Question
If we swap QuantifiedStrategies’ price-only ^GSPC for total-return SPX, how
much of the rotation strategy’s claimed outperformance evaporates?
Why it matters
quantified-strategies excluded dividends while SPX carry is ~2%/yr of the strategy’s SPX-exposure time. Two possible worlds: the edge survives total returns (rare — a vendor claim that stands, worth promoting confidence), or it shrinks substantially (the “beats buy-and-hold” headline was a data artifact). Either answer calibrates how we treat every future blog-backtest number. This is the cheapest high-information falsification in the backlog.
First cheap check
Identical replication, two SPX series: price index and SPY-adjusted-close proxy (1993+ only for SPY; use a dividend-reinvestment proxy before that). Delta in CAGR vs the source’s published 9.9% is the whole answer.
Status notes
- 2026-10-08: opened. Already folded into gold-spx-ratio-rotation-replication step 2 (price-only AND total-return variants) — this page exists so the question outlives the study either way.