Xtrackers MSCI World (LU0274208692)

Signal (How it works?)



VIX Threshold: 22


VIX Now

Strategies Comparison (Period: 01/06/2010 to 31/03/2021)

Indicator Benchmark VIX_Cash VIX_Short
Annualized Returns 10.45% 12.51% 12.90%
Annualized Volatility 16.03% 11.69% 16.22%
Annualized Sharpe 0.65 1.07 0.80
Maximum Drawdown 33.80% 15.74% 29.25%
Trades (Whole Period) 1 90 180

Performance Chart

iShares Core S&P 500 (IE00B5BMR087)

Signal (How it works?)



VIX Threshold: 20


VIX Now

Strategies Comparison (Period: 01/06/2010 to 31/03/2021)

Indicator Benchmark VIX_Cash VIX_Short
Annualized Returns 13.80% 15.69% 15.47%
Annualized Volatility 16.40% 11.08% 16.59%
Annualized Sharpe 0.84 1.42 0.93
Maximum Drawdown 33.56% 7.80% 33.36%
Trades (Whole Period) 1 136 272

Performance Chart

Xtrackers EURO STOXX 50 (LU0380865021)

Signal (How it works?)



VIX Threshold: ema(4)=41


VIX Now

Strategies Comparison (Period: 01/06/2010 to 31/03/2021)

Indicator Benchmark VIX_Cash VIX_Short
Annualized Returns 5.37% 6.17% 6.34%
Annualized Volatility 20.68% 19.83% 20.97%
Annualized Sharpe 0.26 0.31 0.30
Maximum Drawdown 38.51% 27.93% 25.87%
Trades (Whole Period) 1 6 12

Performance Chart

iShares Core DAX (DE0005933931)

Signal (How it works?)



VIX Threshold: 21


VIX Now

Strategies Comparison (Period: 01/06/2010 to 31/03/2021)

Indicator Benchmark VIX_Cash VIX_Short
Annualized Returns 6.73% 8.28% 7.37%
Annualized Volatility 20.35% 14.61% 20.65%
Annualized Sharpe 0.33 0.57 0.36
Maximum Drawdown 38.68% 22.60% 39.43%
Trades (Whole Period) 1 94 188

Performance Chart