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Compare investment strategies

Yield-Curve Regime Rotation with Junk-Bond Gauge 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)

commodities, currencies, long/short etfs, macro regime rotation, multi-asset, risk-on/off, tactical rotation, yield curve

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

Asset classes / instruments

equities

Market-relative

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

0.10

—

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

0.25

—

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

0.37

—

Trading activity

Annualized turnover, backtest period (backtest)

37.68

—

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

23.96

—

Daily win rate, backtest period (backtest)

57.19%

—

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

55.39%

—

Backtest

Backtest final value (from $10,000)

$468k

—

Backtest regulatory fees

$1,579

—

Backtest slippage cost

$12k

—

Returns

Backtest length

3,333

—

Out-of-sample length

547

—

Return, backtest period (annualized) (backtest)

33.73%

—

Return, backtest period (cumulative) (backtest)

4577%

—

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

15.95%

3.45%

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

37.48%

0.13%

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

-2.51%

—

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

4.34%

0.00%

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

-2.01%

—

Return, trailing 1 year (backtest)

10.27%

—

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

16.33%

0.00%

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

-1.11%

—

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

4.57%

0.00%

SPY annualized return over the backtest window (backtest)

14.02%

—

Risk metrics

Calmar ratio, backtest period (backtest)

4.34

—

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

2.18

128.91

Maximum drawdown, backtest period (backtest)

-7.78%

—

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

-7.32%

-0.03%

Sharpe ratio, backtest period (backtest)

2.43

—

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

1.42

10.69

Sortino ratio, backtest period (backtest)

4.13

—

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

2.03

—

Standard deviation, backtest period (backtest)

12.30%

—

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

10.87%

0.35%

Quality

Community review status

ACTIVE

—

Holdings

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

0.33

—

Construction

Logic complexity (node count)

141

—

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