S&P 500 Equal Weight (survivorship-free)

Point-in-time · survivorship-free

Holds the point-in-time S&P 500 constituents in equal weight, rebalanced annually. The universe is the index membership as it actually stood on each rebalance date, so companies that later left the index are included for the periods they belonged.

Total return

529.2%

CAGR

13.1%

Max drawdown

-38.9%

Volatility

17.8%

Performance graphs

Growth of $10,000 versus the same amount invested in SPY.

What was tested

This backtest simulates equal-weight sp500 constituents, annual rebalance, starting with $10,000 and running from 2010-01-04 to 2024-12-31. At each annual rebalance the universe is reconstructed from the SP500 constituents as they stood on that date, then held equal-weight until the next rebalance.

Parameters

Universe: SP500 point-in-time constituents
Method: Equal-weight SP500 constituents, annual rebalance
Period: 2010-01-04 to 2024-12-31
Initial capital: $10,000
Rebalances: 15

Data limitations

This backtest is point-in-time: the index universe is reconstructed from historical constituent membership (removing survivorship bias) and any fundamentals used for selection are limited to what had been filed as of each rebalance date (removing look-ahead bias). The residual limitation is adjusted price history: some tickers that were delisted during the period have incomplete free EOD coverage and are dropped from the periods they lack prices, which can still bias results. Results exclude taxes, fees, slippage, and dividends.

Dropped for missing price history (232): AABA, ABC, ABMD, ACS, ADS, ADT, AGN, AKS, ALTR, ALXN, ANRZQ, ANSS, ANTM, APC, APOL, ARG, ARNC, ATGE, ATVI, AVP, AYE, BCR, BDK, BEAM, BHGE, BIG, BJS, BK, BLL, BMC, BNI, BRCM, BTUUQ, BXLT, CA, CAM, CBE, CBS, CCE, CDAY, CEG, CELG, CEPH, CERN, CFN, CHK, CMA, COG, COL, COV, CPGX, CPWR, CTL, CTLT, CTRA, CTXS, CVC, CVH, CXO, DELL, DF, DFS, DISCA, DISCK, DISH, DNB, DNR, DO, DOW, DRE, DTV, DWDP, EKDKQ, EMC, ENDP, ESV, ETFC, FB, FBHS, FDO, FI, FII, FL, FLIR, FLT, FOX, FOXA, FRC, FRX, FTR, GAS, GGP, GMCR, GPS, GR, HAR, HBI, HCBK, HCP, HES, HFC, HNZ, HOLX, HOT, HRS, HSH, HSP, HUBB, IGT, INFO, IPG, IR, JAVA, JCP, JEC, JNPR, JNS, JOY, JWN, K, KORS, KRFT, KSU, LB, LIFE, LLL, LLTC, LM, LO, LSI, LVLT, LXK, MDP, MEE, MFE, MHS, MI, MIL, MJN, MMC, MMI, MNK, MON, MRO, MWV, MWW, MXIM, MYL, NBL, NE, NFX, NLOK, NLSN, NOVL, NSM, NVLS, NVR, NYX, ODP, PARA, PBCT, PBG, PCL, PCP, PDCO, PEAK, PETM, PGN, PKI, PLL, POM, PTV, PX, PXD, Q, QEP, QLGC, RAI, RDC, RE, RHT, RRD, RSHCQ, RTN, RX, S, SBNY, SCG, SE, SEE, SHLD, SIAL, SII, SIVB, SNDK, SNI, SPLS, SRCL, STI, STJ, STR, SUN, SUNEQ, SWN, SWY, SYMC, TE, TEG, TGNA, TIE, TIF, TMK, TSS, TWC, TWTR, UTX, VAR, VIAB, VIAC, WBA, WCG, WFM, WIN, WLTW, WPX, WRK, WYND, X, XEC, XL, XLNX, XTO