Side-by-side comparison

Compare investment strategies

2007 Sharpe 2.50 Nasdaq Switch with EM and Treasury Sleeve 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)

bonds, emerging markets, gold, inverse etfs, leveraged etfs, long/short, mean-reversion, multi-asset, risk-managed, tactical, tech-heavy, trend-following

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)

0.15

—

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

0.44

—

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

0.47

—

Trading activity

Annualized turnover, backtest period (backtest)

44.39

—

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

40.15

—

Daily win rate, backtest period (backtest)

58.15%

—

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

53.22%

—

Backtest

Backtest final value (from $10,000)

$34.6M

—

Backtest regulatory fees

$94k

—

Backtest slippage cost

$841k

—

Returns

Backtest length

4,769

—

Out-of-sample length

543

—

Return, backtest period (annualized) (backtest)

53.79%

—

Return, backtest period (cumulative) (backtest)

345k%

—

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

24.71%

3.62%

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

60.24%

2.81%

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

-0.48%

—

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

1.08%

0.34%

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

-0.70%

—

Return, trailing 1 year (backtest)

7.27%

—

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

9.46%

6.30%

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

0.62%

—

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

5.36%

0.95%

SPY annualized return over the backtest window (backtest)

10.98%

—

Risk metrics

Calmar ratio, backtest period (backtest)

4.05

—

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

3.30

331.36

Maximum drawdown, backtest period (backtest)

-13.29%

—

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

-7.50%

-0.01%

Sharpe ratio, backtest period (backtest)

2.56

—

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

1.55

18.06

Sortino ratio, backtest period (backtest)

4.62

—

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

2.57

—

Standard deviation, backtest period (backtest)

17.42%

—

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

15.03%

0.20%

Quality

Community review status

ACTIVE

—

Holdings

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

0.18

—

Construction

Logic complexity (node count)

145

—

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