Monthly Inverse Volatility
Risk-based sizing · Multi-asset · Daily
The rules, in plain English
This sizes each ETF by inverse volatility: calmer assets get bigger weights, jumpier assets get smaller ones, rebalanced monthly using 63 days of volatility data. The goal is that no single holding dominates the risk. It is a sizing rule, not a prediction about which asset will win.
The published backtest
| Total return | +174.0% |
|---|---|
| CAGR (annual growth rate) | +5.45% |
| Sharpe ratio | 0.45 |
| Maximum drawdown (worst peak-to-trough fall) | -20.4% |
| Win rate | 73.2% |
| Profit factor | 3.59 |
| Risk grade (our shorthand, from the published figures) | B |
| Asset class | Multi-asset |
| Style | Risk-based sizing |
| Timeframe | Daily |
| Type | Weights |
— means no figure was published for this strategy. Ungraded and workflow entries publish diagnostics rather than a graded portfolio backtest, so some metrics are not published for them.
Honest verdict
Held up
This one held up in its published backtest: a positive return with a comparatively solid risk-adjusted result for this set. That is a statement about one historical test, not a promise about the future.
Worst drawdown in the published test: -20.4% — at its lowest point, a follower of this test would have been down that much from the peak before any recovery.
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Attribution: strategy and published backtest results from the QuantJourney open-source library (Apache-2.0), via quants.md — published backtest results by QuantJourney, reproduced with attribution. Results are hypothetical backtest results based on historical data; they are not live trading results and do not guarantee future performance. Educational content only — not financial advice, and not a recommendation to buy, sell, or hold any security.