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Rising Rates Bet: JPM, BLK, STT with Inverse Long Treasuries 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)

concentrated, high volatility, interest-rate sensitive, leveraged inverse etf, long financials, macro, short long-term treasuries

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

Asset classes / instruments

equities

Market-relative

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

0.23

—

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

0.20

—

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

0.13

—

Trading activity

Annualized turnover, backtest period (backtest)

1.45

—

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

1.55

—

Daily win rate, backtest period (backtest)

50.43%

—

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

54.84%

—

Backtest

Backtest final value (from $10,000)

$12k

—

Backtest regulatory fees

—

Backtest slippage cost

—

Returns

Backtest length

4,398

—

Out-of-sample length

837

—

Return, backtest period (annualized) (backtest)

0.96%

—

Return, backtest period (cumulative) (backtest)

18.20%

—

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

27.08%

3.45%

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

121.87%

0.13%

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

-0.01%

—

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

5.75%

0.00%

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

-0.83%

—

Return, trailing 1 year (backtest)

32.88%

—

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

33.39%

0.00%

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

1.78%

—

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

14.27%

0.00%

SPY annualized return over the backtest window (backtest)

15.45%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.01

—

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

1.32

128.91

Maximum drawdown, backtest period (backtest)

-84.89%

—

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

-20.53%

-0.03%

Sharpe ratio, backtest period (backtest)

0.19

—

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

1.16

10.69

Sortino ratio, backtest period (backtest)

0.26

—

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

1.70

—

Standard deviation, backtest period (backtest)

30.68%

—

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

23.01%

0.35%

Quality

Community review status

ACTIVE

—

Holdings

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

0.36

—

Construction

Logic complexity (node count)

—

Rebalance corridor width

10.00%

Rebalance frequency

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