Side-by-side comparison

Compare investment strategies

EM and Developed vs World Momentum Sleeves 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)

acwi, developed ex-us, eem, emerging markets, global equities, idev, momentum rotation, tactical asset allocation

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)

0.04

—

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

0.87

—

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

0.79

—

Trading activity

Annualized turnover, backtest period (backtest)

23.17

—

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

21.55

—

Daily win rate, backtest period (backtest)

55.09%

—

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

56.69%

—

Backtest

Backtest final value (from $10,000)

$25k

—

Backtest regulatory fees

$87

—

Backtest slippage cost

$656

—

Returns

Backtest length

2,376

—

Out-of-sample length

501

—

Return, backtest period (annualized) (backtest)

10.26%

—

Return, backtest period (cumulative) (backtest)

151.31%

—

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

19.33%

98.10%

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

41.59%

4.72%

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

-0.94%

—

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

-0.93%

-6.75%

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

-1.56%

—

Return, trailing 1 year (backtest)

11.89%

—

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

14.91%

34.18%

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

-3.37%

—

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

1.63%

0.98%

SPY annualized return over the backtest window (backtest)

14.90%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.30

—

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

1.19

39.39

Maximum drawdown, backtest period (backtest)

-34.08%

—

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

-16.18%

-2.49%

Sharpe ratio, backtest period (backtest)

0.62

—

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

1.05

5.75

Sortino ratio, backtest period (backtest)

0.86

—

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

1.42

—

Standard deviation, backtest period (backtest)

18.64%

—

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

18.44%

12.78%

Quality

Community review status

ACTIVE

—

Holdings

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

0.75

—

Construction

Logic complexity (node count)

—

Rebalance corridor width

5.00%

—

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