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Cautious Fund Surfing 2x S&P with Defensive Trio vs VIXM Volatility Scaling Hedge with SHV Cash

Every published figureShow 43 attributes

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

Classification

AI categories (Composer)

defensive rotation, leveraged equities, mean reversion, risk-managed, tactical allocation

risk management, tactical allocation, treasuries, vix futures, volatility hedge

Asset classes / instruments

equities

Market-relative

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

0.08

—

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

1.01

—

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

0.79

—

Trading activity

Annualized turnover, backtest period (backtest)

21.89

—

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

21.61

—

Daily win rate, backtest period (backtest)

54.14%

—

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

55.45%

—

Backtest

Backtest final value (from $10,000)

$301k

—

Backtest regulatory fees

$920

—

Backtest slippage cost

$5,637

—

Returns

Backtest length

4,941

—

Out-of-sample length

936

—

Return, backtest period (annualized) (backtest)

18.95%

—

Return, backtest period (cumulative) (backtest)

2906%

—

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

30.71%

3.45%

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

170.72%

0.13%

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

0.57%

—

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

0.06%

0.00%

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

1.74%

—

Return, trailing 1 year (backtest)

15.71%

—

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

15.71%

0.00%

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

0.30%

—

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

5.69%

0.00%

SPY annualized return over the backtest window (backtest)

10.93%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.61

—

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

1.14

128.91

Maximum drawdown, backtest period (backtest)

-30.83%

—

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

-27.03%

-0.03%

Sharpe ratio, backtest period (backtest)

1.03

—

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

1.50

10.69

Sortino ratio, backtest period (backtest)

1.47

—

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

2.22

—

Standard deviation, backtest period (backtest)

18.45%

—

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

19.06%

0.35%

Quality

Community review status

ACTIVE

—

Holdings

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

0.57

—

Construction

Logic complexity (node count)

298

—

Rebalance corridor width

—

10.00%

Rebalance frequency

daily

none

Popularity

Remixes (copies)

—

Watchers

—

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