Composer
Hedgefundie's Excellent Adventure
Fragile
“Two-fund, high-octane mix: 55% 3x S&P 500 (UPRO) + 45% 3x long Treasuries (TMF), rebalanced quarterly.”
From Composer
As tested: 55% UPRO, 45% TMF, rebalanced at each quarter end.
Holding today: UPRO 55% · TMF 45%
Uses leveraged funds. The test covers 2016–2026, one long Nasdaq bull market; it has never seen a 2000–02 or 2008, where 3× funds lost 90%+.
Edge per month+0.27 pts/mopts per month vs SPY
t-stat0.4595% range -0.91 to +1.45
Months120Nov 1, 2016 – Oct 12, 2026
CAGR14.1%SPY 15.8%
Max drawdown-70.6%SPY -33.8%
Since published+0.40 pts/mo37 months from Sep 2, 2023; +0.38 pts/mo before
Last 12 months-10.58 pts12 months, summed
Why fragile
- t-stat 0.45 is inside the noise
- 33% of resamples have no edge
- the edge held after publication: +0.40 since it was published in 2023-09, vs +0.38 before
Growth of $1
Hedgefundie's Excellent AdventureSPY
Log scale. Traded at the next open after each signal, quarterly rebalance, slippage on every trade.
Year by year
2016
-3.18 pts/mo2
2017
+1.74 pts/mo12
2018
-0.63 pts/mo12
2019
+2.61 pts/mo12
2020
+4.02 pts/mo12
2021
+0.87 pts/mo12
2022
-5.65 pts/mo12
2023
+1.01 pts/mo12
2024
-0.48 pts/mo12
2025
+0.21 pts/mo12
2026
-0.56 pts/mo10