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S&P Minimum Drawdown with Gold, Dollar and Treasuries vs 100% SGOV Treasury Bill Cash Holder

Every published figureShow 42 attributes

Each row is one exact variant (window and basis), so a value appears only where a source publishes it.

Classification

AI categories (Composer)

buy-the-dip, daily rebalanced, drawdown control, hedged, leveraged etfs, multi-asset, risk-managed, tactical allocation, trend-following

capital preservation, cash management, low-risk income, treasury bills, ultra-short bond etf

Asset classes / instruments

equities

Market-relative

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

0.07

—

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

0.56

—

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

0.80

—

Trading activity

Annualized turnover, backtest period (backtest)

7.82

—

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

9.91

—

Daily win rate, backtest period (backtest)

56.83%

—

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

56.13%

—

Backtest

Backtest final value (from $10,000)

$57k

—

Backtest regulatory fees

$178

—

Backtest slippage cost

$585

—

Returns

Backtest length

3,514

—

Out-of-sample length

1,167

—

Return, backtest period (annualized) (backtest)

13.26%

—

Return, backtest period (cumulative) (backtest)

467.87%

—

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

16.03%

3.61%

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

99.18%

0.76%

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

0.54%

—

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

-0.17%

0.32%

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

0.56%

—

Return, trailing 1 year (backtest)

32.86%

—

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

32.87%

0.00%

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

-0.28%

—

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

8.53%

0.00%

SPY annualized return over the backtest window (backtest)

14.73%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.86

—

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

1.04

45148.96

Maximum drawdown, backtest period (backtest)

-15.45%

—

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

-15.44%

-0.00%

Sharpe ratio, backtest period (backtest)

1.20

—

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

1.30

20.28

Sortino ratio, backtest period (backtest)

1.75

—

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

1.98

—

Standard deviation, backtest period (backtest)

10.87%

—

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

12.01%

0.18%

Holdings

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

0.19

—

Construction

Logic complexity (node count)

—

Rebalance frequency

daily

Popularity

Remixes (copies)

438

—

Watchers

431

—

Risk score

Risk rating (Composer data field)

Aggressive

—

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