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SPY Volatility Focus: SVIX, VXX and Anti-Beta vs Better Than a CD: Tech Trend with T-Bill Defense

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)

anti-beta/market-neutral, daily rebalanced, defensive/alternatives, low correlation, tactical momentum, volatility timing

bonds/gold, inverse/short, leveraged etfs, mean reversion, sector rotation, tactical asset allocation, trend-following, volatility hedged

Asset classes / instruments

equities

Market-relative

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

0.26

—

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

0.14

—

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

0.06

—

Trading activity

Annualized turnover, backtest period (backtest)

97.14

—

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

103.50

—

Daily win rate, backtest period (backtest)

53.87%

—

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

51.41%

—

Backtest

Backtest final value (from $10,000)

$70k

—

Backtest regulatory fees

$591

—

Backtest slippage cost

$4,004

—

Returns

Backtest length

1,136

—

Out-of-sample length

782

—

Return, backtest period (annualized) (backtest)

54.07%

—

Return, backtest period (cumulative) (backtest)

602.96%

—

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

26.05%

4.85%

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

105.29%

4.53%

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

1.40%

—

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

6.60%

0.38%

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

3.73%

—

Return, trailing 1 year (backtest)

7.15%

—

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

7.15%

6.30%

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

2.41%

—

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

3.07%

1.75%

SPY annualized return over the backtest window (backtest)

13.95%

—

Risk metrics

Calmar ratio, backtest period (backtest)

1.38

—

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

0.66

9.16

Maximum drawdown, backtest period (backtest)

-39.29%

—

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

-39.29%

-0.53%

Sharpe ratio, backtest period (backtest)

1.42

—

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

0.83

3.47

Sortino ratio, backtest period (backtest)

2.25

—

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

1.32

—

Standard deviation, backtest period (backtest)

34.55%

—

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

35.30%

1.37%

Quality

Community review status

ACTIVE

—

Holdings

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

0.79

—

Construction

Logic complexity (node count)

—

Rebalance frequency

daily

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