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Protected Leverage Bond-vs-Cash Risk Switch 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)

daily rebalance, leveraged etf rotation, macro hedging, risk-on/risk-off, tactical asset allocation, trend + mean reversion

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

Asset classes / instruments

equities

Market-relative

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

0.09

—

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

1.78

—

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

0.50

—

Trading activity

Annualized turnover, backtest period (backtest)

45.02

—

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

48.38

—

Daily win rate, backtest period (backtest)

54.93%

—

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

53.87%

—

Backtest

Backtest final value (from $10,000)

$15.0M

—

Backtest regulatory fees

$55k

—

Backtest slippage cost

$483k

—

Returns

Backtest length

3,790

—

Out-of-sample length

1,008

—

Return, backtest period (annualized) (backtest)

62.57%

—

Return, backtest period (cumulative) (backtest)

150k%

—

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

36.47%

3.45%

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

247.26%

0.13%

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

-0.40%

—

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

-2.72%

0.00%

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

0.01%

—

Return, trailing 1 year (backtest)

10.04%

—

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

10.00%

0.00%

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

-0.05%

—

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

-5.73%

0.00%

SPY annualized return over the backtest window (backtest)

15.41%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.93

—

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

0.55

128.91

Maximum drawdown, backtest period (backtest)

-67.43%

—

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

-66.04%

-0.03%

Sharpe ratio, backtest period (backtest)

1.20

—

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

0.84

10.69

Sortino ratio, backtest period (backtest)

1.76

—

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

1.23

—

Standard deviation, backtest period (backtest)

52.09%

—

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

55.67%

0.35%

Quality

Community review status

ACTIVE

—

Holdings

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

0.46

—

Construction

Logic complexity (node count)

—

Rebalance corridor width

—

10.00%

Rebalance frequency

daily

none

Popularity

Remixes (copies)

312

—

Watchers

192

—

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