculation basis and as-of date.
| Last rebalance date | 2022-05-03 | 2026-10-05 | |
| Rebalance frequency | weekly | 2026-10-05 | |
| Rebalancing (methodology text) | Signal-based |
| Brokerage / custodian | Alpaca | 2026-10-05 | |
| Management / advisory fee | 1.00% |
| Metrics calculated through | 2026-10-05 | 2026-10-05 |
| Program in the firm's Form ADV brochure | url: https://files.adviserinfo.sec.gov/IAPD/Content/Common/crd_iapd_Brochure.aspx?BRCHR_VRSN_ID=1043543 · name: Depressed Blue Chips Credit-Spread Rotation · covers: 1 · source_key: quantbase_surmount|6 · original_name: Depressed Blue Chips |
| Correlation to SPY (Quantbase data field) (basis not stated) | 0.92 | 2026-10-05 | |
| Correlation to SPY (full history) (client composite) | 0.92 | 2026-10-05 |
| Annual return (Quantbase data field) (basis not stated) | 17.72% | 2026-10-05 | |
| Backtest end date (Quantbase data field) | 2022-08-01 | 2026-10-05 | |
| Return since chart start (cumulative) (client composite) | 72.59% | 2026-10-05 | |
| Return, rolling 1 year (client composite) | 10.68% | 2026-10-05 |
| Daily volatility over the chart range (client composite) | 0.82% | 2026-10-05 | |
| Max drawdown over the chart range (client composite) | -18.87% | 2026-10-05 | |
| Monthly volatility over the chart range (client composite) | 4.04% | 2026-10-05 | |
| Sharpe ratio from daily returns over the chart range (client composite) | 0.92 | 2026-10-05 | |
| Volatility over the chart range, annualized from daily (×√252) (client composite) | 13.02% | 2026-10-05 |
| Qualitative risk score (Quantbase data field) | 3.50 | 2026-10-05 | |
| Risk score 0-5 (Quantbase) | 2.71 | 2026-10-05 |
| Experience minimum: bonds | 0 | 2026-10-05 | |
| Experience minimum: crypto | 0 | 2026-10-05 | |
| Experience minimum: equity | 0 | 2026-10-05 | |
| Experience minimum: leverage | 0 | 2026-10-05 | |
| Experience minimum: options | 0 | 2026-10-05 |
Collective2
Quantbase · Surmount
