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Webull Sustainable ESG Model (BlackRock) vs Women-Led US Companies Momentum with Volatility Weighting

Every published figureShow 46 attributes

Each row is one exact variant (window and basis), so a value appears only where a source publishes it.

Classification

AI categories (Composer)

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equities, multi-sector, risk-managed, volatility targeting, weekly rebalance, women-led companies

Asset classes / instruments

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equities

Market-relative

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

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0.09

Benchmark (methodology text)

Aims to outperform respective benchmarks over a full market cycle (not named)

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

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1.15

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

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0.83

Trading activity

Annualized turnover, backtest period (backtest)

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8.39

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

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8.85

Daily win rate, backtest period (backtest)

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54.58%

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

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54.33%

Backtest

Backtest final value (from $10,000)

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$130k

Backtest regulatory fees

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$96

Backtest slippage cost

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$732

Returns

Backtest length

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2,838

Out-of-sample length

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473

Return, backtest period (annualized) (backtest)

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25.61%

Return, backtest period (cumulative) (backtest)

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1205%

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

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28.32%

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

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58.90%

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

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-0.74%

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

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4.47%

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

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-0.11%

Return, trailing 1 year (backtest)

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21.56%

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

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20.66%

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

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1.21%

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

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5.65%

SPY annualized return over the backtest window (backtest)

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14.13%

Risk metrics

Calmar ratio, backtest period (backtest)

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0.55

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

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1.12

Maximum drawdown, backtest period (backtest)

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-46.77%

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

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-25.36%

Sharpe ratio, backtest period (backtest)

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1.04

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

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1.19

Sortino ratio, backtest period (backtest)

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1.51

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

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1.77

Standard deviation, backtest period (backtest)

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24.88%

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

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23.31%

Quality

Community review status

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ACTIVE

Holdings

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

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0.10

Construction

Logic complexity (node count)

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Rebalance frequency

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weekly

Rebalancing (methodology text)

Annually, quarterly or as determined by BlackRock; 5% drift

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Cost & access

Management / advisory fee

0.20%

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Minimum investment

$100

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Popularity

Remixes (copies)

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Watchers

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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