BTS Universal Market Timer Performance — S&P SmallCap 600
Return
9.4% vs. 8.8%
Drawdown
6.4 pp shallower
Capital
14.6 pp lower
Executive summary
Across the 533 securities with 5-year Standard results, the S&P SmallCap 600 shows a higher cohort-median return for the Timer alongside broad improvements in drawdown, capital deployment, volatility, and Sharpe Ratio.
The Timer had the higher Typical CAGR in 295 securities, tied in 10, and trailed in 228. It had the shallower Typical Max Drawdown in 497 of 533 securities, lower Typical Capital Deployed in all 533, lower Typical Volatility in 532, and the higher Typical Sharpe Ratio in 271. The return advantage therefore extends to a majority of the cohort, while the defensive effect is broader still.
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 | 9.4% | 8.8% | +0.6 pp |
| Max Drawdown | -52.1% | -58.5% | 6.4 pp shallower |
| Capital Deployed | 85.4% | 100.0% | 14.6 pp lower |
| Volatility | 36.4% | 42.0% | 5.6 pp lower |
| Sharpe Ratio | 0.46 | 0.44 | +0.02 |
Breadth of the effect
Breadth is important evidence because cohort medians can hide concentration. Across the 533 securities with 5-year Standard results, the Timer had the higher Typical CAGR in 295, tied in 10, and trailed in 228. It had the shallower Typical Max Drawdown in 497, lower Typical Capital Deployed in all 533, lower Typical Volatility in 532, and the higher Typical Sharpe Ratio in 271. 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 | 295 of 533 | 55.3% | +0.4 pp |
| Max Drawdown | 497 of 533 | 93.2% | 3.5 pp shallower |
| Capital Deployed | 533 of 533 | 100.0% | 14.6 pp lower |
| Volatility | 532 of 533 | 99.8% | 3.8 pp lower |
| Sharpe Ratio | 271 of 533 | 50.8% | +0.01 |
Where the Timer added the most value
Peloton Interactive had the largest 5-year Standard CAGR advantage at +29.9 percentage points, followed by Liberty Energy at +28.0 and Sunrun at +26.6. BioLife Solutions led the drawdown ranking 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 |
| MTCH | Match Group | 9.7% | -12.7% | +22.4 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 |
| IVT | InvenTrust Properties | -45.8% | -100.0% | 54.2 pp shallower |
| ARR | ARMOUR Residential REIT | -18.5% | -67.1% | 48.6 pp shallower |
| ADAM | Adamas Trust | -14.7% | -58.3% | 43.6 pp shallower |
| EXTR | Extreme Networks | -34.2% | -76.3% | 42.1 pp shallower |
Where Buy & Hold had the largest return advantage
Alpha Metallurgical Resources and Core Natural Resources share the largest buy-and-hold CAGR advantage in the 5-year Standard population at 22.2 percentage points. Enphase Energy follows at 14.4, Peabody Energy at 11.3, and Cal-Maine Foods at 11.0.
| 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 |
| ENPH | Enphase Energy | 38.8% | 53.2% | -14.4 pp |
| BTU | Peabody Energy | 11.1% | 22.4% | -11.3 pp |
| CALM | Cal-Maine Foods | 11.0% | 22.0% | -11.0 pp |
How to interpret the trade-off
Aggregation matters. Cohort-median 5-year Standard Typical CAGR was 9.4% for the Timer versus 8.8% for buy-and-hold. The Timer had the higher CAGR in 295 of 533 securities, tied in 10, and trailed in 228. The defensive effect was broader: 497 had a shallower Typical Max Drawdown, all 533 had lower Typical Capital Deployed, and 532 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 85.4% result should therefore not be read as “time in market,” a simple cash allocation, or proof that the Timer was out of the market 14.6% of the time.
The measured 5-year story is favorable but still a trade-off: the Timer had a higher cohort-median return and majority-positive return breadth alongside broad drawdown, volatility, and capital improvements, while individual-security exceptions remained meaningful.
Limited-history results
This supplemental section covers 41 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 533-security 5-year Standard population.
| Metric | UMT | Buy & Hold | Difference of cohort medians |
|---|---|---|---|
| CAGR | 11.3% | 5.5% | +5.8 pp |
| Max Drawdown | -40.3% | -54.2% | 13.9 pp shallower |
| Capital Deployed | 64.2% | 100.0% | 35.8 pp lower |
| Volatility | 33.5% | 48.2% | 14.7 pp lower |
| Sharpe Ratio | 0.49 | 0.36 | +0.13 |
| Metric | UMT-favorable securities | Cohort share | Median paired difference |
|---|---|---|---|
| CAGR | 26 of 41 | 63.4% | +3.7 pp |
| Max Drawdown | 39 of 41 | 95.1% | 8.8 pp shallower |
| Capital Deployed | 41 of 41 | 100.0% | 35.8 pp lower |
| Volatility | 41 of 41 | 100.0% | 11.0 pp lower |
| Sharpe Ratio | 25 of 41 | 61.0% | +0.07 |
The 3-year Limited History cohort is favorable for the Timer across all five cohort-median metrics, and each breadth measure is also majority favorable. These results remain supplemental because their 3-year horizon is not pooled with the primary 5-year population.
Compare UMT Results Security by Security
This report summarizes the S&P SmallCap 600 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 533 securities with 5-year Standard results. The 41 securities with valid 3-year Limited History results are summarized separately. Twenty additional Limited History securities without a Typical horizon and eight 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 SmallCap 600 cohort contains 602 securities: 533 with 5-year Standard results, 41 with valid 3-year Limited History results, 20 with Limited History but no Typical result, and 8 with No Result.
Study design. This is a constituent-level study, not a backtest of an investable S&P SmallCap 600 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 SmallCap 600 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.