Side-by-side comparison

Compare investment strategies

Equal-Split QQQ, SPMO, IWY and XLG Drift Portfolio vs Macro-Filtered Short-Term Momentum with Mean Reversion

Every published figureShow 13 attributes

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

Classification

AI categories (Composer)

buy-and-hold, equal-weight, etf, mega-cap concentration, momentum tilt, no rebalancing, us large-cap growth

daily rebalance, long/short, macro regime rotation, momentum + mean reversion, multi-asset, risk-managed, tactical etf, volatility hedging

Asset classes / instruments

equities

Risk metrics

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

14.13

180.23

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

-3.84%

-0.42%

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

2.63

9.00

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

17.35%

6.75%

Construction

Rebalance corridor width

1.00%

—

Rebalance frequency

none

daily

Returns

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

54.22%

76.55%

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

9.54%

3.91%

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

3.48%

0.00%

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

16.16%

0.00%

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

2.66%

0.00%

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