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Real Assets Mix with Volatility-Sized Commodities vs Macro-Filtered Short-Term Momentum with Mean Reversion

Every published figureShow 42 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, etfs, inflation hedge, multi-asset, real assets, risk-weighted

daily rebalance, long/short, macro regime rotation, momentum + mean reversion, multi-asset, risk-managed, tactical etf, volatility hedging

Asset classes / instruments

equities

Market-relative

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

0.02

—

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

0.28

—

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

0.48

—

Trading activity

Annualized turnover, backtest period (backtest)

1.06

—

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

1.13

—

Daily win rate, backtest period (backtest)

53.87%

—

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

54.56%

—

Backtest

Backtest final value (from $10,000)

$19k

—

Backtest regulatory fees

—

Backtest slippage cost

$11

—

Returns

Backtest length

2,942

—

Out-of-sample length

1,173

—

Return, backtest period (annualized) (backtest)

5.53%

—

Return, backtest period (cumulative) (backtest)

87.45%

—

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

6.17%

76.55%

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

32.01%

3.91%

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

0.37%

—

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

-2.85%

0.00%

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

0.15%

—

Return, trailing 1 year (backtest)

12.74%

—

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

14.33%

0.00%

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

1.27%

—

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

1.59%

0.00%

SPY annualized return over the backtest window (backtest)

13.77%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.26

—

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

0.31

180.23

Maximum drawdown, backtest period (backtest)

-21.34%

—

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

-19.89%

-0.42%

Sharpe ratio, backtest period (backtest)

0.62

—

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

0.64

9.00

Sortino ratio, backtest period (backtest)

0.86

—

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

0.92

—

Standard deviation, backtest period (backtest)

9.35%

—

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

10.16%

6.75%

Holdings

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

0.22

—

Construction

Logic complexity (node count)

—

Rebalance frequency

quarterly

daily

Popularity

Remixes (copies)

—

Watchers

229

—

Risk score

Risk rating (Composer data field)

Aggressive

—

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