BTS Universal Market Timer Performance — S&P Composite 1500
Return
10.7% vs. 10.6%
Drawdown
5.6 pp shallower
Capital
16.1 pp lower
Executive summary
Across the 1,380 securities with 5-year Standard results, the S&P Composite 1500 cohort shows a small cohort-median return advantage for the Timer alongside materially shallower drawdown, lower capital deployment, lower volatility, and a higher cohort-median Sharpe Ratio.
The Timer had the higher Typical CAGR in 660 securities, tied in 19, and trailed in 701. It had the shallower Typical Max Drawdown in 1,290 of 1,380 securities, lower Typical Capital Deployed in all 1,380, lower Typical Volatility in 1,377, and the higher Typical Sharpe Ratio in 721. The return advantage in the cohort medians is therefore small and not broad across individual securities.
Universe scorecard
All five rows show cohort medians of security-level 5-year Standard Typical results. The last column is the difference of those cohort medians; it is not the median of the security-level paired differences shown in the Breadth section.
| Metric | UMT | Buy & Hold | Difference of cohort medians |
|---|---|---|---|
| CAGR | 10.7% | 10.6% | +0.1 pp |
| Max Drawdown | -45.8% | -51.4% | 5.6 pp shallower |
| Capital Deployed | 83.9% | 100.0% | 16.1 pp lower |
| Volatility | 32.1% | 36.8% | 4.7 pp lower |
| Sharpe Ratio | 0.52 | 0.49 | +0.03 |
Breadth of the effect
Breadth is important evidence because cohort medians can hide concentration. Across the 1,380 securities with 5-year Standard results, the Timer had the higher Typical CAGR in 660, tied in 19, and trailed in 701. It had the shallower Typical Max Drawdown in 1,290, lower Typical Capital Deployed in all 1,380, lower Typical Volatility in 1,377, and the higher Typical Sharpe Ratio in 721. The final column reports the median paired security-level difference, so it need not match the scorecard’s difference of cohort medians.
| Metric | UMT-favorable securities | Cohort share | Median paired difference |
|---|---|---|---|
| CAGR | 660 of 1,380 | 47.8% | -0.1 pp |
| Max Drawdown | 1,290 of 1,380 | 93.5% | 3.4 pp shallower |
| Capital Deployed | 1,380 of 1,380 | 100.0% | 16.1 pp lower |
| Volatility | 1,377 of 1,380 | 99.8% | 3.4 pp lower |
| Sharpe Ratio | 721 of 1,380 | 52.2% | +0.01 |
Where the Timer added the most value
The largest 5-year Standard CAGR advantages were concentrated in a small group of securities. Peloton Interactive led at +29.9 percentage points, followed by Liberty Energy at +28.0, Sunrun at +26.6, Adient at +24.7, and Twilio at +23.0. The largest drawdown improvement was BioLife Solutions at 78.3 percentage points shallower.
Largest CAGR advantages
| Ticker | Security | UMT CAGR | Buy & Hold CAGR | Difference |
|---|---|---|---|---|
| PTON | Peloton Interactive | -14.0% | -43.9% | +29.9 pp |
| LBRT | Liberty Energy | 44.7% | 16.7% | +28.0 pp |
| RUN | Sunrun | 25.0% | -1.6% | +26.6 pp |
| ADNT | Adient | 23.3% | -1.4% | +24.7 pp |
| TWLO | Twilio | 13.2% | -9.8% | +23.0 pp |
Largest Max Drawdown improvements
| Ticker | Security | UMT Max Drawdown | Buy & Hold Max Drawdown | Difference |
|---|---|---|---|---|
| BLFS | BioLife Solutions | -13.3% | -91.6% | 78.3 pp shallower |
| VIAV | Viavi Solutions | -13.4% | -69.4% | 56.0 pp shallower |
| IVT | InvenTrust Properties | -45.8% | -100.0% | 54.2 pp shallower |
| IESC | IES Holdings | -8.7% | -57.8% | 49.1 pp shallower |
| ARR | ARMOUR Residential REIT | -18.5% | -67.1% | 48.6 pp shallower |
Where Buy & Hold had the largest return advantage
Alpha Metallurgical Resources and Core Natural Resources had the largest buy-and-hold CAGR advantages in the 5-year Standard population, each at 22.2 percentage points. SiTime and Tesla followed at 18.9 points, and Vistra at 17.0 points. These are security-level Typical return gaps within the current S&P Composite 1500 cohort.
