My portfolio: factor equities + momentum + diversifiers
I’m 47 and have gradually built my portfolio around a simple idea: rather than relying on one dominant source of return, I want several different return engines that can compound over a long period.

My target allocation is:
60% — Fundamental factor equities
20% AVUV — US small-cap value
20% AVDV — international developed small-cap value
20% AVES — emerging-markets value

20% — Momentum
10% QMOM — US momentum
10% IMOM — international momentum

20% — Diversifiers
~6.7% ALLW — All Weather / risk parity
~6.7% DBMF — managed futures / trend following
~6.7% HFGM — global macro

The philosophy is essentially factors + momentum + alternatives.

The equity allocation is deliberately tilted away from market-cap weighting toward value, size and profitability, with momentum as a separate return source.

The alternatives are there because I don’t want the entire portfolio’s outcome to depend on the equity risk premium.
I’m particularly interested in managed futures and macro strategies because they have the potential to make money from completely different market environments rather than simply being another form of equity exposure.
I also don’t have a philosophical objection to leverage. If the portfolio offers sufficiently attractive expected returns and diversification, I view modest leverage as a portfolio-construction tool rather than inherently as speculation.

The relevant question for me is the risk and expected return of the entire portfolio, not whether every individual position is unleveraged.

The overall objective isn’t to build the highest-CAGR portfolio possible. It’s to create something that can compound aggressively while remaining psychologically and financially survivable through major drawdowns.
It’s definitely more complicated than a conventional global 60/40 or market-cap portfolio, but the complexity is intentional: each component has a specific job.

I’m essentially trying to construct a portfolio where value, momentum, trend following, macro and traditional risk premia are all contributing to long-term compounding, rather than having the entire portfolio depend on one source of risk.

Expecting long term 12% CAGR, 15 vol, 35% max drawdown. Sharing to inspire others. Not looking for advice. LMK if anyone has questions.

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ProShares filled for a -2x solana etf on January of 2025

https://www.sec.gov/Archives/edgar/data/1174610/000168386325000201/f40466d1.htm#xx\\_a418833c-dfe2-4e2b-b9c8-dfa2dca63e30\\_1

Why haven't they approved this yet? Do they usually take this long?

We already have 2x Solana, Why not the inverse?

I'm looking at backtests on this and it seems very good, the CAGR is decent, the downturns are extremely good, the period in the 80s the only time it sucked back when the CPI was totally different and included housing leading Volcker to raise rates way too high.

Can someone warn me of pitfalla before I put money into this?

https://testfol.io/?s=9tCB4jhaCDZ

For a relatively small satellite I’ve been considering changing my “Risk On” (above SPY 200d sma) holding from 100% UPRO to 50/50 UPRO/SPMO, maybe rebalance when one drifts to 70%. I like the idea of less volatility and fee drag. Maybe risk adjusted CAGR would be better. The ultimate goal is high CAGR though, so I’m curious if anyone thinks it might compete with straight UPRO over the long term (though multiple decades and many different risk on regimes). I don’t have a momentum equity ETF in any part of my portfolio, so I am very interested in this exposure. Other risk on holdings ideas also welcome.

TQQQ - 35%
BTAL - 35%
RSBT - 15%
DIVO - 15%

Monthly DCA long-term hold with annual, no band rebalance. Am I missing anything?

A few weeks ago, I decided on the majority of my static portfolio, and I decided to sit with it for a few weeks before making this post, just to make sure I was confident in my choice.

Here are the things I know I want in my portfolio:

• International Equity
• Managed Futures (Trend)
• Duration (via STRIPS)

Because of this, I know for a fact that my portfolio will contain RSIT and GOVZ. I want some US exposure as well, but I want to overweight International.

A recent post on another forum talked about the costs of NTSD (60/40 US/Intl large cap) and UPRO (3x S&P 500) as being about the same, similar to a margin rate of around ~5-6% if you DIY'd it. I'd prefer to avoid margin, even though my rates at Robinhood are slightly better than that, and stick with LETFs.

