Volatility Premium

Long low-vol stocks, avoid high-vol: harvesting the low-volatility anomaly

Volatility Premium Harvest — gap audit strategy

Total Return

+10.7%

Sharpe Ratio

-0.06

Max Drawdown

-6.9%

Win Rate

53.3%

Alpha

-19.7%

Comp. Score *

0.02

Risk Parameters

Max Allocation0.0%

Stop Loss6.9%

Take Profit5.0%

Max DD Tolerance6.9%

Rebalanceweekly

Execution Guidance

Order TypeLimit

Entry RuleBuy 0.5% below market in uptrend.

TimingSAFE TO BUY. *

ScalingEnter in 3 tranches over 1-2 weeks.

Positions — Vol-Adjusted Sizing

Symbol	Action	Vol	Stop Loss	Take Profit	Size	Links
SPLV	BUY	12%	3.5% below entry	3.0% above entry	0.0%	TV YH
JNJ	BUY	18%	5.2% below entry	3.7% above entry	0.0%	TV YH
PEP	BUY	21%	6.0% below entry	4.3% above entry	0.0%	TV YH

▶ For Passive Investors (Buy & Hold)

Marginal long-term returns. Treat as tactical, not core. Small allocation (<2%) if any.

Avg 5Y Return

25.7%

Avg 5Y Sharpe

0.13

Avg 5Y Max DD

-12.4%

10Y Return (2015-2024)

50.8%

10Y Sharpe

0.06

10Y Max DD

-14.0%

HODL Composite

0.14

Windows Tested

Consistency

68%