Backtest results. The data below reflects a backtest of the strategy from September 2021 to March 2026. Live trading results will be published here once six months of live performance have been completed — all published results will be audited. Past results, simulated or otherwise, do not guarantee future returns.
Key Metrics
CAGR
52.7%
Compounded annual return
Total Return
572%
$10M → $67.2M
Max Drawdown
7.3%
Across 4.5 years
Sharpe Ratio
3.13
Risk-adjusted return
Portfolio Equity Curve vs. S&P 500
Ferretti Capital Management
S&P 500
Annual Returns
| Year |
Return |
Sharpe |
Max DD |
| 2021 (partial) |
+9.8% |
4.84 |
1.8% |
| 2022 |
+49.5% |
3.38 |
5.8% |
| 2023 |
+72.3% |
7.59 |
2.5% |
| 2024 |
+54.1% |
3.12 |
7.3% |
| 2025 |
+48.2% |
2.91 |
4.8% |
| 2026 (partial) |
+11.4% |
3.44 |
3.2% |
What the Numbers Mean
Sharpe Ratio 3.13
A Sharpe above 2 is considered exceptional. Most institutional funds operate below 1. This strategy has delivered outsized returns relative to the risk taken.
Max Drawdown 7.3%
The largest peak-to-trough decline across the entire backtest period — including 2022, one of the worst years in recent market history, and the sharp market sell-off of early 2025. Through both, the drawdown never breached 7.3%. The hedge is structural, not reactive.
Calmar Ratio 7.21
Return divided by maximum drawdown. A Calmar above 3 is rare. This reflects how little capital was risked to generate the returns shown.
More Metrics
On the Universe
Stock Selection
The 9 tickers ran roughly half high-volatility, half tame — by design.
High-volatility names generate richer premium. Tamer names provide stability and act as ballast. The specific tickers were chosen for one reason above all else: low correlation between them. When one position moves, the others don't follow. That independence is what keeps drawdowns contained.
Scalability
The strategy is not constrained by these nine names.
The approach works across any liquid ticker with a functioning options market. Volume will not be a limiting factor at high AUM — the universe simply expands as capital grows. These names were the starting point. They are not the ceiling.
Stress Test — Absolute Worst Case
Every position at its worst simultaneously.
Still ~20% drawdown.
If every ticker in the portfolio hit its individual worst drawdown at exactly the same moment — a scenario with essentially zero historical precedent given their low correlation — the total portfolio drawdown would still be approximately 20%. For context, the S&P 500 fell over 25% in 2022 alone. This is the unrealistic floor. The actual results speak to what happens in the real world.