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Hedge Fund 13F Holdings Index vs Pershing Square Style Basket with VIX Hedge and Dip Buys

Every published figureShow 44 attributes

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

Classification

AI categories (Composer)

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13f clone, leveraged etfs, long/short, momentum, risk management, tactical allocation, volatility hedge

Asset classes / instruments

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equities

Market-relative

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

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0.17

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

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0.72

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

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0.37

Trading activity

Annualized turnover, backtest period (backtest)

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35.23

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

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28.73

Daily win rate, backtest period (backtest)

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56.04%

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

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50.39%

Backtest

Backtest final value (from $10,000)

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$3.1M

Backtest regulatory fees

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$5,695

Backtest slippage cost

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$47k

Returns

Backtest length

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2,095

Out-of-sample length

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514

Return, backtest period (annualized) (backtest)

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99.40%

Return, backtest period (cumulative) (backtest)

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31k%

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

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26.33%

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

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60.33%

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

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3.13%

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

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-0.60%

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

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3.60%

Return, trailing 1 year (backtest)

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7.75%

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

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6.40%

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

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4.94%

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

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-4.77%

SPY annualized return over the backtest window (backtest)

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14.74%

Risk metrics

Calmar ratio, backtest period (backtest)

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5.30

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

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1.78

Maximum drawdown, backtest period (backtest)

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-18.74%

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

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-14.79%

Sharpe ratio, backtest period (backtest)

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2.26

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

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0.88

Sortino ratio, backtest period (backtest)

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4.43

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

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1.99

Standard deviation, backtest period (backtest)

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32.90%

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

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32.02%

Quality

Community review status

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ACTIVE

Holdings

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

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0.22

Construction

Logic complexity (node count)

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352

Rebalance corridor width

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10.00%

Rebalance frequency

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none

Rebalancing (methodology text)

Quarterly filings

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Popularity

Remixes (copies)

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Watchers

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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