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Volatility-Scaled S&P 500 with TECL, UPRO and TLT 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, leveraged equities, long treasuries, regime switching, tactical allocation, volatility targeting

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

Asset classes / instruments

equities

Market-relative

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

-0.03

—

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

2.55

—

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

0.83

—

Trading activity

Annualized turnover, backtest period (backtest)

6.43

—

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

6.60

—

Daily win rate, backtest period (backtest)

55.67%

—

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

56.77%

—

Backtest

Backtest final value (from $10,000)

$1.2M

—

Backtest regulatory fees

$708

—

Backtest slippage cost

$5,134

—

Returns

Backtest length

4,349

—

Out-of-sample length

916

—

Return, backtest period (annualized) (backtest)

31.94%

—

Return, backtest period (cumulative) (backtest)

12k%

—

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

45.07%

3.45%

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

287.26%

0.13%

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

1.61%

—

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

11.53%

0.00%

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

0.79%

—

Return, trailing 1 year (backtest)

36.90%

—

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

36.90%

0.00%

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

2.87%

—

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

12.69%

0.00%

SPY annualized return over the backtest window (backtest)

15.18%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.71

—

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

1.00

128.91

Maximum drawdown, backtest period (backtest)

-45.20%

—

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

-45.21%

-0.03%

Sharpe ratio, backtest period (backtest)

0.94

—

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

1.05

10.69

Sortino ratio, backtest period (backtest)

1.32

—

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

1.50

—

Standard deviation, backtest period (backtest)

36.68%

—

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

45.68%

0.35%

Quality

Community review status

ACTIVE

—

Holdings

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

0.58

—

Construction

Logic complexity (node count)

—

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