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Top-3 Vanguard Sectors by 200-Day Performance 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)

etfs, momentum, monthly rebalance, sector rotation, trend following, u.s. equities

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)

0.03

—

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

0.78

—

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

0.82

—

Trading activity

Annualized turnover, backtest period (backtest)

3.51

—

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

3.56

—

Daily win rate, backtest period (backtest)

54.83%

—

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

53.73%

—

Backtest

Backtest final value (from $10,000)

$83k

—

Backtest regulatory fees

$45

—

Backtest slippage cost

$331

—

Returns

Backtest length

5,342

—

Out-of-sample length

1,167

—

Return, backtest period (annualized) (backtest)

10.47%

—

Return, backtest period (cumulative) (backtest)

726.02%

—

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

14.50%

76.55%

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

87.31%

3.91%

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

0.64%

—

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

0.84%

0.00%

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

1.84%

—

Return, trailing 1 year (backtest)

10.74%

—

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

10.74%

0.00%

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

1.99%

—

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

5.89%

0.00%

SPY annualized return over the backtest window (backtest)

11.11%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.21

—

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

0.76

180.23

Maximum drawdown, backtest period (backtest)

-50.37%

—

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

-19.02%

-0.42%

Sharpe ratio, backtest period (backtest)

0.62

—

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

0.91

9.00

Sortino ratio, backtest period (backtest)

0.87

—

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

1.29

—

Standard deviation, backtest period (backtest)

18.81%

—

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

16.34%

6.75%

Holdings

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

0.33

—

Construction

Logic complexity (node count)

—

Rebalance frequency

monthly

daily

Popularity

Remixes (copies)

2,279

—

Watchers

2,142

—

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