Inverse-Volatility Allocation vs Cross-Sectional Momentum
Two published track records side by side — same data, same methodology, zero verdicts.
Inverse-Volatility Allocation
coreSpreads capital across the universe, giving more weight to lower-volatility names. Recomputed monthly.
Full track record →
Cross-Sectional Momentum
coreHolds the strongest-trending names (12-month return, skipping the last month), equally weighted, refreshed monthly.
Full track record →
The numbers, side by side
| Inverse-Volatility Allocation | Cross-Sectional Momentum | |
|---|---|---|
| CAGR | 11.2% | 13.5% |
| Volatility (ann.) | 15.6% | 42.1% |
| Sharpe | 0.55 | 0.43 |
| Sortino | 0.79 | 0.62 |
| Max drawdown | -27.2% | -65.0% |
| Calmar | 0.41 | 0.21 |
| Simulated since | 2020-12 | 2021-10 |
Simulated backtests (up to 6 years of point-in-time data, costs included) — not live results. Methodology: here. Past performance does not predict future results.
What the data says
- Cross-Sectional Momentum posted the higher CAGR (13.5% vs 11.2%).
- Inverse-Volatility Allocation fell less at its worst (-27.2% vs -65.0%).
- Inverse-Volatility Allocation had the calmer ride (volatility 15.6% vs 42.1%).
These are facts from the published snapshots, not a recommendation — the rules differ in their risk profile. Overlay both equity curves in the interactive comparison tool.