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Monthly SPY vs TLT 3-Month Relative Momentum vs VIXM Volatility Scaling Hedge with SHV Cash

Every published figureShow 13 attributes

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

Classification

AI categories (Composer)

momentum, monthly rotation, risk-on/risk-off, stocks vs bonds, tactical asset allocation, trend-following

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

Asset classes / instruments

equities

Risk metrics

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

0.12

128.91

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

-27.43%

-0.03%

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

0.28

10.69

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

15.61%

0.35%

Construction

Rebalance corridor width

—

10.00%

Rebalance frequency

monthly

none

Returns

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

3.20%

3.45%

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

15.74%

0.13%

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

2.37%

0.00%

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

7.18%

0.00%

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

3.83%

0.00%

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