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Quarterly Bond-Timed Leveraged S&P/Nasdaq 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)

consumer staples, defensive hedging, gold, leveraged etfs, multi-asset, risk-on/risk-off, tactical allocation, tech/growth, treasuries, trend-based, usd

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

Asset classes / instruments

equities

Market-relative

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

0.08

—

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

0.89

—

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

0.37

—

Trading activity

Annualized turnover, backtest period (backtest)

3.66

—

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

3.77

—

Daily win rate, backtest period (backtest)

54.01%

—

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

50.60%

—

Backtest

Backtest final value (from $10,000)

$3.5M

—

Backtest regulatory fees

$961

—

Backtest slippage cost

$7,622

—

Returns

Backtest length

3,790

—

Out-of-sample length

1,008

—

Return, backtest period (annualized) (backtest)

47.70%

—

Return, backtest period (cumulative) (backtest)

35k%

—

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

22.58%

3.45%

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

125.94%

0.13%

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

-0.39%

—

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

-2.79%

0.00%

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

-0.00%

—

Return, trailing 1 year (backtest)

-16.21%

—

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

-16.21%

0.00%

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

-0.07%

—

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

-2.60%

0.00%

SPY annualized return over the backtest window (backtest)

15.41%

—

Risk metrics

Calmar ratio, backtest period (backtest)

1.14

—

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

0.54

128.91

Maximum drawdown, backtest period (backtest)

-41.81%

—

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

-41.81%

-0.03%

Sharpe ratio, backtest period (backtest)

1.27

—

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

0.72

10.69

Sortino ratio, backtest period (backtest)

1.94

—

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

1.13

—

Standard deviation, backtest period (backtest)

35.83%

—

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

37.91%

0.35%

Quality

Community review status

ACTIVE

—

Holdings

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

0.43

—

Construction

Logic complexity (node count)

—

Rebalance corridor width

—

10.00%

Rebalance frequency

quarterly

none

Popularity

Remixes (copies)

171

—

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