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Global Small-Value Stocks, 200-Day SPY Treasury Switch vs Top-16 Blue Chips by 1-Year Momentum

Every published figureShow 12 attributes

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

Classification

AI categories (Composer)

global stocks, risk on/off, small-cap value tilt, tactical asset allocation, treasuries hedge, trend-following

concentrated (16 stocks), equal‑weight, global equities, large‑cap blue chips, momentum (12‑month), monthly rebalance, rule‑based

Asset classes / instruments

equities

Risk metrics

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

2.43

39.39

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

-8.75%

-2.49%

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

1.65

5.75

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

12.15%

12.78%

Construction

Rebalance frequency

daily

monthly

Returns

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

21.26%

98.10%

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

31.81%

4.72%

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

-0.91%

-6.75%

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

14.01%

34.18%

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

1.41%

0.98%

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