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Commander BND Quarterly Nest Risk-On/Off 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)

leveraged etfs, macro rates filter, quarterly rebalance, risk-on/risk-off, tactical etf rotation, trend & momentum

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

Asset classes / instruments

equities

Market-relative

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

0.16

—

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

1.12

—

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

0.45

—

Trading activity

Annualized turnover, backtest period (backtest)

4.24

—

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

4.69

—

Daily win rate, backtest period (backtest)

53.54%

—

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

49.70%

—

Backtest

Backtest final value (from $10,000)

$7.6M

—

Backtest regulatory fees

$1,876

—

Backtest slippage cost

$16k

—

Returns

Backtest length

3,220

—

Out-of-sample length

1,006

—

Return, backtest period (annualized) (backtest)

68.10%

—

Return, backtest period (cumulative) (backtest)

76k%

—

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

37.64%

3.45%

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

258.50%

0.13%

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

-0.08%

—

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

-1.42%

0.00%

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

0.64%

—

Return, trailing 1 year (backtest)

1.76%

—

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

1.76%

0.00%

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

0.43%

—

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

-1.64%

0.00%

SPY annualized return over the backtest window (backtest)

13.99%

—

Risk metrics

Calmar ratio, backtest period (backtest)

1.53

—

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

0.84

128.91

Maximum drawdown, backtest period (backtest)

-44.60%

—

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

-44.60%

-0.03%

Sharpe ratio, backtest period (backtest)

1.53

—

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

1.01

10.69

Sortino ratio, backtest period (backtest)

2.45

—

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

1.64

—

Standard deviation, backtest period (backtest)

38.78%

—

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

38.77%

0.35%

Quality

Community review status

ACTIVE

—

Holdings

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

0.24

—

Construction

Logic complexity (node count)

154

—

Rebalance corridor width

—

10.00%

Rebalance frequency

quarterly

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