Volatility Managed Index Portfolio compounded at +11.9% a year from 2016-10-21 to 2026-10-02, with a worst drawdown of -19.6% (moderate drawdown). It ranks 8 of 27 re-run strategies by drawdown, shallowest first.
| Max drawdown | -19.6% |
|---|---|
| CAGR (annualized) | +11.9% |
| Sharpe | 0.82 |
| Total return | +206.8% |
| S&P 500 (SPY), same period | +321.2% |
| Return ÷ drawdown | 0.61 |
| Period | 2016-10-21 – 2026-10-02 (9.9 years) |
| Risk tier | Moderate drawdown |
| Drawdown rank | 8 / 27 |
Equity curve of a $10,000 start, with SPY dashed.
The worst peak-to-trough fall was -19.6%: a $10,000 account would have dropped to about $8,043 at that point before recovering. The +11.9% CAGR is the annual rate that compounds the start value into the end value over 9.9 years; the return-to-drawdown ratio of 0.61 says how many points of annual return each point of worst-case loss bought. Compare strategies on that pair, not on CAGR alone.
Re-run on 2026-10-04 with the strategy's current code on historical prices — a systematic take on Volatility Managed Portfolios. Numbers change when the strategy is re-run on newer data. The full write-up explains the rules.
All strategy backtests, lowest drawdown first
Disclosure. Backtests are hypothetical simulations on historical data. They do not include every real-world cost, are not live results, and do not guarantee future returns. Educational research only, not investment advice.