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KMLM Nova Mix: 3x/4x Tech with VIX and KMLM Defense vs 100% SGOV Treasury Bill Cash Holder

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)

leveraged etfs, momentum, regime switching, tactical allocation, trend following, volatility hedging

capital preservation, cash management, low-risk income, treasury bills, ultra-short bond etf

Asset classes / instruments

equities

Market-relative

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

0.52

—

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

1.03

—

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

0.22

—

Trading activity

Annualized turnover, backtest period (backtest)

73.70

—

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

77.18

—

Daily win rate, backtest period (backtest)

55.50%

—

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

56.44%

—

Backtest

Backtest final value (from $10,000)

$23k

—

Backtest regulatory fees

$48

—

Backtest slippage cost

$353

—

Returns

Backtest length

382

—

Out-of-sample length

326

—

Return, backtest period (annualized) (backtest)

73.14%

—

Return, backtest period (cumulative) (backtest)

130.32%

—

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

76.64%

3.61%

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

109.23%

0.76%

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

-1.08%

—

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

-8.03%

0.32%

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

-3.16%

—

Return, trailing 1 year (backtest)

64.06%

—

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

64.16%

0.00%

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

-1.56%

—

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

32.94%

0.00%

SPY annualized return over the backtest window (backtest)

24.90%

—

Risk metrics

Calmar ratio, backtest period (backtest)

2.33

—

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

2.44

45148.96

Maximum drawdown, backtest period (backtest)

-31.38%

—

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

-31.38%

-0.00%

Sharpe ratio, backtest period (backtest)

1.23

—

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

1.29

20.28

Sortino ratio, backtest period (backtest)

1.75

—

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

1.82

—

Standard deviation, backtest period (backtest)

59.03%

—

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

56.88%

0.18%

Quality

Community review status

ACTIVE

—

Holdings

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

0.41

—

Construction

Logic complexity (node count)

485

—

Rebalance corridor width

10.00%

—

Rebalance frequency

none

daily

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