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Compare investment strategies

Short-Term Treasury Rate Regime Multi-Asset 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)

daily rebalance, etfs, leveraged/inverse, macro regime, momentum, multi-asset, risk-on/risk-off

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

Asset classes / instruments

equities

Market-relative

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

0.14

—

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

0.51

—

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

0.55

—

Trading activity

Annualized turnover, backtest period (backtest)

45.64

—

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

52.86

—

Daily win rate, backtest period (backtest)

55.12%

—

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

53.18%

—

Backtest

Backtest final value (from $10,000)

$397k

—

Backtest regulatory fees

$1,810

—

Backtest slippage cost

$14k

—

Returns

Backtest length

3,333

—

Out-of-sample length

519

—

Return, backtest period (annualized) (backtest)

32.09%

—

Return, backtest period (cumulative) (backtest)

3871%

—

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

24.66%

3.45%

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

56.78%

0.13%

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

-0.75%

—

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

-0.11%

0.00%

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

-1.30%

—

Return, trailing 1 year (backtest)

5.09%

—

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

8.65%

0.00%

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

-0.97%

—

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

0.79%

0.00%

SPY annualized return over the backtest window (backtest)

14.02%

—

Risk metrics

Calmar ratio, backtest period (backtest)

1.50

—

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

1.49

128.91

Maximum drawdown, backtest period (backtest)

-21.41%

—

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

-16.59%

-0.03%

Sharpe ratio, backtest period (backtest)

1.77

—

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

1.55

10.69

Sortino ratio, backtest period (backtest)

2.89

—

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

2.51

—

Standard deviation, backtest period (backtest)

16.54%

—

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

14.99%

0.35%

Quality

Community review status

ACTIVE

—

Holdings

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

0.27

—

Construction

Logic complexity (node count)

220

—

Rebalance corridor width

—

10.00%

Rebalance frequency

daily

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