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10-Stock Inverse-Volatility Basket with S&P 200-Day Filter vs D-Fence Trend Switch: SPY or T-Bills with Hedges

Every published figureShow 12 attributes

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

Classification

AI categories (Composer)

200-day ma, daily rebalance, inverse-vol weighting, t-bills, tactical equities, trend-following

bonds, defensive, inverse-hedge, managed futures, risk-on/off, t-bills, tactical, trend-following

Asset classes / instruments

equities

Risk metrics

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

2.04

28.47

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

-8.10%

-1.41%

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

1.09

3.57

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

15.27%

10.03%

Construction

Rebalance frequency

daily

Returns

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

16.56%

40.01%

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

10.22%

2.98%

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

2.28%

2.98%

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

0.00%

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

1.45%

2.82%

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