A Strategy For The Post-Pandemic Regime

[WITH CODE] Outperforming the S&P 500 in risk-adjusted performance with volatility metrics

Hello!

Today, I’m excited to share a strategy inspired by a market anomaly uncovered in a recent academic study. This paper highlights an interesting relationship between equity markets and volatility metrics, leading to the creation of a strategy that capitalizes on this unique dynamic.

This strategy not only outperforms the S&P 500 on a risk-adjusted basis but also delivers superior total return.

Over the full back-test period (2003–2025), the strategy achieves a Sharpe ratio of 0.79, compared to the S&P 500’s 0.55. What’s even more unique is its performance in recent years: from 2020 to 2025, the strategy delivers a Sharpe ratio of 1.20.

As I mentioned in my Implemented Momentum Strategy post, I reserve the highest-performing strategies for paid subscribers. This one is no exception. If you’re intrigued and want access to these insights, I encourage you to join the paid community today!

With that said, let’s get into it.