BTS Universal Market Timer Performance — S&P 500
Return
12.1% vs. 12.5%
Drawdown
4.6 pp shallower
Capital
17.4 pp lower
Executive summary
Across the 483 securities with 5-year Standard results, the S&P 500 shows a modest cohort-median return shortfall for the Timer alongside broad improvements in drawdown, capital deployment, volatility, and a slightly higher cohort-median Sharpe Ratio.
The Timer had the higher Typical CAGR in 176 securities, tied in 4, and trailed in 303. It had the shallower Typical Max Drawdown in 454 of 483 securities, lower Typical Capital Deployed in all 483, lower Typical Volatility in all 483, and the higher Typical Sharpe Ratio in 249. The defensive effect was broad even though buy-and-hold led the return comparison for most 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 | 12.1% | 12.5% | -0.4 pp |
| Max Drawdown | -39.9% | -44.5% | 4.6 pp shallower |
| Capital Deployed | 82.6% | 100.0% | 17.4 pp lower |
| Volatility | 28.1% | 31.3% | 3.2 pp lower |
| Sharpe Ratio | 0.59 | 0.56 | +0.03 |
Breadth of the effect
Breadth is important evidence because cohort medians can hide concentration. Across the 483 securities with 5-year Standard results, the Timer had the higher Typical CAGR in 176, tied in 4, and trailed in 303. It had the shallower Typical Max Drawdown in 454, lower Typical Capital Deployed in all 483, lower Typical Volatility in all 483, and the higher Typical Sharpe Ratio in 249. 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 | 176 of 483 | 36.4% | -0.8 pp |
| Max Drawdown | 454 of 483 | 94.0% | 3.6 pp shallower |
| Capital Deployed | 483 of 483 | 100.0% | 17.4 pp lower |
| Volatility | 483 of 483 | 100.0% | 3.1 pp lower |
| Sharpe Ratio | 249 of 483 | 51.6% | +0.01 |
Where the Timer added the most value
Vertiv Holdings is the clearest overlap between the return and drawdown leaders. Its 5-year Standard Typical CAGR was 74.0% versus 56.8% for buy-and-hold, a +17.2 percentage-point advantage, while its Typical Max Drawdown improved from -71.2% to -40.4%.
Largest CAGR advantages
| Ticker | Security | UMT CAGR | Buy & Hold CAGR | Difference |
|---|---|---|---|---|
| VRT | Vertiv Holdings | 74.0% | 56.8% | +17.2 pp |
| TTD | Trade Desk | 48.4% | 33.7% | +14.7 pp |
| SYF | Synchrony Financial | 22.6% | 10.1% | +12.5 pp |
| MRNA | Moderna | -8.2% | -19.1% | +10.9 pp |
| VEEV | Veeva Systems | 29.7% | 20.3% | +9.4 pp |
Largest Max Drawdown improvements
| Ticker | Security | UMT Max Drawdown | Buy & Hold Max Drawdown | Difference |
|---|---|---|---|---|
| UBER | Uber | -35.2% | -66.3% | 31.1 pp shallower |
| VRT | Vertiv Holdings | -40.4% | -71.2% | 30.8 pp shallower |
| NFLX | Netflix | -45.5% | -75.9% | 30.4 pp shallower |
| AIG | American International Group | -28.4% | -56.9% | 28.5 pp shallower |
| GNRC | Generac Holdings | -31.8% | -56.1% | 24.3 pp shallower |
Where Buy & Hold had the largest return advantage
Tesla had the largest buy-and-hold CAGR advantage in the 5-year Standard population at 18.9 percentage points, followed by Vistra at 17.0 and Broadcom at 10.6. Amazon and MSCI were tied at a 6.9-point gap, so both are shown.
| Ticker | Security | UMT CAGR | Buy & Hold CAGR | Difference |
|---|---|---|---|---|
| TSLA | Tesla | 36.8% | 55.7% | -18.9 pp |
| VST | Vistra | 29.9% | 46.9% | -17.0 pp |
| AVGO | Broadcom | 28.3% | 38.9% | -10.6 pp |
| AMZN | Amazon | 21.1% | 28.0% | -6.9 pp |
| MSCI | MSCI | 20.7% | 27.6% | -6.9 pp |
How to interpret the trade-off
Aggregation matters. Cohort-median 5-year Standard Typical CAGR was 12.1% for the Timer versus 12.5% for buy-and-hold. The Timer led on CAGR in 176 of 483 securities, tied in 4, and trailed in 303. The defensive effect was much broader: 454 had a shallower Typical Max Drawdown, all 483 had lower Typical Capital Deployed, and all 483 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 82.6% result should therefore not be read as “time in market,” a simple cash allocation, or proof that the Timer was out of the market 17.4% of the time.
The measured 5-year story is a return-versus-defense trade-off: buy-and-hold had the higher cohort-median CAGR, while the Timer delivered broad drawdown, volatility, and capital improvements and a slightly higher cohort-median Sharpe Ratio.
Limited-history results
This supplemental section covers 9 securities with valid 3-year Limited History results. Their Typical values are medians across eligible rolling 3-year periods and are not pooled with the 483-security 5-year Standard population.
| Metric | UMT | Buy & Hold | Difference of cohort medians |
|---|---|---|---|
| CAGR | 20.3% | 47.1% | -26.8 pp |
| Max Drawdown | -31.5% | -40.6% | 9.1 pp shallower |
| Capital Deployed | 56.3% | 100.0% | 43.7 pp lower |
| Volatility | 29.3% | 41.5% | 12.2 pp lower |
| Sharpe Ratio | 0.77 | 0.87 | -0.10 |
| Metric | UMT-favorable securities | Cohort share | Median paired difference |
|---|---|---|---|
| CAGR | 4 of 9 | 44.4% | -26.8 pp |
| Max Drawdown | 9 of 9 | 100.0% | 4.8 pp shallower |
| Capital Deployed | 9 of 9 | 100.0% | 43.7 pp lower |
| Volatility | 9 of 9 | 100.0% | 10.9 pp lower |
| Sharpe Ratio | 4 of 9 | 44.4% | -0.11 |
The 3-year Limited History cohort shows much lower cohort-median CAGR and Sharpe for the Timer, while drawdown, capital deployment, and volatility improve across all nine securities. Because this is a separate 3-year population, it should not be pooled with the primary 5-year results.
Compare UMT Results Security by Security
This report summarizes the S&P 500 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, breadth statistics, and leader/laggard rankings use only the 483 securities with 5-year Standard results. The 9 securities with valid 3-year Limited History results are summarized separately. Seven additional Limited History securities without a Typical horizon and four 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. The current S&P 500 cohort contains 503 securities: 483 with 5-year Standard results, 9 with valid 3-year Limited History results, 7 with Limited History but no Typical result, and 4 with No Result.
Study design. This is a constituent-level study, not a backtest of an investable S&P 500 portfolio. Each security is tested independently, and cohort statistics summarize security-level results. Membership reflects the current cohort; historical point-in-time membership is not reconstructed.
Continue with Cycle Behavior
This Performance Report answers what repeated UMT trading produced across the S&P 500 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.