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Risk-Managed Multi-Asset Rotation with Inverse Hedges vs Rising Rates Volatility Switch Risk-Parity Mix

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)

long/short etfs, momentum and mean reversion, multi-asset, regime switching, risk-managed, tactical asset allocation

financials, gold, leveraged etfs, multi-asset, risk parity, risk-on/risk-off, tactical, tech, treasuries, u.s. dollar, volatility targeting

Asset classes / instruments

equities

Market-relative

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

0.13

—

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

0.47

—

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

0.54

—

Trading activity

Annualized turnover, backtest period (backtest)

42.61

—

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

39.54

—

Daily win rate, backtest period (backtest)

58.46%

—

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

53.96%

—

Backtest

Backtest final value (from $10,000)

$12.9M

—

Backtest regulatory fees

$38k

—

Backtest slippage cost

$324k

—

Returns

Backtest length

4,769

—

Out-of-sample length

543

—

Return, backtest period (annualized) (backtest)

46.00%

—

Return, backtest period (cumulative) (backtest)

129k%

—

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

21.92%

3.62%

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

52.67%

2.81%

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

-0.27%

—

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

1.00%

0.34%

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

-0.13%

—

Return, trailing 1 year (backtest)

13.95%

—

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

15.62%

6.30%

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

1.62%

—

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

6.42%

0.95%

SPY annualized return over the backtest window (backtest)

10.98%

—

Risk metrics

Calmar ratio, backtest period (backtest)

4.44

—

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

2.11

331.36

Maximum drawdown, backtest period (backtest)

-10.36%

—

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

-10.36%

-0.01%

Sharpe ratio, backtest period (backtest)

2.68

—

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

1.49

18.06

Sortino ratio, backtest period (backtest)

4.86

—

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

2.53

—

Standard deviation, backtest period (backtest)

14.50%

—

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

14.01%

0.20%

Quality

Community review status

ACTIVE

—

Holdings

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

0.15

—

Construction

Logic complexity (node count)

165

—

Rebalance corridor width

5.00%

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