Compare backtests
Overlay up to three completed backtests. Every series is rebased to 100 at the start of its own period.
Quality & Momentum blend
SIX-GQISIX-CAMEqual weightvs Global Composite 60/40
Defensive core 3-sleeve
SIX-DCSSIX-ELVSIX-GRCRisk parityvs Global Composite 60/40
Historical performance
Index level, rebased to 100
Quality & Momentum blendDefensive core 3-sleeveGlobal Composite 60/40
Risk profile
Percent / ratio
Quality & Momentum blendDefensive core 3-sleeve
| Metric | Quality & Momentum blend | Defensive core 3-sleeve |
|---|---|---|
| Total return | +19.01%Higher return | +12.53%−6.48pp vs Quality & Momentum blend |
| Annualised return | +3.60%Higher return | +2.43%−1.17pp vs Quality & Momentum blend |
| Volatility | 7.74% | 3.18%−4.55pp vs Quality & Momentum blendLower volatility |
| Sharpe ratio | 0.21Better risk-adjusted | 0.14-0.07 vs Quality & Momentum blend |
| Max drawdown | -6.85% | -4.87%+1.98pp vs Quality & Momentum blendSmaller drawdown |
| Beta vs benchmark | 0.09 | 0.08 |
| Period | 01 Jan 2021 – 01 Dec 2025 | 01 Jan 2021 – 01 Dec 2025 |
Rules comparison
| Setting | Quality & Momentum blend | Defensive core 3-sleeve |
|---|---|---|
| AlgorithmDiffers | Equal weight | Risk parity |
| StrategiesDiffers | Global Quality Index, Cross-Asset Momentum | Defensive Carry Strategy, Equity Low Volatility, Global Rates Carry |
| Benchmark | Global Composite 60/40 | Global Composite 60/40 |
| Analysis period | 01 Jan 2021 – 01 Dec 2025 | 01 Jan 2021 – 01 Dec 2025 |
| Currency | USD | USD |
| Rebalance | Quarterly | Quarterly |
| Running costs | 15 bps p.a. | 15 bps p.a. |
| FX hedged | No | No |