Side-by-side comparison

Compare investment strategies

Quarterly Sector Reversion and Beta Flip Sleeves 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)

commodities, diversification, global sectors, leveraged etfs, managed futures, mean reversion, sector rotation, treasuries, 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)

-0.00

—

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

1.09

—

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

0.92

—

Trading activity

Annualized turnover, backtest period (backtest)

3.16

—

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

3.23

—

Daily win rate, backtest period (backtest)

57.02%

—

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

55.20%

—

Backtest

Backtest final value (from $10,000)

$132k

—

Backtest regulatory fees

$29

—

Backtest slippage cost

$231

—

Returns

Backtest length

3,292

—

Out-of-sample length

558

—

Return, backtest period (annualized) (backtest)

21.86%

—

Return, backtest period (cumulative) (backtest)

1225%

—

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

18.89%

3.62%

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

46.18%

2.81%

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

-0.18%

—

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

-0.46%

0.34%

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

0.59%

—

Return, trailing 1 year (backtest)

26.75%

—

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

27.82%

6.30%

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

2.12%

—

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

6.06%

0.95%

SPY annualized return over the backtest window (backtest)

14.13%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.94

—

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

0.81

331.36

Maximum drawdown, backtest period (backtest)

-23.26%

—

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

-23.26%

-0.01%

Sharpe ratio, backtest period (backtest)

1.35

—

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

0.99

18.06

Sortino ratio, backtest period (backtest)

1.96

—

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

1.45

—

Standard deviation, backtest period (backtest)

15.59%

—

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

19.45%

0.20%

Quality

Community review status

ACTIVE

—

Holdings

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

0.11

—

Construction

Logic complexity (node count)

188

—

Rebalance corridor width

—

5.00%

Rebalance frequency

quarterly

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