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Monthly Mega-Cap Tech and Defensive Leaders Rotation 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)

equities, long-only, mega-cap, momentum, monthly rotation, sector-balanced, trend-following

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)

0.16

—

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

1.19

—

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

0.69

—

Trading activity

Annualized turnover, backtest period (backtest)

4.74

—

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

5.12

—

Daily win rate, backtest period (backtest)

54.70%

—

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

53.46%

—

Backtest

Backtest final value (from $10,000)

$839k

—

Backtest regulatory fees

$307

—

Backtest slippage cost

$2,578

—

Returns

Backtest length

4,185

—

Out-of-sample length

967

—

Return, backtest period (annualized) (backtest)

30.56%

—

Return, backtest period (cumulative) (backtest)

8289%

—

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

42.63%

3.62%

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

291.17%

2.81%

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

0.94%

—

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

-0.76%

0.34%

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

-1.49%

—

Return, trailing 1 year (backtest)

14.20%

—

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

14.20%

6.30%

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

-2.43%

—

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

-3.46%

0.95%

SPY annualized return over the backtest window (backtest)

14.45%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.95

—

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

1.55

331.36

Maximum drawdown, backtest period (backtest)

-32.17%

—

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

-27.52%

-0.01%

Sharpe ratio, backtest period (backtest)

1.24

—

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

1.51

18.06

Sortino ratio, backtest period (backtest)

1.84

—

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

2.42

—

Standard deviation, backtest period (backtest)

23.86%

—

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

25.71%

0.20%

Quality

Community review status

ACTIVE

—

Holdings

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

0.25

—

Construction

Logic complexity (node count)

—

Rebalance corridor width

—

5.00%

Rebalance frequency

monthly

none

Popularity

Remixes (copies)

372

—

Watchers

141

—

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