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Top Patent Holders Equal-Weight Basket (Quarterly) vs ERX, Refiners and Gold Miners Inverse-Volatility 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)

equal-weight, equities, global, innovation, multi-sector, patents, quarterly rebalance, rules-based

commodities, energy, gold miners, inverse-vol weighting, leveraged etfs, oil refiners, risk-balanced

Asset classes / instruments

equities

Market-relative

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

-0.01

—

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

1.21

—

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

0.89

—

Trading activity

Annualized turnover, backtest period (backtest)

1.54

—

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

2.02

—

Daily win rate, backtest period (backtest)

54.62%

—

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

55.34%

—

Backtest

Backtest final value (from $10,000)

$117k

—

Backtest regulatory fees

—

Backtest slippage cost

$30

—

Returns

Backtest length

3,995

—

Out-of-sample length

889

—

Return, backtest period (annualized) (backtest)

16.81%

—

Return, backtest period (cumulative) (backtest)

1074%

—

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

25.61%

138.64%

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

123.74%

3.87%

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

0.19%

—

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

-1.33%

8.12%

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

-1.04%

—

Return, trailing 1 year (backtest)

23.54%

—

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

23.54%

0.00%

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

-1.88%

—

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

-0.32%

0.00%

SPY annualized return over the backtest window (backtest)

14.53%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.45

—

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

1.09

51.98

Maximum drawdown, backtest period (backtest)

-37.34%

—

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

-23.56%

-2.67%

Sharpe ratio, backtest period (backtest)

0.86

—

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

1.24

4.29

Sortino ratio, backtest period (backtest)

1.23

—

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

1.85

—

Standard deviation, backtest period (backtest)

20.51%

—

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

20.07%

22.88%

Quality

Community review status

ACTIVE

—

Holdings

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

0.04

—

Construction

Logic complexity (node count)

—

Rebalance corridor width

—

10.00%

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