25% vol target — SPY/SSO + BIL sleeve
Strategy overview
A volatility-targeting strategy that scales equity-market exposure up or down toward a target risk level and parks the remainder in a short-term defensive sleeve.
Performance
OOS from Jan 1, 2026 (dashed line).
Key Performance Indicators
537.4%Total return (10.7 yr)
19.0%CAGR (10.7 yr)
31.4%Max drawdown60/40 SPY/AGG 20.1% · SPY 33.7%
0.81Sharpe ratioSPY 0.87 · 60/40 SPY/AGG 0.79
1.21Sortino ratioSPY 1.33 · 60/40 SPY/AGG 1.21
MonthlyTrading frequency
—OOS start
$14KMin. capitalCovers $100/mo fees using 8.5% excess CAGR over 60/40 SPY/AGG (19.0% vs 10.5%), both annualized over the same 10.7-year backtest (Feb 2016 – Oct 2026). Based on backtest; not a guarantee.
Drawdowns
Backtest report
| Series | Total return | CAGR | Max DD (monthly) | Max DD (daily) |
|---|---|---|---|---|
| Strategy | 537.43% | 18.97% | 31.41% | 41.61% |
| SPY (buy & hold) | 369.13% | 15.60% | 23.79% | 33.72% |
| 60/40 SPY/AGG (buy & hold) | 189.11% | 10.47% | 17.26% | 20.05% |