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Anti-ESG Sector Rotation: Energy, Defense, Gaming vs ERX, Refiners and Gold Miners Inverse-Volatility 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)

anti-esg, equities, momentum, rules-based, s&p 500 switcher, tactical sector rotation

commodities, energy, gold miners, inverse-vol weighting, leveraged etfs, oil refiners, risk-balanced

Asset classes / instruments

equities

Market-relative

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

0.08

—

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

0.86

—

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

0.84

—

Trading activity

Annualized turnover, backtest period (backtest)

12.49

—

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

13.75

—

Daily win rate, backtest period (backtest)

56.02%

—

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

55.01%

—

Backtest

Backtest final value (from $10,000)

$44k

—

Backtest regulatory fees

$48

—

Backtest slippage cost

$397

—

Returns

Backtest length

1,944

—

Out-of-sample length

1,167

—

Return, backtest period (annualized) (backtest)

21.33%

—

Return, backtest period (cumulative) (backtest)

344.60%

—

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

21.43%

138.64%

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

145.94%

3.87%

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

0.60%

—

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

2.68%

8.12%

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

1.16%

—

Return, trailing 1 year (backtest)

12.15%

—

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

12.15%

0.00%

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

0.94%

—

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

4.15%

0.00%

SPY annualized return over the backtest window (backtest)

16.96%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.60

—

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

0.93

51.98

Maximum drawdown, backtest period (backtest)

-35.35%

—

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

-23.15%

-2.67%

Sharpe ratio, backtest period (backtest)

1.08

—

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

1.19

4.29

Sortino ratio, backtest period (backtest)

1.51

—

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

1.71

—

Standard deviation, backtest period (backtest)

19.64%

—

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

17.64%

22.88%

Holdings

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

0.86

—

Construction

Logic complexity (node count)

—

Rebalance corridor width

5.00%

10.00%

Rebalance frequency

none

Popularity

Remixes (copies)

901

—

Watchers

1,203

—

Risk score

Risk rating (Composer data field)

Aggressive

—

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