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Leveraged Endowment-Style Stocks, REITs and Bonds vs Domestic Leveraged Sector Trend Rotation

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)

bonds, global equities, leveraged etfs, multi-asset, quarterly rebalance, real estate, swensen/yale model, tips

crypto proxy, leveraged etfs, risk-on/risk-off, sector rotation, tactical allocation, trend-following, volatility hedging

Asset classes / instruments

equities

Market-relative

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

-0.11

—

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

1.48

—

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

0.89

—

Trading activity

Annualized turnover, backtest period (backtest)

1.93

—

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

1.71

—

Daily win rate, backtest period (backtest)

54.02%

—

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

54.32%

—

Backtest

Backtest final value (from $10,000)

$204k

—

Backtest regulatory fees

$11

—

Backtest slippage cost

$65

—

Returns

Backtest length

4,341

—

Out-of-sample length

532

—

Return, backtest period (annualized) (backtest)

19.13%

—

Return, backtest period (cumulative) (backtest)

1940%

—

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

14.40%

67.14%

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

32.49%

4.80%

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

-0.94%

—

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

-3.11%

4.80%

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

-2.12%

—

Return, trailing 1 year (backtest)

8.16%

—

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

13.48%

0.00%

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

-0.65%

—

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

-4.10%

0.00%

SPY annualized return over the backtest window (backtest)

15.04%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.34

—

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

0.50

53.07

Maximum drawdown, backtest period (backtest)

-55.75%

—

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

-28.92%

-1.27%

Sharpe ratio, backtest period (backtest)

0.72

—

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

0.63

4.69

Sortino ratio, backtest period (backtest)

1.01

—

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

0.84

—

Standard deviation, backtest period (backtest)

31.13%

—

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

27.00%

11.60%

Quality

Community review status

ACTIVE

—

Holdings

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

0.20

—

Construction

Logic complexity (node count)

—

Rebalance corridor width

—

1.00%

Rebalance frequency

quarterly

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