Side-by-side comparison

Compare investment strategies

2007 Sharpe 2.25 Tech Tilt with EM and Treasury Sleeves vs Rising Rates Volatility Switch Risk-Parity Mix

Every published figureShow 43 attributes

Each row is one exact variant (window and basis), so a value appears only where a source publishes it.

Classification

AI categories (Composer)

emerging markets, gold, hedged equity, leveraged/inverse, tactical etf, treasuries, trend + mean reversion

financials, gold, leveraged etfs, multi-asset, risk parity, risk-on/risk-off, tactical, tech, treasuries, u.s. dollar, volatility targeting

Asset classes / instruments

equities

Market-relative

Alpha vs SPY, out-of-sample (out-of-sample)

0.18

—

Beta vs SPY, out-of-sample (out-of-sample)

0.34

—

Correlation (R) vs SPY, out-of-sample (out-of-sample)

0.38

—

Trading activity

Annualized turnover, backtest period (backtest)

46.29

—

Annualized turnover, out-of-sample period (out-of-sample)

47.28

—

Daily win rate, backtest period (backtest)

57.41%

—

Daily win rate, out-of-sample period (out-of-sample)

53.04%

—

Backtest

Backtest final value (from $10,000)

$8.5M

—

Backtest regulatory fees

$31k

—

Backtest slippage cost

$251k

—

Returns

Backtest length

4,769

—

Out-of-sample length

543

—

Return, backtest period (annualized) (backtest)

42.78%

—

Return, backtest period (cumulative) (backtest)

85k%

—

Return, out-of-sample period (annualized) (out-of-sample)

25.11%

3.62%

Return, out-of-sample period (cumulative) (out-of-sample)

61.33%

2.81%

Return, trailing 1 day (out-of-sample)

0.33%

—

Return, trailing 1 month (out-of-sample)

0.33%

0.34%

Return, trailing 1 week (out-of-sample)

1.10%

—

Return, trailing 1 year (backtest)

11.94%

—

Return, trailing 1 year (out-of-sample)

12.92%

6.30%

Return, trailing 2 weeks (out-of-sample)

3.85%

—

Return, trailing 3 months (out-of-sample)

7.47%

0.95%

SPY annualized return over the backtest window (backtest)

10.98%

—

Risk metrics

Calmar ratio, backtest period (backtest)

3.79

—

Calmar ratio, out-of-sample period (out-of-sample)

2.93

331.36

Maximum drawdown, backtest period (backtest)

-11.29%

—

Maximum drawdown, out-of-sample period (out-of-sample)

-8.57%

-0.01%

Sharpe ratio, backtest period (backtest)

2.37

—

Sharpe ratio, out-of-sample period (out-of-sample)

1.63

18.06

Sortino ratio, backtest period (backtest)

4.20

—

Sortino ratio, out-of-sample period (out-of-sample)

2.95

—

Standard deviation, backtest period (backtest)

15.52%

—

Standard deviation, out-of-sample period (out-of-sample)

14.43%

0.20%

Quality

Community review status

ACTIVE

—

Holdings

Concentration (Herfindahl index, out-of-sample, as Composer reports it)

0.32

—

Construction

Logic complexity (node count)

172

—

Rebalance corridor width

5.00%

Rebalance frequency

none

Popularity

Remixes (copies)

—

Watchers

—

Compare investment strategies

At a glance

Growth of $10,000

What they say: stated rules

What they hold

Do the holdings back the rules?

Costs, access & sources

Compare investment strategies

At a glance

Growth of $10,000

What they say: stated rules

What they hold

Do the holdings back the rules?

Costs, access & sources