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Production Portfolio Multi-Asset Rotation with KMLM vs Domestic Leveraged Sector Trend Rotation

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)

hedging, leveraged etfs, managed futures, momentum & mean reversion, multi-asset, regime switching, tactical allocation, volatility targeting

crypto proxy, leveraged etfs, risk-on/risk-off, sector rotation, tactical allocation, trend-following, volatility hedging

Asset classes / instruments

equities

Market-relative

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

0.26

—

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

0.61

—

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

0.30

—

Trading activity

Annualized turnover, backtest period (backtest)

102.98

—

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

111.48

—

Daily win rate, backtest period (backtest)

57.26%

—

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

54.91%

—

Backtest

Backtest final value (from $10,000)

$413k

—

Backtest regulatory fees

$1,931

—

Backtest slippage cost

$15k

—

Returns

Backtest length

1,095

—

Out-of-sample length

448

—

Return, backtest period (annualized) (backtest)

135.23%

—

Return, backtest period (cumulative) (backtest)

4027%

—

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

35.23%

67.14%

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

71.22%

4.80%

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

1.60%

—

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

-0.53%

4.80%

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

1.34%

—

Return, trailing 1 year (backtest)

51.01%

—

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

51.00%

0.00%

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

-2.45%

—

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

17.36%

0.00%

SPY annualized return over the backtest window (backtest)

17.16%

—

Risk metrics

Calmar ratio, backtest period (backtest)

4.61

—

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

1.25

53.07

Maximum drawdown, backtest period (backtest)

-29.31%

—

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

-28.18%

-1.27%

Sharpe ratio, backtest period (backtest)

2.80

—

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

1.04

4.69

Sortino ratio, backtest period (backtest)

4.73

—

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

1.50

—

Standard deviation, backtest period (backtest)

32.55%

—

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

35.04%

11.60%

Quality

Community review status

ACTIVE

—

Holdings

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

0.30

—

Construction

Logic complexity (node count)

2,231

—

Rebalance corridor width

20.00%

1.00%

Rebalance frequency

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