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North America vs Latin America Momentum Rotation vs Top-16 Blue Chips by 1-Year Momentum

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, regional equity rotation, relative momentum, tactical allocation, trend-following, us vs latin america

concentrated (16 stocks), equal‑weight, global equities, large‑cap blue chips, momentum (12‑month), monthly rebalance, rule‑based

Asset classes / instruments

equities

Market-relative

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

0.13

—

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

0.78

—

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

0.66

—

Trading activity

Annualized turnover, backtest period (backtest)

17.41

—

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

21.72

—

Daily win rate, backtest period (backtest)

54.33%

—

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

54.71%

—

Backtest

Backtest final value (from $10,000)

$455k

—

Backtest regulatory fees

$1,262

—

Backtest slippage cost

$9,833

—

Returns

Backtest length

6,253

—

Out-of-sample length

499

—

Return, backtest period (annualized) (backtest)

16.63%

—

Return, backtest period (cumulative) (backtest)

4449%

—

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

28.43%

98.10%

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

63.30%

4.72%

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

0.78%

—

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

5.86%

-6.75%

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

-1.88%

—

Return, trailing 1 year (backtest)

21.27%

—

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

24.81%

34.18%

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

-0.98%

—

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

3.56%

0.98%

SPY annualized return over the backtest window (backtest)

9.94%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.33

—

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

2.01

39.39

Maximum drawdown, backtest period (backtest)

-50.46%

—

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

-14.11%

-2.49%

Sharpe ratio, backtest period (backtest)

0.75

—

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

1.37

5.75

Sortino ratio, backtest period (backtest)

1.07

—

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

2.00

—

Standard deviation, backtest period (backtest)

24.40%

—

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

19.75%

12.78%

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

none

monthly

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