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What simple rules returned on historical data
Six ways to hold a portfolio of Russian stocks, computed on the same prices: with dividends, commission and slippage, at next-day prices after the signal. Past results do not promise future ones — they show how the strategies differed from one another.
| Strategy | Return over the period | Return per year | Worst drawdown | Annual volatility | Return per unit of risk |
|---|---|---|---|---|---|
| Equal weight monthly | ↓ −20.7 % | ↓ −6.5 % | −41.5 % | 19.5 % | −0.25 |
| Buy and hold | ↓ −23.3 % | ↓ −7.3 % | −42.4 % | 18.9 % | −0.31 |
| Vol target equal | ↓ −13.9 % | ↓ −4.2 % | −26.6 % | 8.1 % | −0.49 |
| Trend gate equal | ↓ −19.2 % | ↓ −6.0 % | −30.9 % | 10.9 % | −0.50 |
| Momentum voladj | ↓ −23.2 % | ↓ −7.3 % | −31.3 % | 12.3 % | −0.56 |
| Momentum 6m | ↓ −47.5 % | ↓ −16.9 % | −53.0 % | 18.5 % | −0.91 |
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Data as of 16/10/2026; 15 securities in the calculation.
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