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Five Mega-Cap Tech Stocks Inverse-Volatility Weighted vs Rising Rates Volatility Switch Risk-Parity Mix

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)

daily rebalancing, equities, inverse-vol weighting, large-cap tech, volatility targeting

financials, gold, leveraged etfs, multi-asset, risk parity, risk-on/risk-off, tactical, tech, treasuries, u.s. dollar, volatility targeting

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)

1.21

—

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

0.84

—

Trading activity

Annualized turnover, backtest period (backtest)

3.09

—

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

3.34

—

Daily win rate, backtest period (backtest)

55.71%

—

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

53.17%

—

Backtest

Backtest final value (from $10,000)

$644k

—

Backtest regulatory fees

$299

—

Backtest slippage cost

$1,864

—

Returns

Backtest length

4,071

—

Out-of-sample length

410

—

Return, backtest period (annualized) (backtest)

29.40%

—

Return, backtest period (cumulative) (backtest)

6338%

—

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

32.42%

3.62%

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

57.04%

2.81%

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

-1.49%

—

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

6.55%

0.34%

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

-0.76%

—

Return, trailing 1 year (backtest)

18.55%

—

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

19.79%

6.30%

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

1.53%

—

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

11.43%

0.95%

SPY annualized return over the backtest window (backtest)

14.83%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.67

—

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

1.78

331.36

Maximum drawdown, backtest period (backtest)

-44.09%

—

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

-18.20%

-0.01%

Sharpe ratio, backtest period (backtest)

1.20

—

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

1.27

18.06

Sortino ratio, backtest period (backtest)

1.76

—

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

1.93

—

Standard deviation, backtest period (backtest)

23.87%

—

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

24.62%

0.20%

Quality

Community review status

ACTIVE

—

Holdings

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

0.22

—

Construction

Logic complexity (node count)

—

Rebalance corridor width

—

5.00%

Rebalance frequency

daily

none

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