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Emerging Markets 3x, Reduced Below SPY 200-Day Trend 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 rebalance, emerging markets, leveraged etfs, risk-on/risk-off, tactical allocation, 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)

1.10

—

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

-1.33

—

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

-0.26

—

Trading activity

Annualized turnover, backtest period (backtest)

47.14

—

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

49.99

—

Daily win rate, backtest period (backtest)

53.18%

—

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

52.34%

—

Backtest

Backtest final value (from $10,000)

$1.6B

—

Backtest regulatory fees

$2.6M

—

Backtest slippage cost

$25.2M

—

Returns

Backtest length

4,479

—

Out-of-sample length

363

—

Return, backtest period (annualized) (backtest)

95.91%

—

Return, backtest period (cumulative) (backtest)

15565k%

—

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

75.27%

3.45%

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

124.91%

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)

68.47%

—

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

68.42%

0.00%

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

7.52%

—

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

36.29%

0.00%

SPY annualized return over the backtest window (backtest)

14.92%

—

Risk metrics

Calmar ratio, backtest period (backtest)

1.79

—

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

1.41

128.91

Maximum drawdown, backtest period (backtest)

-53.51%

—

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

-53.52%

-0.03%

Sharpe ratio, backtest period (backtest)

1.57

—

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

1.21

10.69

Sortino ratio, backtest period (backtest)

2.40

—

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

1.86

—

Standard deviation, backtest period (backtest)

51.27%

—

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

63.07%

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)

—

Rebalance corridor width

—

10.00%

Rebalance frequency

daily

none

Popularity

Remixes (copies)

113

—

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