Side-by-side comparison

Compare investment strategies

Global Dual Momentum US, Ex-US Stocks or Bonds 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)

etfs, global momentum, risk-managed, tactical asset allocation, trend following

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)

0.01

—

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

0.75

—

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

0.81

—

Trading activity

Annualized turnover, backtest period (backtest)

1.80

—

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

1.73

—

Daily win rate, backtest period (backtest)

54.29%

—

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

53.73%

—

Backtest

Backtest final value (from $10,000)

$50k

—

Backtest regulatory fees

$16

—

Backtest slippage cost

$140

—

Returns

Backtest length

4,620

—

Out-of-sample length

1,167

—

Return, backtest period (annualized) (backtest)

9.19%

—

Return, backtest period (cumulative) (backtest)

401.33%

—

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

12.01%

98.10%

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

69.15%

4.72%

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

0.78%

—

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

-2.78%

-6.75%

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

-0.75%

—

Return, trailing 1 year (backtest)

18.66%

—

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

18.66%

34.18%

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

-1.85%

—

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

-0.19%

0.98%

SPY annualized return over the backtest window (backtest)

11.84%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.27

—

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

0.64

39.39

Maximum drawdown, backtest period (backtest)

-33.72%

—

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

-18.76%

-2.49%

Sharpe ratio, backtest period (backtest)

0.63

—

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

0.80

5.75

Sortino ratio, backtest period (backtest)

0.88

—

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

1.16

—

Standard deviation, backtest period (backtest)

15.92%

—

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

15.84%

12.78%

Holdings

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

—

Construction

Logic complexity (node count)

—

Rebalance frequency

monthly

Popularity

Remixes (copies)

—

Watchers

149

—

Risk score

Risk rating (Composer data field)

Aggressive

—

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