Adaptive Portfolio Positioning under Market Volatility: A Forward-Looking Regime-Switching Approach Using the VIX Term Structure
“Under strict expanding-window out-of-sample evaluation on SPY (2010-2026), the overlay reduces annualized volatility by approximately 25 percent and maximum drawdown by roughly six percentage points relative to buy-and-hold, while keeping turnover modest and preserving a comparable Sharpe ratio.”
AssetVolatility and options
StrategyMacro signals
TechniqueState-space modelclassical time series
FrequencyDaily
Also stated: 2010–2026, Sharpe ratio, Excess return, Drawdown, Long-only, benchmark, out-of-sample test
Missing from abstract: costs, multiple testing, universe
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The paper's neighbourhoodMacro signals and regime strategies by year
FamilyMacro signals and regime strategies49Momentum and trend following289Factor investing240Machine learning return prediction15318 more · 953
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