How to 3x the S&P CAGR with less risk | Leverage for the Long Run

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How many trillions is the author personally up to now?


Love to backtest a strategy into a time frame when it was literally impossible to put on


Interesting paper. The fact that it’s written by a fellow CFA student is another plus in my books. It’s not the first time I’ve seen backtests done on a strategy that rotates based on a break/breach of the 200 SMA. The last one I read was a nonleveraged strategy, but one that rotates in and out of the SPY based on whether the closing price in the last day of the month was higher or lower than the 200 SMA (to reduce seesaws). That, too, has been shown to outperform a buy&hold for the periods tested. The last table in this paper is a bit anticlimactic though, as is the case usually with strategies that are publicised. They usually become public when they don’t work as well as they used to anymore. The table shows that if you take a more recent period (2009-2020) rather than going all the way back to 1928, both the *SSO 200-d LRS* and the *UPRO 200-d LRS* have lower Sharpe/Sortino Ratios, higher drawdowns, higher volatilities and higher Betas than a buy&hold of the SP500 during the same period. In other words, the returns if you take a more recent (and arguably a more representative) period, came at the expense of assuming greater risk. The sad fact with any strategy that has the potential for outperformance is: the more people that know about it and use it, the less effective it becomes.


He’s right, i’m Michael Gayed and I’m up 28 trillion


Wouldn’t this incur way more taxes than the HFEA strategy?