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Monthly Top-2 Asset Rotation (Stocks, Bonds, Gold) 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)

cross-asset rotation, global macro, momentum/relative strength, monthly rebalance, tactical asset allocation

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

Asset classes / instruments

equities

Market-relative

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

0.12

—

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

0.30

—

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

0.38

—

Trading activity

Annualized turnover, backtest period (backtest)

3.11

—

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

2.70

—

Daily win rate, backtest period (backtest)

56.72%

—

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

58.30%

—

Backtest

Backtest final value (from $10,000)

$99k

—

Backtest regulatory fees

$44

—

Backtest slippage cost

$317

—

Returns

Backtest length

4,815

—

Out-of-sample length

988

—

Return, backtest period (annualized) (backtest)

12.74%

—

Return, backtest period (cumulative) (backtest)

889.50%

—

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

19.19%

3.45%

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

99.15%

0.13%

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

0.38%

—

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

1.35%

0.00%

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

1.23%

—

Return, trailing 1 year (backtest)

25.06%

—

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

25.06%

0.00%

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

1.00%

—

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

11.58%

0.00%

SPY annualized return over the backtest window (backtest)

11.24%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.58

—

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

1.56

128.91

Maximum drawdown, backtest period (backtest)

-22.14%

—

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

-12.33%

-0.03%

Sharpe ratio, backtest period (backtest)

1.01

—

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

1.53

10.69

Sortino ratio, backtest period (backtest)

1.43

—

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

2.19

—

Standard deviation, backtest period (backtest)

12.62%

—

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

11.92%

0.35%

Quality

Community review status

ACTIVE

—

Holdings

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

0.50

—

Construction

Logic complexity (node count)

—

Rebalance corridor width

—

10.00%

Rebalance frequency

monthly

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