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What More Do You Need Defensive Rotator 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)

cross-asset, daily rebalanced, leveraged etfs, momentum (rsi), tactical rotation, trend-following, volatility-aware

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

Asset classes / instruments

equities

Market-relative

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

0.61

—

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

2.04

—

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

0.56

—

Trading activity

Annualized turnover, backtest period (backtest)

51.37

—

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

57.02

—

Daily win rate, backtest period (backtest)

56.81%

—

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

55.96%

—

Backtest

Backtest final value (from $10,000)

$2.5B

—

Backtest regulatory fees

$4.0M

—

Backtest slippage cost

$38.1M

—

Returns

Backtest length

3,959

—

Out-of-sample length

411

—

Return, backtest period (annualized) (backtest)

120.50%

—

Return, backtest period (cumulative) (backtest)

24904k%

—

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

117.50%

3.45%

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

256.21%

0.13%

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

0.01%

—

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

-0.66%

0.00%

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

2.07%

—

Return, trailing 1 year (backtest)

147.63%

—

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

147.58%

0.00%

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

0.69%

—

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

6.43%

0.00%

SPY annualized return over the backtest window (backtest)

14.19%

—

Risk metrics

Calmar ratio, backtest period (backtest)

1.79

—

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

3.14

128.91

Maximum drawdown, backtest period (backtest)

-67.50%

—

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

-37.45%

-0.03%

Sharpe ratio, backtest period (backtest)

1.69

—

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

1.54

10.69

Sortino ratio, backtest period (backtest)

2.69

—

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

2.57

—

Standard deviation, backtest period (backtest)

56.19%

—

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

62.99%

0.35%

Quality

Community review status

ACTIVE

—

Holdings

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

0.87

—

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