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Transport/Homebuilder-Gated Tech Dips with VIX Hedges 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)

leveraged/inverse etfs, mean reversion, momentum, multi-strategy, regime-switching, sector rotation, volatility hedge

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

Asset classes / instruments

equities

Market-relative

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

0.12

—

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

0.48

—

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

0.35

—

Trading activity

Annualized turnover, backtest period (backtest)

49.15

—

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

50.40

—

Daily win rate, backtest period (backtest)

59.71%

—

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

53.31%

—

Backtest

Backtest final value (from $10,000)

$338.9M

—

Backtest regulatory fees

$831k

—

Backtest slippage cost

$7.9M

—

Returns

Backtest length

3,760

—

Out-of-sample length

362

—

Return, backtest period (annualized) (backtest)

101.16%

—

Return, backtest period (cumulative) (backtest)

3389k%

—

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

29.19%

3.45%

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

43.74%

0.13%

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

-0.49%

—

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

2.06%

0.00%

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

-4.68%

—

Return, trailing 1 year (backtest)

12.63%

—

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

22.18%

0.00%

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

-4.82%

—

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

12.25%

0.00%

SPY annualized return over the backtest window (backtest)

14.98%

—

Risk metrics

Calmar ratio, backtest period (backtest)

6.54

—

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

3.27

128.91

Maximum drawdown, backtest period (backtest)

-15.48%

—

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

-8.92%

-0.03%

Sharpe ratio, backtest period (backtest)

3.32

—

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

1.61

10.69

Sortino ratio, backtest period (backtest)

7.02

—

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

2.38

—

Standard deviation, backtest period (backtest)

21.80%

—

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

16.85%

0.35%

Quality

Community review status

ACTIVE

—

Holdings

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

0.11

—

Construction

Logic complexity (node count)

2,396

—

Rebalance corridor width

—

10.00%

Rebalance frequency

daily

none

Popularity

Remixes (copies)

107

—

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