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 | 14.2% | 15.5% |
| Volatility (ann.) | 15.7% | 38.7% |
| Sharpe | 0.73 | 0.49 |
| Sortino | 1.06 | 0.70 |
| Max drawdown | -27.1% | -66.7% |
| Calmar | 0.52 | 0.23 |
| Simulated since | 2020-10 | 2021-08 |
Simulated backtests (~5 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 (15.5% vs 14.2%).
- Inverse-Volatility Allocation fell less at its worst (-27.1% vs -66.7%).
- Inverse-Volatility Allocation had the calmer ride (volatility 15.7% vs 38.7%).
These are facts from the published snapshots, not a recommendation — different rules fit different risk tolerances. Overlay both equity curves in the interactive comparison tool.