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Quarterly Bond-Signal Risk Switch: Top ETF or IEF 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)

etf rotation, momentum, quarterly rebalance, risk-on/risk-off, tactical asset allocation, treasuries, us stocks

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)

0.19

—

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

0.33

—

Trading activity

Annualized turnover, backtest period (backtest)

2.51

—

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

2.36

—

Daily win rate, backtest period (backtest)

53.01%

—

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

51.15%

—

Backtest

Backtest final value (from $10,000)

$55k

—

Backtest regulatory fees

$27

—

Backtest slippage cost

$235

—

Returns

Backtest length

4,818

—

Out-of-sample length

1,173

—

Return, backtest period (annualized) (backtest)

9.28%

—

Return, backtest period (cumulative) (backtest)

445.80%

—

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

7.53%

3.45%

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

40.03%

0.13%

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

0.08%

—

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

-2.38%

0.00%

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

0.73%

—

Return, trailing 1 year (backtest)

-3.05%

—

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

-3.65%

0.00%

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

1.30%

—

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

-3.60%

0.00%

SPY annualized return over the backtest window (backtest)

11.06%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.32

—

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

0.44

128.91

Maximum drawdown, backtest period (backtest)

-28.63%

—

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

-16.97%

-0.03%

Sharpe ratio, backtest period (backtest)

0.72

—

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

0.76

10.69

Sortino ratio, backtest period (backtest)

1.03

—

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

1.16

—

Standard deviation, backtest period (backtest)

13.51%

—

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

10.18%

0.35%

Holdings

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

—

Construction

Logic complexity (node count)

—

Rebalance corridor width

—

10.00%

Rebalance frequency

quarterly

none

Popularity

Remixes (copies)

339

—

Watchers

472

—

Risk score

Risk rating (Composer data field)

Moderate

—

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