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Compare investment strategies

Nasdaq or Low-Vol Blue Chips on Inflation/Bond Signals 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)

defensive quality tilt, mean-reversion, nasdaq-focused, regime-switching, trend-following, volatility hedging

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

Asset classes / instruments

equities

Market-relative

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

0.02

—

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

0.71

—

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

0.49

—

Trading activity

Annualized turnover, backtest period (backtest)

58.08

—

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

64.89

—

Daily win rate, backtest period (backtest)

58.30%

—

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

51.79%

—

Backtest

Backtest final value (from $10,000)

$52.4M

—

Backtest regulatory fees

$209k

—

Backtest slippage cost

$2.0M

—

Returns

Backtest length

3,513

—

Out-of-sample length

558

—

Return, backtest period (annualized) (backtest)

84.81%

—

Return, backtest period (cumulative) (backtest)

524k%

—

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

13.88%

3.45%

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

33.01%

0.13%

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

-0.44%

—

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

-0.55%

0.00%

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

-2.73%

—

Return, trailing 1 year (backtest)

-5.28%

—

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

1.08%

0.00%

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

0.13%

—

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

-0.45%

0.00%

SPY annualized return over the backtest window (backtest)

14.85%

—

Risk metrics

Calmar ratio, backtest period (backtest)

3.84

—

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

0.63

128.91

Maximum drawdown, backtest period (backtest)

-22.06%

—

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

-22.06%

-0.03%

Sharpe ratio, backtest period (backtest)

2.58

—

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

0.66

10.69

Sortino ratio, backtest period (backtest)

5.58

—

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

0.97

—

Standard deviation, backtest period (backtest)

25.04%

—

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

24.00%

0.35%

Quality

Community review status

ACTIVE

—

Holdings

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

0.41

—

Construction

Logic complexity (node count)

338

—

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