VIX Shield
A daily VIX-based mix of stocks, managed futures, and gold. Higher volatility reduces the stock share; when VIX exceeds 35 but falls below its 10-day average, the model holds 70% UPRO.
- Type: Tactical
- Frequency: daily
- Asset classes: US Equity, Leveraged US Equity, Managed Futures, Gold
- Backtest window: 2019-05-08 to 2026-11-10
- 1Y
- 3.9%
- 3Y
- 52.8%
- CAGR
- 13.4%
- Max DD
- -10.4%
- Sharpe
- 1.14
Methodology
- Each session, check the VIX 10-day SMA and spot VIX against the four regime gates in order.
- Panic Reversal: if spot VIX > 35 AND spot VIX < its 10-day SMA, hold 70% UPRO, 15% DBMF, 15% GLD.
- Crisis: if VIX 10-day SMA >= 30, hold 20% SPY, 40% DBMF, 40% GLD.
- Elevated: if VIX 10-day SMA >= 20, hold 50% SPY, 25% DBMF, 25% GLD.
- Calm (fallback): hold 80% QQQ, 10% DBMF, 10% GLD.
Headline backtest performance as of 2026-11-10.