Vol harvest
Backtest results
Metrics
1Y · since Oct 2025Vol harvest | |
|---|---|
| Total Return | +15.18% |
| CAGR | +15.31% |
| Sharpe | 0.88 |
| Calmar | 0.76 |
| Max DD | -20.20% |
| Volatility | 18.16% |
| Win Rate | 55.4% |
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 keeps a core of the anti-beta fund (BTAL) while it switches between a VIX-hedge (UVXY), a short-term VIX short (SVXY), a 20-year Treasury bull (TMF) and a 20-year Treasury bear (TMV). It moves to UVXY when the Nasdaq is overbought, otherwise it selects the least volatile of the Treasury or VIX shorts and holds BTAL to protect against market swings.
Current allocation
What the rules select as of Oct 30, 2026.
Frequently asked questions
What is Vol harvest?
Dynamic and defensive, the strategy keeps a core of the anti-beta fund (BTAL) while it switches between a VIX-hedge (UVXY), a short-term VIX short (SVXY), a 20-year Treasury bull (TMF) and a 20-year Treasury bear (TMV). It moves to UVXY when the Nasdaq is overbought, otherwise it selects the least volatile of the Treasury or VIX shorts and holds BTAL to protect against market swings.
What is Vol harvest holding today?
As of Oct 30, 2026, Vol harvest allocates to BTAL 50%, TMV 50%.
How has Vol harvest performed over the past year?
From Oct 30, 2025 to Oct 30, 2026, Vol harvest returned +15% in a hypothetical backtest. Past performance does not guarantee future results.
What is the maximum drawdown of Vol harvest?
From Oct 30, 2025 to Oct 30, 2026, the largest peak-to-trough decline of Vol harvest in a hypothetical backtest was -20.2%.
How do I use Vol harvest?
Open Vol harvest 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.