VIX Adaptive Momentum
Regime: Green when VIX 40-day SMA is at most 18; Yellow when 40-day SMA > 18 and 20-day SMA < 32; Red when both are above. Backtest max drawdown: -32.7%.
Strategy & methodology
Regime: Green when VIX 40-day SMA <= 18; Yellow when 40-day SMA > 18 and 20-day SMA < 32; Red when both are above; Momentum horizon: 10 months in Green, 3 in Yellow, 1 in Red; Rank SPY, VXF, EFA, AGG on that horizon at month-end; Hold the…
- Strategy type:
- Tactical asset allocation
- Rebalance frequency:
- Monthly
- Original publication:
- 2017-09-28; results after that are out-of-sample for the original research. All results are backtest simulations.
- Data through:
- Backtest data through 2026-10-01.
Simulated history
Stand-in funds and until when (5)
- AGG: VBMFX before Sep 26, 2003
- VXF: VEXMX before Jan 4, 2002
- EFA: VGTSX before Aug 17, 2001
- EFA: PRITX before Aug 17, 2001
- SPY: VFINX before Jan 29, 1993
Before these dates the backtest uses a stand-in, not the fund itself, so the results over those stretches show how the rules would have behaved, not what the fund returned.
Research data and disclosures
Regime: Green when VIX 40-day SMA is at most 18; Yellow when 40-day SMA > 18 and 20-day SMA < 32; Red when both are above. Backtest max drawdown: -32.7%. This is a tactical asset allocation strategy. BestFolio supplies the public rule or approach and backtest context; current signals, allocations, and paid interactive data remain restricted to Pro access. Users review the published signal and place any resulting trades in their own brokerage. Displayed returns remain hypothetical and do not represent a customer's brokerage record. The facts above show how current the data is.
- BestFolio supplies
- The monthly signal email and this strategy page; current signals and email alerts require Pro access.
- Customer action
- Review the published signal and place any required trades in your own brokerage. BestFolio does not execute orders.
- Costs and exclusions
- Backtests are net of a modeled one-way transaction cost (10 bps, scaled up to 3x under stress); taxes, fund-expense drift, or market impact are not modeled. No tax, no slippage beyond the stated cost. Methodology limitations
Published result: Engine drift-until-flip-v1, data version f1a02424, published 2026-10-01
Is VIX Adaptive Momentum still working in 2026?
VIX Adaptive Momentum returned 3.57% over the trailing 12 months and 54.53% over 36 months through 2026-10-01, compared with a full-backtest annualized return of 12.72%. Its full-backtest maximum drawdown was -32.74%. The full sample contains 8712 daily NAV observations from 1992-02-28. These are model results, not investor account returns or a promise. As of 2026-10-01 it is -8.13% below its high-water mark of 2026-06-02, 4 months ago, and its longest run below a previous high was 3.7 years. Recent returns do not establish that the strategy will keep working.
| Period | Return | CAGR | Max drawdown | Observations | Dates |
|---|---|---|---|---|---|
| Trailing 12 months | 3.57% | Not annualized | -11.42% | 255 | 2025-10-01 to 2026-10-01 |
| Trailing 36 months | 54.53% | Not annualized | -21.59% | 757 | 2023-09-29 to 2026-10-01 |
| Full backtest | 6195.54% | 12.72% | -32.74% | 8712 | 1992-02-28 to 2026-10-01 |
Last verified
Common questions about these results
Are these live investor returns?
No. These are the latest model NAV results from the published backtest. A recent date alone does not make a result an independently observed live record. Investor costs, taxes and execution can differ.
Why can a strategy lag for a year?
A tactical model can hold defensive assets during a rally or change positions during reversals. A short window can differ substantially from its full history. Compare cumulative returns over matching dates and inspect drawdowns as well.
How long has it spent below a previous high?
Its last high-water mark was 2026-06-02, 4 months before 2026-10-01, and it is -8.13% below that level now. The longest run below a previous high in the full backtest was 3.7 years. Recovering from a drawdown can take years, and a strong trailing return does not mean a past high has been regained.
Where can I check the signals behind these results?
The Signals tab on this page lists each dated model decision for the selected variant; for Pro strategies they are visible to Pro members. The methodology page explains the backtest assumptions.
VIX Adaptive Momentum at a glance
VIX Adaptive Momentum is a tactical asset allocation (TAA) strategy by Andrew Miller (Alpha Architect) across US Large-Cap Equity, US Completion Equity, International Developed Equity, US Aggregate Bonds, rebalanced monthly. Backtested 1992-02-28 to 2026-10-01 (34.6 years): 12.7% CAGR, 1.00 Sharpe, -32.7% max drawdown, 14.8% volatility.
