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Compare investment strategies

VOOG Gated Treasuries, Volatility or Tech/Health Basket 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)

equities and treasuries, momentum/rsi, multi-asset, risk-on/risk-off, tactical allocation, volatility hedge

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)

0.10

—

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

0.97

—

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

0.65

—

Trading activity

Annualized turnover, backtest period (backtest)

9.62

—

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

8.71

—

Daily win rate, backtest period (backtest)

55.99%

—

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

54.46%

—

Backtest

Backtest final value (from $10,000)

$764k

—

Backtest regulatory fees

$346

—

Backtest slippage cost

$2,879

—

Returns

Backtest length

1,904

—

Out-of-sample length

830

—

Return, backtest period (annualized) (backtest)

77.48%

—

Return, backtest period (cumulative) (backtest)

7545%

—

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

31.14%

138.64%

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

144.47%

3.87%

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

3.44%

—

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

12.83%

8.12%

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

5.25%

—

Return, trailing 1 year (backtest)

59.82%

—

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

59.82%

0.00%

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

4.29%

—

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

22.74%

0.00%

SPY annualized return over the backtest window (backtest)

16.16%

—

Risk metrics

Calmar ratio, backtest period (backtest)

3.58

—

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

1.44

51.98

Maximum drawdown, backtest period (backtest)

-21.64%

—

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

-21.64%

-2.67%

Sharpe ratio, backtest period (backtest)

1.95

—

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

1.33

4.29

Sortino ratio, backtest period (backtest)

4.19

—

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

2.21

—

Standard deviation, backtest period (backtest)

31.86%

—

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

22.25%

22.88%

Quality

Community review status

ACTIVE

—

Holdings

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

0.11

—

Construction

Logic complexity (node count)

—

Rebalance corridor width

99.90%

10.00%

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