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 2026-07-03 (36.5 years): 12.0% CAGR, 0.86 Sharpe, -51.1% max drawdown, 17.3% volatility.
- Type
- Tactical (TAA)
- Author
- BestFolio
- Rebalancing
- Daily
- Risk
- Aggressive
- Period
- 1990-01-16 to 2026-07-03
- CAGR
- 12.0%
- Sharpe
- 0.86
- Max Drawdown
- -51.1%
- Volatility
- 17.3%
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 2026-07-03, VIX Shield returned 12.0% CAGR with a -51.1% 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 2026-07-03)
| Metric | VIX Shield |
|---|---|
| Compound Annual Growth Rate (CAGR) | 12.0% |
| Maximum Drawdown | -51.1% |
| Sharpe Ratio | 0.86 |
| Sortino Ratio | 1.38 |
| Annualized Volatility | 17.3% |
| Calmar Ratio | 0.23 |
| Total Return | 6138.1% |
| Backtest Period | 36.5 years |
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.
Track VIX Shield in Your Portfolio
Sign up for BestFolio to get monthly rebalancing signals, blend strategies into custom portfolios, and receive alerts when allocations change.