Convertible Arb
Backtest results
Metrics
1Y · since Oct 2025Convertible Arb | |
|---|---|
| Total Return | +4.24% |
| CAGR | +4.28% |
| Sharpe | 0.51 |
| Calmar | 0.50 |
| Max DD | -8.58% |
| Volatility | 9.16% |
| Win Rate | 57.4% |
Last year of a hypothetical backtest, Oct 30, 2025 to Oct 30, 2026. Create an account to see the full history.
About this strategy
Dynamic and defensive, the strategy mainly holds a mix of gold (GLD), leveraged Treasury (TMF) and a market-neutral fund (BTAL) when the 20-day trend of long-term Treasuries is positive. It switches to short equity (SH, PSQ) and a VIX play (UVXY) when the S&P 500 shows a sharp decline or a large drawdown, and it adds the dollar (UUP) and short-term bonds (SHY) whenever risk-off signals appear, keeping volatility exposure in check.
Current allocation
What the rules select as of Oct 30, 2026.
- ICVT65.6%
iShares Convertible Bond ETF
- SH9.4%
ProShares Short S&P500
- GLD6.3%
SPDR Gold Trust, SPDR Gold Shares
- BTAL5%
AGF U.S. Market Neutral Anti-Beta Fund
- TMF5%
Direxion Daily 20+ Year Treasury Bull 3X ETF
- XLP5%
State Street Consumer Staples Select Sector SPDR ETF
- UUP2.2%
Invesco DB US Dollar Index Bullish Fund
- SHY1.3%
iShares 1-3 Year Treasury Bond ETF
- VIXM0.3%
ProShares VIX Mid-Term Futures ETF
- UVXY0%
ProShares Ultra VIX Short-Term Futures ETF
Frequently asked questions
What is Convertible Arb?
Dynamic and defensive, the strategy mainly holds a mix of gold (GLD), leveraged Treasury (TMF) and a market-neutral fund (BTAL) when the 20-day trend of long-term Treasuries is positive. It switches to short equity (SH, PSQ) and a VIX play (UVXY) when the S&P 500 shows a sharp decline or a large drawdown, and it adds the dollar (UUP) and short-term bonds (SHY) whenever risk-off signals appear, keeping volatility exposure in check.
What is Convertible Arb holding today?
As of Oct 30, 2026, Convertible Arb allocates to ICVT 65.6%, SH 9.4%, GLD 6.3%, BTAL 5%, TMF 5%, XLP 5%, UUP 2.2%, SHY 1.3%, VIXM 0.3%, UVXY 0%.
How has Convertible Arb performed over the past year?
From Oct 30, 2025 to Oct 30, 2026, Convertible Arb returned +4.6% in a hypothetical backtest. Past performance does not guarantee future results.
What is the maximum drawdown of Convertible Arb?
From Oct 30, 2025 to Oct 30, 2026, the largest peak-to-trough decline of Convertible Arb in a hypothetical backtest was -8.6%.
How do I use Convertible Arb?
Open Convertible Arb in Quantly to rerun the backtest, adjust the rules, and paper trade it. You can also connect a supported brokerage to trade your version live.
Backtest results are hypothetical and do not guarantee future returns. Strategies are shared by Quantly users for research only and are not investment advice.