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Developed-Country ETFs Inverse-Volatility Weighted vs Top-16 Blue Chips by 1-Year Momentum

Every published figureShow 42 attributes

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

Classification

AI categories (Composer)

country etfs, daily rebalance, developed markets, equities, low-volatility tilt, risk-based weighting

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)

0.07

—

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

0.70

—

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

0.78

—

Trading activity

Annualized turnover, backtest period (backtest)

0.38

—

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

0.37

—

Daily win rate, backtest period (backtest)

54.71%

—

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

55.65%

—

Backtest

Backtest final value (from $10,000)

$25k

—

Backtest regulatory fees

$84

—

Backtest slippage cost

$37

—

Returns

Backtest length

2,813

—

Out-of-sample length

496

—

Return, backtest period (annualized) (backtest)

8.50%

—

Return, backtest period (cumulative) (backtest)

148.63%

—

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

19.24%

98.10%

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

40.89%

4.72%

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

-0.09%

—

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

-4.44%

-6.75%

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

0.24%

—

Return, trailing 1 year (backtest)

13.82%

—

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

14.39%

34.18%

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

-0.53%

—

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

-0.79%

0.98%

SPY annualized return over the backtest window (backtest)

14.23%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.24

—

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

1.42

39.39

Maximum drawdown, backtest period (backtest)

-35.35%

—

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

-13.55%

-2.49%

Sharpe ratio, backtest period (backtest)

0.57

—

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

1.25

5.75

Sortino ratio, backtest period (backtest)

0.78

—

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

1.85

—

Standard deviation, backtest period (backtest)

16.90%

—

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

15.06%

12.78%

Quality

Community review status

ACTIVE

—

Holdings

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

0.05

—

Construction

Logic complexity (node count)

—

Rebalance frequency

daily

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