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Volatility-Tiered S&P Leverage with ZROZ Treasury Hedge vs Domestic Leveraged Sector Trend Rotation

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)

equity–treasury barbell, leveraged etfs, s&p 500 focused, tactical allocation, trend-following, volatility targeting

crypto proxy, leveraged etfs, risk-on/risk-off, sector rotation, tactical allocation, trend-following, volatility hedging

Asset classes / instruments

equities

Market-relative

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

-0.10

—

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

1.93

—

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

0.86

—

Trading activity

Annualized turnover, backtest period (backtest)

9.67

—

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

4.58

—

Daily win rate, backtest period (backtest)

54.21%

—

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

52.93%

—

Backtest

Backtest final value (from $10,000)

$379k

—

Backtest regulatory fees

$293

—

Backtest slippage cost

$2,172

—

Returns

Backtest length

4,263

—

Out-of-sample length

495

—

Return, backtest period (annualized) (backtest)

23.97%

—

Return, backtest period (cumulative) (backtest)

3695%

—

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

19.69%

67.14%

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

41.82%

4.80%

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

-3.36%

—

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

5.98%

4.80%

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

-4.63%

—

Return, trailing 1 year (backtest)

26.23%

—

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

31.71%

0.00%

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

-3.65%

—

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

8.04%

0.00%

SPY annualized return over the backtest window (backtest)

14.49%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.40

—

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

0.47

53.07

Maximum drawdown, backtest period (backtest)

-59.60%

—

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

-41.63%

-1.27%

Sharpe ratio, backtest period (backtest)

0.76

—

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

0.67

4.69

Sortino ratio, backtest period (backtest)

1.05

—

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

0.83

—

Standard deviation, backtest period (backtest)

37.44%

—

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

37.38%

11.60%

Quality

Community review status

ACTIVE

—

Holdings

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

0.97

—

Construction

Logic complexity (node count)

—

Rebalance corridor width

—

1.00%

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