VIX Shield
Compute 10-day SMA of VIX. Panic Reversal: spot VIX > 35 AND spot VIX < VIX SMA then 70% SPY, 15% DBMF, 15% GLD. Backtest max drawdown: -52.2%.
Strategy & methodology
Compute 10-day SMA of VIX; Panic Reversal: spot VIX > 35 AND spot VIX < VIX SMA → 70% SPY, 15% DBMF, 15% GLD; Crisis: VIX SMA >= 30 → 20% SPY, 40% DBMF, 40% GLD; Elevated: VIX SMA >= 20 → 50% SPY, 25% DBMF, 25% GLD; Calm (fallback): VIX…
- Strategy type:
- Tactical asset allocation
- Rebalance frequency:
- Daily
- Original publication:
- 2025; results after that are out-of-sample for the original research. All results are backtest simulations.
- Data through:
- Backtest data through 2026-10-02.
Simulated history
- Full history, since 1990
- 12.1% a year, worst fall -52.2% (Mar 10, 2009, a simulated 3x)
- Since UPRO launched (Jun 25, 2009)
- 17.6% a year, worst fall -23.7% (Mar 23, 2020)
Still partly simulated until May 2019: DBMF is reconstructed before its own launch.
Stand-in funds and until when (3)
- DBMF: KMLM before May 8, 2019
- UPRO: simulated 3x SPY before Jun 25, 2009
- 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
Compute 10-day SMA of VIX. Panic Reversal: spot VIX > 35 AND spot VIX < VIX SMA then 70% SPY, 15% DBMF, 15% GLD. Backtest max drawdown: -52.2%. 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 daily 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 8ca2c29a, published 2026-10-01
Is VIX Shield still working in 2026?
VIX Shield returned 14.90% over the trailing 12 months and 75.58% over 36 months through 2026-10-02, compared with a full-backtest annualized return of 12.08%. Its full-backtest maximum drawdown was -52.18%. The full sample contains 9399 daily NAV observations from 1990-01-16. These are model results, not investor account returns or a promise. As of 2026-10-02 it is -0.70% below its high-water mark of 2026-09-22, 10 days ago, and its longest run below a previous high was 4.2 years. Recent returns do not establish that the strategy will keep working.
| Period | Return | CAGR | Max drawdown | Observations | Dates |
|---|---|---|---|---|---|
| Trailing 12 months | 14.90% | Not annualized | -10.63% | 255 | 2025-10-02 to 2026-10-02 |
| Trailing 36 months | 75.58% | Not annualized | -15.65% | 757 | 2023-10-02 to 2026-10-02 |
| Full backtest | 6487.01% | 12.08% | -52.18% | 9399 | 1990-01-16 to 2026-10-02 |
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 2026-09-22, 10 days before 2026-10-02, and it is -0.70% below that level now. The longest run below a previous high in the full backtest was 4.2 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 Shield at a glance
VIX Shield is a tactical asset allocation (TAA) strategy by BestFolio across US Equity, Managed Futures, Gold, rebalanced daily. Backtested 1990-01-16 to 2026-10-02 (36.7 years): 12.1% CAGR, 0.86 Sharpe, -52.2% max drawdown, 17.5% volatility.
- Type
- Tactical (TAA)
- Author
- BestFolio
- Rebalancing
- Daily
- Risk
- Aggressive
- Period
- 1990-01-16 to 2026-10-02
- CAGR
- 12.1%
- Sharpe
- 0.86
- Max Drawdown
- -52.2%
- Volatility
- 17.5%
VIX Shield — Tactical Asset Allocation Strategy
VIX Shield is a BestFolio original daily strategy that uses VIX levels to dynamically allocate between equities, managed futures, and gold. It uses the 10-day SMA of VIX for regime thresholds.
Four regimes (priority order): 1. Panic Reversal: Spot VIX > 35 AND falling → 70% SPY, 15% DBMF, 15% GLD 2. Crisis: VIX SMA >= 30 → 20% SPY, 40% DBMF, 40% GLD 3. Elevated: VIX SMA >= 20 → 50% SPY, 25% DBMF, 25% GLD 4. Calm: VIX SMA < 20 → 80% QQQ, 10% DBMF, 10% GLD
VIX Shield: frequently asked questions
- What is VIX Shield?
- ⚠️ THE LEVERAGED VARIANT IS FOR EDUCATIONAL/COMPARISON PURPOSES ONLY: we strongly advise against running it with real money. Daily VIX regime allocator. Uses 10-day VIX SMA to shift between equities, managed futures, and gold. Contrarian panic reversal at extremes.
- Who created the VIX Shield strategy?
- VIX Shield was developed by BestFolio. It is based on BestFolio original strategy (2024).
- What is the historical return and maximum drawdown of VIX Shield?
- Backtested from 1990-01-16 to 2026-10-02, VIX Shield returned 12.1% CAGR with a -52.2% maximum drawdown and a Sharpe ratio of 0.86. Past performance does not guarantee future results.
- How often is VIX Shield rebalanced?
- VIX Shield is rebalanced daily. BestFolio publishes the updated allocation signal each period.
- Is VIX Shield a tactical asset allocation strategy?
- Yes. VIX Shield 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 (1990-01-16 to 2026-10-02)
| Metric | VIX Shield |
|---|---|
| CAGR | 12.1% |
| Max Drawdown | -52.2% |
| Sharpe | 0.86 |
| Sortino | 1.51 |
| Volatility | 17.5% |
| Calmar | 0.23 |
| Total Return | 6489.3% |
| Backtest Period | 36.7 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
- daily
- Risk Level
- aggressive
- Variants
- 3
- Author
- BestFolio
- Source
- BestFolio original strategy (2024)
Asset Classes
- US Equity
- Managed Futures
- Gold
Further reading
New to this approach? Read what tactical asset allocation is and how it works.
Holding VIX Shield alongside another strategy? Use the free portfolio overlap calculator to see how much of the two portfolios actually differs.
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