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Pareto Weekly K-1 Free: Leaders or Safe Havens 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, commodities, cross-asset, momentum, risk management, tactical asset allocation, trend-following, us large-cap equities, usd, volatility filter, weekly rebalance

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

Asset classes / instruments

equities

Market-relative

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

0.27

—

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

1.03

—

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

0.54

—

Trading activity

Annualized turnover, backtest period (backtest)

24.73

—

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

25.59

—

Daily win rate, backtest period (backtest)

55.31%

—

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

55.06%

—

Backtest

Backtest final value (from $10,000)

$1.2M

—

Backtest regulatory fees

$2,093

—

Backtest slippage cost

$17k

—

Returns

Backtest length

3,133

—

Out-of-sample length

356

—

Return, backtest period (annualized) (backtest)

46.76%

—

Return, backtest period (cumulative) (backtest)

12k%

—

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

63.67%

3.45%

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

100.97%

0.13%

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

-0.05%

—

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

-0.50%

0.00%

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

0.53%

—

Return, trailing 1 year (backtest)

38.20%

—

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

38.20%

0.00%

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

2.64%

—

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

6.92%

0.00%

SPY annualized return over the backtest window (backtest)

14.08%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.93

—

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

3.63

128.91

Maximum drawdown, backtest period (backtest)

-50.09%

—

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

-17.52%

-0.03%

Sharpe ratio, backtest period (backtest)

1.73

—

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

2.20

10.69

Sortino ratio, backtest period (backtest)

2.67

—

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

3.49

—

Standard deviation, backtest period (backtest)

23.91%

—

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

23.74%

0.35%

Quality

Community review status

ACTIVE

—

Holdings

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

0.18

—

Construction

Logic complexity (node count)

—

Rebalance corridor width

—

10.00%

Rebalance frequency

weekly

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