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Emerging Markets 3x Long-Short with Inflation Signal 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)

cross-asset signals, daily rebalance, leveraged/inverse etfs, risk-managed, tactical em timing, trend and mean-reversion

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

Asset classes / instruments

equities

Market-relative

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

0.90

—

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

-1.37

—

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

-0.26

—

Trading activity

Annualized turnover, backtest period (backtest)

47.29

—

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

49.89

—

Daily win rate, backtest period (backtest)

53.95%

—

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

50.74%

—

Backtest

Backtest final value (from $10,000)

$498.1M

—

Backtest regulatory fees

$957k

—

Backtest slippage cost

$9.2M

—

Returns

Backtest length

3,657

—

Out-of-sample length

339

—

Return, backtest period (annualized) (backtest)

110.67%

—

Return, backtest period (cumulative) (backtest)

4981k%

—

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

47.25%

3.45%

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

68.56%

0.13%

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

3.08%

—

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

8.52%

0.00%

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

-1.76%

—

Return, trailing 1 year (backtest)

37.33%

—

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

37.28%

0.00%

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

7.52%

—

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

51.80%

0.00%

SPY annualized return over the backtest window (backtest)

14.53%

—

Risk metrics

Calmar ratio, backtest period (backtest)

1.59

—

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

0.68

128.91

Maximum drawdown, backtest period (backtest)

-69.60%

—

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

-69.60%

-0.03%

Sharpe ratio, backtest period (backtest)

1.75

—

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

0.92

10.69

Sortino ratio, backtest period (backtest)

2.73

—

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

1.40

—

Standard deviation, backtest period (backtest)

49.81%

—

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

64.95%

0.35%

Quality

Community review status

ACTIVE

—

Holdings

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

0.98

—

Construction

Logic complexity (node count)

108

—

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