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TuringTrader’s VIX Spritz Aggressive

Summary

  • Objective: balanced growth
  • Type: volatility-targeting strategy
  • Invests in: ETFs tracking stocks, bonds, VIX futures
  • Rebalancing schedule: daily
  • Taxation: 50% short-term capital gains
  • Minimum account size: $10,000

This is a modification to VIX Spritz, dropping the static allocation to bonds, commodities, and gold, to make it slightly more aggressive.

Performance

This table shows the portfolio’s key performance metrics over the course of the simulation:

The following chart shows the portfolio’s historical performance and drawdowns, compared to their benchmark, throughout the simulation:

This chart shows the portfolio’s annual returns:

The following charts show the Monte-Carlo simulation of returns and drawdowns, the portfolios 12-months rolling returns, and how the portfolio is tracking to its benchmark:

Asset Allocation

The portfolio last required rebalancing after the exchanges closed on @last-rebal@. Due to fluctuations in asset prices, the exact allocations vary daily, even when no rebalancing occurred. The current asset allocation is as follows:

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Strategy Rules

The operation of VIX Spritz can be summarized as follows: see VIX Spritz

Diversification

see VIX Spritz

Returns & Volatility

see VIX Spritz

Account & Tax Considerations

see VIX Spritz

Portfolio Revisions

  • v1, May 2020: Initial release.
  • v2, April 2022: Updated strategy for improved behavior in environments of rising rates. Replaced VXX with VIXY.