Side-by-side comparison

Compare investment strategies

Endowment-Style Stocks, REITs and Treasuries Mix vs Defensive Sector/Bond Switch with SPY-QQQ Offense

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)

asset allocation, diversified, inflation protection, monthly rebalance, passive indexing, stocks-bonds-reits, swensen endowment model

bonds/cash, defensive sectors, leverage overlay, managed futures, risk-on/risk-off, tactical allocation, trend-following

Asset classes / instruments

equities

Market-relative

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

-0.02

—

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

0.61

—

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

0.91

—

Trading activity

Annualized turnover, backtest period (backtest)

0.64

—

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

0.64

—

Daily win rate, backtest period (backtest)

54.59%

—

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

53.37%

—

Backtest

Backtest final value (from $10,000)

$32k

—

Backtest regulatory fees

—

Backtest slippage cost

—

Returns

Backtest length

3,953

—

Out-of-sample length

1,173

—

Return, backtest period (annualized) (backtest)

7.74%

—

Return, backtest period (cumulative) (backtest)

222.06%

—

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

6.68%

11.23%

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

34.97%

0.81%

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

-0.36%

—

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

-1.21%

0.00%

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

-0.78%

—

Return, trailing 1 year (backtest)

6.85%

—

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

8.83%

0.00%

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

-0.41%

—

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

-0.95%

0.00%

SPY annualized return over the backtest window (backtest)

14.09%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.30

—

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

0.33

14.66

Maximum drawdown, backtest period (backtest)

-25.50%

—

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

-20.31%

-0.77%

Sharpe ratio, backtest period (backtest)

0.70

—

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

0.62

3.90

Sortino ratio, backtest period (backtest)

0.98

—

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

0.87

—

Standard deviation, backtest period (backtest)

11.58%

—

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

11.54%

2.89%

Holdings

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

0.20

—

Construction

Logic complexity (node count)

—

Rebalance frequency

monthly

daily

Popularity

Remixes (copies)

143

—

Watchers

473

—

Risk score

Risk rating (Composer data field)

Moderate

—

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