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Low Volatility, Dividend and Quality ETF Weighting vs Weekly Momentum Allocator: ETFs, Blue Chips and Growth

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)

defensive, dividend, equity, factor, low volatility, quality, risk-weighted, us large cap

ballast (cash/dividends/gold/tips/energy), blue chips, growth/ai tilt, multi-asset rotation, recent-winner selection, weekly rebalance

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)

0.73

—

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

0.93

—

Trading activity

Annualized turnover, backtest period (backtest)

0.34

—

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

0.41

—

Daily win rate, backtest period (backtest)

55.27%

—

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

54.31%

—

Backtest

Backtest final value (from $10,000)

$43k

—

Backtest regulatory fees

—

Backtest slippage cost

—

Returns

Backtest length

3,273

—

Out-of-sample length

1,173

—

Return, backtest period (annualized) (backtest)

11.96%

—

Return, backtest period (cumulative) (backtest)

333.80%

—

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

11.03%

103.09%

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

62.44%

4.90%

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

-0.28%

—

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

0.85%

-4.41%

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

-0.10%

—

Return, trailing 1 year (backtest)

12.75%

—

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

12.68%

0.00%

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

1.25%

—

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

2.20%

0.00%

SPY annualized return over the backtest window (backtest)

14.18%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.35

—

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

0.64

64.30

Maximum drawdown, backtest period (backtest)

-33.91%

—

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

-17.34%

-1.60%

Sharpe ratio, backtest period (backtest)

0.84

—

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

0.85

6.66

Sortino ratio, backtest period (backtest)

1.18

—

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

1.23

—

Standard deviation, backtest period (backtest)

14.77%

—

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

13.45%

11.42%

Holdings

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

0.34

—

Construction

Logic complexity (node count)

—

Rebalance frequency

quarterly

weekly

Popularity

Remixes (copies)

—

Watchers

291

—

Risk score

Risk rating (Composer data field)

Moderate

—

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