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Boglehead 70/20/10 US, International and T-Bills vs Top-16 Blue Chips by 1-Year Momentum

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)

asset allocation, boglehead, buy-and-hold, passive indexing, t-bills/cash sleeve, u.s. and international equities

concentrated (16 stocks), equal‑weight, global equities, large‑cap blue chips, momentum (12‑month), monthly rebalance, rule‑based

Asset classes / instruments

equities

Market-relative

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

0.01

—

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

0.86

—

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

0.98

—

Trading activity

Annualized turnover, backtest period (backtest)

0.26

—

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

0.29

—

Daily win rate, backtest period (backtest)

54.92%

—

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

55.39%

—

Backtest

Backtest final value (from $10,000)

$55k

—

Backtest regulatory fees

—

Backtest slippage cost

—

Returns

Backtest length

3,953

—

Out-of-sample length

529

—

Return, backtest period (annualized) (backtest)

11.43%

—

Return, backtest period (cumulative) (backtest)

446.21%

—

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

18.40%

98.10%

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

42.07%

4.72%

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

-0.92%

—

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

0.82%

-6.75%

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

-1.41%

—

Return, trailing 1 year (backtest)

13.72%

—

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

15.90%

34.18%

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

-1.56%

—

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

2.29%

0.98%

SPY annualized return over the backtest window (backtest)

14.09%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.35

—

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

1.15

39.39

Maximum drawdown, backtest period (backtest)

-32.42%

—

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

-15.99%

-2.49%

Sharpe ratio, backtest period (backtest)

0.77

—

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

1.26

5.75

Sortino ratio, backtest period (backtest)

1.08

—

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

1.79

—

Standard deviation, backtest period (backtest)

15.53%

—

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

14.24%

12.78%

Quality

Community review status

ACTIVE

—

Holdings

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

0.55

—

Construction

Logic complexity (node count)

—

Rebalance corridor width

10.00%

—

Rebalance frequency

none

monthly

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