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Cocktail: Expansion/Contraction Multi-Asset Mix 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)

managed futures, multi-asset, risk-managed growth, tactical asset allocation, trend-following, volatility-aware

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

Asset classes / instruments

equities

Market-relative

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

0.07

—

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

0.78

—

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

0.81

—

Trading activity

Annualized turnover, backtest period (backtest)

11.01

—

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

9.32

—

Daily win rate, backtest period (backtest)

55.22%

—

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

55.88%

—

Backtest

Backtest final value (from $10,000)

$55k

—

Backtest regulatory fees

$57

—

Backtest slippage cost

$395

—

Returns

Backtest length

1,733

—

Out-of-sample length

859

—

Return, backtest period (annualized) (backtest)

27.95%

—

Return, backtest period (cumulative) (backtest)

445.28%

—

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

25.03%

3.45%

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

114.31%

0.13%

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

0.76%

—

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

2.05%

0.00%

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

0.77%

—

Return, trailing 1 year (backtest)

20.07%

—

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

20.08%

0.00%

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

0.61%

—

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

3.77%

0.00%

SPY annualized return over the backtest window (backtest)

16.02%

—

Risk metrics

Calmar ratio, backtest period (backtest)

2.25

—

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

2.06

128.91

Maximum drawdown, backtest period (backtest)

-12.43%

—

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

-12.17%

-0.03%

Sharpe ratio, backtest period (backtest)

1.65

—

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

1.64

10.69

Sortino ratio, backtest period (backtest)

2.59

—

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

2.53

—

Standard deviation, backtest period (backtest)

15.67%

—

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

14.29%

0.35%

Quality

Community review status

ACTIVE

—

Holdings

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

0.19

—

Construction

Logic complexity (node count)

252

—

Rebalance corridor width

5.00%

10.00%

Rebalance frequency

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