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Tech Dips with Dollar and Commodity 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)

leveraged etfs, macro regime, mean reversion, multi-asset, tactical allocation, trend following, volatility hedging

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)

0.02

—

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

1.39

—

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

0.43

—

Trading activity

Annualized turnover, backtest period (backtest)

80.62

—

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

75.32

—

Daily win rate, backtest period (backtest)

58.33%

—

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

54.14%

—

Backtest

Backtest final value (from $10,000)

$51.4B

—

Backtest regulatory fees

$253.7M

—

Backtest slippage cost

$2.4B

—

Returns

Backtest length

3,480

—

Out-of-sample length

953

—

Return, backtest period (annualized) (backtest)

206.07%

—

Return, backtest period (cumulative) (backtest)

513979k%

—

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

22.97%

3.62%

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

118.78%

2.81%

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

-0.10%

—

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

0.68%

0.34%

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

6.69%

—

Return, trailing 1 year (backtest)

-5.40%

—

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

-5.43%

6.30%

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

3.64%

—

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

29.24%

0.95%

SPY annualized return over the backtest window (backtest)

15.09%

—

Risk metrics

Calmar ratio, backtest period (backtest)

5.06

—

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

0.56

331.36

Maximum drawdown, backtest period (backtest)

-40.72%

—

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

-40.73%

-0.01%

Sharpe ratio, backtest period (backtest)

2.61

—

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

0.65

18.06

Sortino ratio, backtest period (backtest)

5.22

—

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

1.08

—

Standard deviation, backtest period (backtest)

46.82%

—

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

48.81%

0.20%

Quality

Community review status

ACTIVE

—

Holdings

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

0.35

—

Construction

Logic complexity (node count)

2,577

—

Rebalance corridor width

10.00%

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