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EM Stock/Bond Risk Switch with Natural Gas Sleeve vs 100% SGOV Treasury Bill Cash Holder

Every published figureShow 42 attributes

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

Classification

AI categories (Composer)

commodity & currency hedges, daily rebalance, low-volatility, multi-asset, regime-switch, sector rotation, trend-following

capital preservation, cash management, low-risk income, treasury bills, ultra-short bond etf

Asset classes / instruments

equities

Market-relative

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

0.10

—

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

0.40

—

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

0.67

—

Trading activity

Annualized turnover, backtest period (backtest)

13.07

—

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

11.35

—

Daily win rate, backtest period (backtest)

56.51%

—

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

56.99%

—

Backtest

Backtest final value (from $10,000)

$102k

—

Backtest regulatory fees

$299

—

Backtest slippage cost

$1,666

—

Returns

Backtest length

3,727

—

Out-of-sample length

637

—

Return, backtest period (annualized) (backtest)

16.97%

—

Return, backtest period (cumulative) (backtest)

916.99%

—

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

17.88%

3.61%

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

51.06%

0.76%

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

-0.58%

—

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

-1.01%

0.32%

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

-0.15%

—

Return, trailing 1 year (backtest)

18.99%

—

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

19.12%

0.00%

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

-0.62%

—

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

1.10%

0.00%

SPY annualized return over the backtest window (backtest)

15.07%

—

Risk metrics

Calmar ratio, backtest period (backtest)

1.93

—

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

3.02

45148.96

Maximum drawdown, backtest period (backtest)

-8.80%

—

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

-5.93%

-0.00%

Sharpe ratio, backtest period (backtest)

1.74

—

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

1.79

20.28

Sortino ratio, backtest period (backtest)

2.63

—

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

2.73

—

Standard deviation, backtest period (backtest)

9.27%

—

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

9.46%

0.18%

Quality

Community review status

ACTIVE

—

Holdings

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

0.11

—

Construction

Logic complexity (node count)

—

Rebalance frequency

daily

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