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Monthly Top-3 AI Stock Momentum vs ERX, Refiners and Gold Miners Inverse-Volatility 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)

ai theme, concentrated, equities, momentum, monthly rebalance, technology

commodities, energy, gold miners, inverse-vol weighting, leveraged etfs, oil refiners, risk-balanced

Asset classes / instruments

equities

Market-relative

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

0.49

—

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

1.90

—

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

0.67

—

Trading activity

Annualized turnover, backtest period (backtest)

5.68

—

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

5.84

—

Daily win rate, backtest period (backtest)

52.21%

—

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

55.84%

—

Backtest

Backtest final value (from $10,000)

$79k

—

Backtest regulatory fees

$10

—

Backtest slippage cost

$75

—

Returns

Backtest length

1,423

—

Out-of-sample length

437

—

Return, backtest period (annualized) (backtest)

44.29%

—

Return, backtest period (cumulative) (backtest)

694.03%

—

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

109.03%

138.64%

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

260.20%

3.87%

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

3.54%

—

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

17.87%

8.12%

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

4.85%

—

Return, trailing 1 year (backtest)

148.01%

—

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

148.01%

0.00%

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

4.22%

—

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

24.83%

0.00%

SPY annualized return over the backtest window (backtest)

14.54%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.80

—

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

3.05

51.98

Maximum drawdown, backtest period (backtest)

-55.52%

—

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

-35.74%

-2.67%

Sharpe ratio, backtest period (backtest)

1.05

—

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

1.78

4.29

Sortino ratio, backtest period (backtest)

1.61

—

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

2.82

—

Standard deviation, backtest period (backtest)

44.23%

—

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

47.91%

22.88%

Quality

Community review status

ACTIVE

—

Holdings

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

0.34

—

Construction

Logic complexity (node count)

—

Rebalance corridor width

—

10.00%

Rebalance frequency

monthly

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