Side-by-side comparison

Compare investment strategies

Michael B Dalio All-Weather S&P Pops Since 2019 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)

leveraged etfs, momentum, multi-asset, risk-managed, sector rotation, tactical, trend-following, volatility hedge

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)

0.10

—

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

1.18

—

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

0.61

—

Trading activity

Annualized turnover, backtest period (backtest)

32.84

—

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

32.42

—

Daily win rate, backtest period (backtest)

59.31%

—

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

56.42%

—

Backtest

Backtest final value (from $10,000)

$571k

—

Backtest regulatory fees

$1,340

—

Backtest slippage cost

$9,902

—

Returns

Backtest length

1,836

—

Out-of-sample length

911

—

Return, backtest period (annualized) (backtest)

74.17%

—

Return, backtest period (cumulative) (backtest)

5611%

—

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

36.41%

3.62%

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

207.64%

2.81%

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

0.38%

—

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

2.25%

0.34%

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

0.83%

—

Return, trailing 1 year (backtest)

41.48%

—

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

41.48%

6.30%

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

0.85%

—

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

14.80%

0.95%

SPY annualized return over the backtest window (backtest)

15.92%

—

Risk metrics

Calmar ratio, backtest period (backtest)

2.79

—

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

1.37

331.36

Maximum drawdown, backtest period (backtest)

-26.55%

—

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

-26.55%

-0.01%

Sharpe ratio, backtest period (backtest)

2.05

—

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

1.21

18.06

Sortino ratio, backtest period (backtest)

4.78

—

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

2.54

—

Standard deviation, backtest period (backtest)

29.05%

—

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

28.88%

0.20%

Quality

Community review status

ACTIVE

—

Holdings

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

0.08

—

Construction

Logic complexity (node count)

1,722

—

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