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2007 Sharpe ETF Rotation with Tech Dips and EM Long-Short 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)

tactical etf rotation; trend + mean reversion; hedged; multi-asset (stocks/bonds/gold); uses inverse/leveraged etfs

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)

0.42

—

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

0.47

—

Trading activity

Annualized turnover, backtest period (backtest)

46.20

—

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

45.11

—

Daily win rate, backtest period (backtest)

57.78%

—

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

56.24%

—

Backtest

Backtest final value (from $10,000)

$11.6M

—

Backtest regulatory fees

$39k

—

Backtest slippage cost

$325k

—

Returns

Backtest length

4,763

—

Out-of-sample length

537

—

Return, backtest period (annualized) (backtest)

45.24%

—

Return, backtest period (cumulative) (backtest)

116k%

—

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

27.94%

3.62%

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

69.21%

2.81%

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

0.38%

—

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

0.76%

0.34%

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

0.98%

—

Return, trailing 1 year (backtest)

18.06%

—

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

18.05%

6.30%

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

1.17%

—

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

9.78%

0.95%

SPY annualized return over the backtest window (backtest)

11.08%

—

Risk metrics

Calmar ratio, backtest period (backtest)

3.93

—

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

3.67

331.36

Maximum drawdown, backtest period (backtest)

-11.51%

—

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

-7.60%

-0.01%

Sharpe ratio, backtest period (backtest)

2.38

—

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

1.79

18.06

Sortino ratio, backtest period (backtest)

4.24

—

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

3.17

—

Standard deviation, backtest period (backtest)

16.23%

—

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

14.40%

0.20%

Quality

Community review status

ACTIVE

—

Holdings

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

0.21

—

Construction

Logic complexity (node count)

301

—

Rebalance corridor width

—

5.00%

Rebalance frequency

daily

none

Popularity

Remixes (copies)

323

—

Watchers

222

—

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