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Monthly Top Mega-Cap Stock or Muni Bond Fallback 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)

bonds, concentrated, momentum, risk-on/risk-off, tactical asset allocation, tech-heavy, 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)

0.25

—

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

0.57

—

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

0.35

—

Trading activity

Annualized turnover, backtest period (backtest)

5.71

—

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

6.46

—

Daily win rate, backtest period (backtest)

52.44%

—

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

52.35%

—

Backtest

Backtest final value (from $10,000)

$8.1M

—

Backtest regulatory fees

$2,987

—

Backtest slippage cost

$26k

—

Returns

Backtest length

4,678

—

Out-of-sample length

468

—

Return, backtest period (annualized) (backtest)

43.39%

—

Return, backtest period (cumulative) (backtest)

80k%

—

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

36.31%

3.62%

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

77.97%

2.81%

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

2.38%

—

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

8.83%

0.34%

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

3.39%

—

Return, trailing 1 year (backtest)

42.76%

—

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

42.76%

6.30%

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

3.66%

—

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

14.38%

0.95%

SPY annualized return over the backtest window (backtest)

12.12%

—

Risk metrics

Calmar ratio, backtest period (backtest)

1.11

—

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

1.32

331.36

Maximum drawdown, backtest period (backtest)

-38.94%

—

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

-27.44%

-0.01%

Sharpe ratio, backtest period (backtest)

1.22

—

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

1.26

18.06

Sortino ratio, backtest period (backtest)

1.98

—

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

1.96

—

Standard deviation, backtest period (backtest)

34.37%

—

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

27.67%

0.20%

Quality

Community review status

ACTIVE

—

Holdings

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

—

Construction

Logic complexity (node count)

—

Rebalance corridor width

—

5.00%

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