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Monthly JNK Credit Canary: 2x S&P, TMF, Safety Mix 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)

bonds, contrarian, gold, leveraged etfs, momentum, risk-on/risk-off, tactical asset allocation, us dollar, volatility hedge

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

Asset classes / instruments

equities

Market-relative

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

0.11

—

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

0.63

—

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

0.48

—

Trading activity

Annualized turnover, backtest period (backtest)

19.25

—

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

25.84

—

Daily win rate, backtest period (backtest)

54.44%

—

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

54.56%

—

Backtest

Backtest final value (from $10,000)

$434k

—

Backtest regulatory fees

$1,365

—

Backtest slippage cost

$10k

—

Returns

Backtest length

3,775

—

Out-of-sample length

942

—

Return, backtest period (annualized) (backtest)

28.61%

—

Return, backtest period (cumulative) (backtest)

4237%

—

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

25.56%

3.45%

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

134.35%

0.13%

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

0.57%

—

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

-0.85%

0.00%

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

0.61%

—

Return, trailing 1 year (backtest)

0.04%

—

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

0.04%

0.00%

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

-0.17%

—

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

-4.41%

0.00%

SPY annualized return over the backtest window (backtest)

15.79%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.88

—

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

2.13

128.91

Maximum drawdown, backtest period (backtest)

-32.45%

—

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

-12.01%

-0.03%

Sharpe ratio, backtest period (backtest)

1.25

—

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

1.27

10.69

Sortino ratio, backtest period (backtest)

1.96

—

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

1.98

—

Standard deviation, backtest period (backtest)

22.13%

—

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

19.41%

0.35%

Quality

Community review status

ACTIVE

—

Holdings

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

0.47

—

Construction

Logic complexity (node count)

—

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