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KMLM Gauge Risk-On Themes with Inverse-Vol Sizing vs 50/50 Hedged Rotation and TQQQ Dip-Buy

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, inverse-vol sizing, kmlm yardstick, leveraged/inverse etfs, risk-on/risk-off, rsi-based, sector rotation, tactical allocation

leveraged etfs, macro regime, mean-reversion, sector rotation, tactical allocation, trend-following, volatility hedging

Asset classes / instruments

equities

Market-relative

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

0.13

—

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

0.65

—

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

0.38

—

Trading activity

Annualized turnover, backtest period (backtest)

47.43

—

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

48.29

—

Daily win rate, backtest period (backtest)

55.61%

—

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

54.03%

—

Backtest

Backtest final value (from $10,000)

$145k

—

Backtest regulatory fees

$507

—

Backtest slippage cost

$3,549

—

Returns

Backtest length

1,435

—

Out-of-sample length

533

—

Return, backtest period (annualized) (backtest)

59.97%

—

Return, backtest period (cumulative) (backtest)

1354%

—

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

24.95%

3.62%

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

59.47%

2.81%

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

-1.24%

—

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

-1.07%

0.34%

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

-0.43%

—

Return, trailing 1 year (backtest)

19.95%

—

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

13.00%

86.44%

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

-2.26%

—

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

7.05%

0.95%

SPY annualized return over the backtest window (backtest)

14.84%

—

Risk metrics

Calmar ratio, backtest period (backtest)

3.39

—

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

1.41

331.36

Maximum drawdown, backtest period (backtest)

-17.67%

—

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

-17.67%

-0.01%

Sharpe ratio, backtest period (backtest)

1.91

—

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

0.95

18.06

Sortino ratio, backtest period (backtest)

3.00

—

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

1.28

—

Standard deviation, backtest period (backtest)

26.41%

—

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

27.59%

0.20%

Quality

Community review status

ACTIVE

—

Holdings

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

0.41

—

Construction

Logic complexity (node count)

832

—

Rebalance corridor width

—

9.00%

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