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Quarterly BND Bond-Signal Risk Rotation 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)

bond signals, inverse etfs, leveraged etfs, quarterly rebalancing, risk-on/risk-off, sector rotation, tactical 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)

-0.05

—

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

1.43

—

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

0.64

—

Trading activity

Annualized turnover, backtest period (backtest)

4.26

—

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

4.46

—

Daily win rate, backtest period (backtest)

54.07%

—

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

51.18%

—

Backtest

Backtest final value (from $10,000)

$1.3M

—

Backtest regulatory fees

$348

—

Backtest slippage cost

$2,601

—

Returns

Backtest length

3,220

—

Out-of-sample length

844

—

Return, backtest period (annualized) (backtest)

46.24%

—

Return, backtest period (cumulative) (backtest)

13k%

—

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

20.89%

3.45%

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

88.90%

0.13%

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

-0.15%

—

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

-0.66%

0.00%

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

0.69%

—

Return, trailing 1 year (backtest)

-1.62%

—

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

-1.62%

0.00%

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

1.26%

—

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

1.59%

0.00%

SPY annualized return over the backtest window (backtest)

13.99%

—

Risk metrics

Calmar ratio, backtest period (backtest)

1.17

—

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

0.53

128.91

Maximum drawdown, backtest period (backtest)

-39.40%

—

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

-39.40%

-0.03%

Sharpe ratio, backtest period (backtest)

1.37

—

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

0.73

10.69

Sortino ratio, backtest period (backtest)

2.12

—

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

1.14

—

Standard deviation, backtest period (backtest)

31.37%

—

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

33.34%

0.35%

Quality

Community review status

ACTIVE

—

Holdings

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

0.19

—

Construction

Logic complexity (node count)

102

—

Rebalance corridor width

—

10.00%

Rebalance frequency

quarterly

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