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Emerging Markets 3x Long/Short Sorter by Stock-Bond Signals 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)

daily rebalanced, emerging markets, leveraged etfs, long/short, risk-on/off, tactical 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)

0.45

—

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

0.31

—

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

0.08

—

Trading activity

Annualized turnover, backtest period (backtest)

36.39

—

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

42.24

—

Daily win rate, backtest period (backtest)

52.26%

—

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

50.87%

—

Backtest

Backtest final value (from $10,000)

$67.0M

—

Backtest regulatory fees

$147k

—

Backtest slippage cost

$1.4M

—

Returns

Backtest length

4,294

—

Out-of-sample length

686

—

Return, backtest period (annualized) (backtest)

67.69%

—

Return, backtest period (cumulative) (backtest)

670k%

—

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

38.00%

3.45%

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

140.64%

0.13%

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

-3.08%

—

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

6.22%

0.00%

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

3.58%

—

Return, trailing 1 year (backtest)

50.19%

—

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

50.15%

0.00%

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

5.24%

—

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

15.51%

0.00%

SPY annualized return over the backtest window (backtest)

14.49%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.85

—

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

0.63

128.91

Maximum drawdown, backtest period (backtest)

-79.79%

—

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

-59.89%

-0.03%

Sharpe ratio, backtest period (backtest)

1.14

—

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

0.83

10.69

Sortino ratio, backtest period (backtest)

1.68

—

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

1.25

—

Standard deviation, backtest period (backtest)

63.12%

—

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

61.14%

0.35%

Quality

Community review status

ACTIVE

—

Holdings

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

1.00

—

Construction

Logic complexity (node count)

—

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