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Monthly Mega-Cap Rotation: 4 Tech and 4 Defensive vs Rising Rates Volatility Switch Risk-Parity Mix

Every published figureShow 13 attributes

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

Classification

AI categories (Composer)

equal-weighted, long-only, mega-cap rotation, monthly momentum, tech + defensive

financials, gold, leveraged etfs, multi-asset, risk parity, risk-on/risk-off, tactical, tech, treasuries, u.s. dollar, volatility targeting

Asset classes / instruments

equities

Risk metrics

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

2.28

331.36

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

-9.61%

-0.01%

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

1.27

18.06

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

16.71%

0.20%

Construction

Rebalance corridor width

—

5.00%

Rebalance frequency

monthly

none

Returns

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

21.89%

3.62%

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

15.46%

2.81%

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

2.09%

0.34%

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

7.77%

6.30%

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

1.96%

0.95%

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