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Schwab Intelligent Portfolios (Robo) vs Tax-Aware Cautious Fund Surfing 3x Stocks and Treasuries

Every published figureShow 44 attributes

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

Classification

AI categories (Composer)

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dip-buying, leveraged etfs, relative strength, tactical asset allocation, tax-aware, treasuries hedge, trend-following, volatility targeting

Asset classes / instruments

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equities

Market-relative

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

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-0.04

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

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1.27

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

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0.89

Trading activity

Annualized turnover, backtest period (backtest)

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20.57

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

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14.27

Daily win rate, backtest period (backtest)

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55.81%

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

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56.92%

Backtest

Backtest final value (from $10,000)

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$53k

Backtest regulatory fees

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$109

Backtest slippage cost

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$671

Returns

Backtest length

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1,600

Out-of-sample length

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715

Return, backtest period (annualized) (backtest)

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30.04%

Return, backtest period (cumulative) (backtest)

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430.54%

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

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23.04%

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

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80.23%

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

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0.29%

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

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-0.88%

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

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0.86%

Return, trailing 1 year (backtest)

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18.97%

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

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18.98%

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

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0.03%

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

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0.89%

SPY annualized return over the backtest window (backtest)

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17.66%

Risk metrics

Calmar ratio, backtest period (backtest)

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1.13

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

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0.87

Maximum drawdown, backtest period (backtest)

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-26.53%

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

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-26.53%

Sharpe ratio, backtest period (backtest)

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1.55

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

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1.06

Sortino ratio, backtest period (backtest)

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2.39

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

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1.59

Standard deviation, backtest period (backtest)

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18.04%

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

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21.77%

Quality

Community review status

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ACTIVE

Holdings

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

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0.46

Construction

Logic complexity (node count)

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3,388

Rebalance frequency

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daily

Rebalancing (methodology text)

Rebalancing Algorithms review daily; rebalance when ETF allocation deviates from recommended allocation by more than an amount in CS&Co.'s parameters; also on profile/restriction changes, deposits, withdrawals; orders reviewed by CSIM before execution

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Cost & access

Minimum investment

$5,000

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Popularity

Remixes (copies)

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Watchers

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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