- Type
- Tactical (TAA)
- Author
- Andrew Miller (Alpha Architect)
- Rebalancing
- Monthly
- Risk
- Moderate
- Period
- 1992-02-28 to 2026-10-01
- CAGR
- 12.7%
- Sharpe
- 1.00
- Max Drawdown
- -32.7%
- Volatility
- 14.8%
VIX Adaptive Momentum — Tactical Asset Allocation Strategy
VIX Adaptive Momentum uses the volatility regime to set the SPEED of a classic cross-asset momentum rotation, rather than to scale exposure. The rule was published by Andrew Miller on Alpha Architect in September 2017 and revisited nine years out of sample by David Mesicek in August 2026, with the out-of-sample period confirming the original design.
At each month-end the VIX regime is read from two moving averages: Green when the 40-day average is at or below 18, Yellow when it is above 18 while the 20-day average stays below 32, and Red when both are elevated. The regime picks the momentum horizon: 10 months in Green, 3 in Yellow, 1 in Red. SPY, VXF, EFA and AGG are ranked on that horizon and the top asset is held for the following month; when its momentum is negative the slot holds T-bills instead. The mechanism: volatility clusters, and in stressed markets slow momentum is stale, so rising VIX effectively raises the sampling speed of the signal.
VIX Adaptive Momentum: frequently asked questions
- What is VIX Adaptive Momentum?
- Cross-asset momentum (SPY, VXF, EFA, AGG) whose lookback speed is set by the VIX regime: 10-month momentum when the 40-day VIX average is at or below 18, 3-month when it is elevated, 1-month when the 20-day average also clears 32. Holds the top asset, or T-bills when its momentum is negative. Published by Andrew Miller (Alpha Architect, 2017) and verified out of sample by David Mesicek (2026).
- Who created the VIX Adaptive Momentum strategy?
- VIX Adaptive Momentum was developed by Andrew Miller (Alpha Architect). It is based on Andrew Miller (Alpha Architect, 2017); OOS validation David Mesicek (2026).
- What is the historical return and maximum drawdown of VIX Adaptive Momentum?
- Backtested from 1992-02-28 to 2026-10-01, VIX Adaptive Momentum returned 12.7% CAGR with a -32.7% maximum drawdown and a Sharpe ratio of 1.00. Past performance does not guarantee future results.
- How often is VIX Adaptive Momentum rebalanced?
- VIX Adaptive Momentum is rebalanced monthly. BestFolio publishes the updated allocation signal each period.
- Is VIX Adaptive Momentum a tactical asset allocation strategy?
- Yes. VIX Adaptive Momentum is a tactical asset allocation (TAA) strategy: it adjusts its holdings based on market signals each period rather than holding a fixed allocation.
Backtest Performance (1992-02-28 to 2026-10-01)
| Metric | VIX Adaptive Momentum |
|---|---|
| CAGR | 12.7% |
| Max Drawdown | -32.7% |
| Sharpe | 1.00 |
| Sortino | 1.76 |
| Volatility | 14.8% |
| Calmar | 0.39 |
| Total Return | 6195.5% |
| Backtest Period | 34.6 years |
Every rebalance fills at the signal-day close, net of modeled transaction costs. Followers trade at the next open; the delayed-close line in the Rebalance Frequency Sensitivity card shows the effect of trading one session later. Execution assumption
Strategy Details
- Type
- Tactical (TAA)
- Rebalancing
- monthly
- Risk Level
- moderate
- Variants
- 2
- Author
- Andrew Miller (Alpha Architect)
- Source
- Andrew Miller (Alpha Architect, 2017); OOS validation David Mesicek (2026)
Asset Classes
- US Large-Cap Equity
- US Completion Equity
- International Developed Equity
- US Aggregate Bonds
- T-Bills
Categories
Further reading
New to this approach? Read what tactical asset allocation is and how it works.
Holding VIX Adaptive Momentum alongside another strategy? Use the free portfolio overlap calculator to see how much of the two portfolios actually differs.
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Related research
- VIX Adaptive Momentum: a volatility input, not a volatility tradeThe VIX only decides how far back the momentum reading looks: 10 months when it is low, 3 when it is elevated, 1 in a crisis. Both published settings land near a 1.0 Sharpe over 34.6 years, and Top 2 gets within 0.03 of Top 1 with a shallower fall and nearly a third less turnover.
- 5 New Strategies for OctoberThe October batch is live: 2 leveraged portfolios from r/LETFs, a momentum model that changes speed with the VIX, a five-fund rotation and Keller's Flexible Asset Allocation. The numbers are the ones on the strategy pages.