| Ticker | Security | UMT CAGR | Buy & Hold CAGR | Difference |
|---|---|---|---|---|
| AMR | Alpha Metallurgical Resources | 32.6% | 54.8% | -22.2 pp |
| CNR | Core Natural Resources | 39.5% | 61.7% | -22.2 pp |
| SITM | SiTime | 23.7% | 42.6% | -18.9 pp |
| TSLA | Tesla | 36.8% | 55.7% | -18.9 pp |
| VST | Vistra | 29.9% | 46.9% | -17.0 pp |
How to interpret the trade-off
Aggregation matters. Cohort-median 5-year Standard Typical CAGR was 10.7% for the Timer versus 10.6% for buy-and-hold, yet only 660 of 1,380 securities had a higher Timer CAGR, with 19 ties and 701 lower results. The defensive effect was much broader: 1,290 had a shallower Typical Max Drawdown, all 1,380 had lower Typical Capital Deployed, and 1,377 had lower Typical Volatility.
Capital Deployed measures average daily position exposure. In each rolling window it is the arithmetic mean of daily position exposure. Typical values and cohort medians are calculated as described below. The 83.9% result should therefore not be read as “time in market,” a simple cash allocation, or proof that the Timer was out of the market 16.1% of the time.
The measured 5-year story is a modest cohort-median return edge paired with broad drawdown, volatility, and capital improvements. The paired CAGR breadth shows that this return edge is an aggregation result rather than a majority-security outcome.
Limited-history results
This supplemental section covers the 72 securities with 3-year Limited History results. Their Typical results are medians across eligible rolling 3-year periods and are not pooled with the 1,380-security 5-year Standard population.
| Metric | UMT | Buy & Hold | Difference of cohort medians |
|---|---|---|---|
| CAGR | 11.6% | 7.2% | +4.4 pp |
| Max Drawdown | -40.6% | -53.0% | 12.4 pp shallower |
| Capital Deployed | 62.5% | 100.0% | 37.5 pp lower |
| Volatility | 33.3% | 48.2% | 14.9 pp lower |
| Sharpe Ratio | 0.50 | 0.39 | +0.11 |
| Metric | UMT-favorable securities | Cohort share | Median paired difference |
|---|---|---|---|
| CAGR | 42 of 72 | 58.3% | +2.0 pp |
| Max Drawdown | 69 of 72 | 95.8% | 8.1 pp shallower |
| Capital Deployed | 72 of 72 | 100.0% | 37.5 pp lower |
| Volatility | 72 of 72 | 100.0% | 10.7 pp lower |
| Sharpe Ratio | 43 of 72 | 59.7% | +0.03 |
The 3-year Limited History cohort shows higher cohort-median return and Sharpe alongside broad drawdown, capital, and volatility improvement. All five paired-breadth medians are also Timer-favorable. This section remains supplemental because its 3-year horizon is not pooled with the 5-year Standard population.
Compare UMT Results Security by Security
This report summarizes the current S&P Composite 1500 security cohort as a whole. For ticker-by-ticker Typical historical performance and Trade History, use the BTS Universal Market Timer interface. Available securities and cohorts depend on membership access.
How the results are calculated
Security-level Typical. Standard results use the median result across all eligible rolling 5-year periods, each spanning 60 complete calendar months and advancing one month at a time. Limited History results use the same framework over eligible rolling 3-year periods spanning 36 complete calendar months.
Universe scorecard. The primary scorecard and Breadth section use only the 1,380 securities with 5-year Standard results. The 72 securities with 3-year Limited History results are summarized separately. The 40 Limited History securities without a Typical horizon and 13 No Result securities do not enter either Typical scorecard or breadth calculation.
Matched comparison. For each security, the Timer and the buy-and-hold benchmark begin on the same backtest start, defined as the first eligible Timer BUY. Both use the same rolling-period boundaries. The buy-and-hold benchmark uses the total-return benchmark series specified in BTS Methodology.
Open positions. Open positions remain in performance at market value through June 30, 2026. Positions still open at the cutoff are excluded only from completed-trade counts.
Coverage. This page uses the 1,505 securities in the current S&P Composite 1500 cohort. The four status populations shown at the top reconcile to that total.
Study design. This is a constituent/security-level study, not a backtest of an investable S&P Composite 1500 portfolio. Each security is tested independently, and cohort statistics summarize security-level results. Membership reflects the current S&P Composite 1500 cohort; historical point-in-time membership is not reconstructed.
Continue with Cycle Behavior
This Performance Report answers what repeated UMT trading produced across the current S&P Composite 1500 security cohort. For the empirical behavior of the broader Market Cycle, including how Bottoming, constructive advances, Topping, weakening, position sizing, and retests fit together, continue to BTS Universal Market Timer — Cycle Behavior.
For how to interpret and act on today’s UMT output, see the BTS Universal Market Timer — User Guide.
To compare this cohort with the other published stock studies, see all UMT Performance Reports.