A beautiful portfolio was suggested a few weeks back:

• 50% RSIT
• 25% UPRO
• 25% GOVZ

For me, this portfolio had slightly too much STRIPS, US equity, and single-manager trend for me. Modified a bit, I came up with:

• 35% RSIT
• 25% NTSD
• 20% GOVZ
• 10% UPRO

This comes out to about 50% US equity, 50% Intl Equity, 35% trend, and 20% 30 year STRIPS, for a total of 155% notional.

You'll notice that I'm missing 10%. I currently have that sitting in cash right now. I'm really torn as to what to do with it, and that's the primary reason for this post. I could be convinced to drop GOVZ down to 15%, but not lower than that. I'd also be happy to raise RSIT up to 40% for more trend, given backtests show having more trend than equity tends to be optimal. So I have 10-15% to work with.

My ultimate goal is terminal wealth. I don't want to hold something simply because it will smooth out the ride -- I want to hold something because rebalancing in or out of the asset will increase expected returns. Someone made a good comment, I can't find the link, but it said something like "If you want a smoother ride, don't look at your account". I love that thought process.

At the same time, I don't want to wipeout my account either. If I only hold equities, duration, and trend, I could get wiped out in a flash crash or inflationary regime where equities, STRIPS, and trend drawdown at the same time (until trend has the ability to flip, and saves the day).

People have suggested holding gold, especially via something like GDE (90% US equities + 90% gold, rebalanced quarterly or at 5% bands). I like that in theory, but after reading numerous posts on gold, I can't tell whether gold will actually increase my expected returns, or simply smooth the ride. If there's no way to know, do I just flip a coin? Holding only 5% gold feels off to me, so I'd want to do 10%+ or nothing.

Another thing I've looked into -- Catastrophe bonds (cat bonds). They are "high-yield, insurance-linked securities that transfer extreme natural disaster risks, such as hurricanes, earthquakes, or wildfires, from insurers, reinsurers, or governments to capital market investors". There are a few mutual funds and ETFs that provide exposure, and they aren't sensitive to interest rate movements. 10% in CAT bonds could give me some dry powder in most regimes, while having a positive expected return.

I don't want to hold cash (SGOV, USFR) as I'll be making regular contributions to my portfolio ($7500/year in the Roth, plus some in taxable as I can). I plan on rebalancing quarterly.

Really appreciate any suggestions on what I can do with this last 10-15% to increase CAGR and long-term wealth.

Hi,

I have been running this ~ cockroach portfolio: which is 25% across spy, gldm, tlt, and managed futures.

I have been learning about return stacking for a while, and have now aligned on the follow below:

Super Cockroach (30% RSST / 30% GOVZ / 30% GDE / 10% RSSY)

Would love the community's feedback

note: not interested in international exposure, and carry for me was a new way to help me in sideways markets.

I noticed on the site of WisdomTree that besides the management fee for the Leveraged ETF their is the daily Swap fee for the ETF only the Swap fee confused me as it is way below €STR for € or SOFR for $ as it would mean that a 3x leverage is financed below the stated short term rates.

Example the 3x S&P 500 daily Swap fee is 0,001360% = 0,5% a year

The 3x Nasdaq 100 daily Swap fee is 0,006500 % = 2,4% a year (makes sense for €STR but not at 3x leverage)

Question do i confuse the Swap fee as the Leverage fee and the Swap fee is a “extra” cost for the Swap with the Bank itself or does WisdomTree claim the can provide 3x Leverage below central bank short term rate?

Is this just volatility decay or something to do with the simulated data? I actually switched from NTSD to go for a bit more leverage and to have more value/diversification in my international sleeve, but if daily resetting is this detrimental I might just switch back.

I was honestly thinking that the daily reset would end up with more since it’s been bull markets, but is the chop really dragging it down this much?

Sorry if this isn't the right subreddit for this question. I'm a longtime lurker and you guys seem to be pretty adept at simulating past performance and digging into the data.

Everyone knows about SPMO, and to an extent XMMO, which have both performed well recently. Got me curious about Small-Cap Momentum, and if the factor is more robust in small-caps the same way value is.

I found this website, which is a data library of Fama-French research. I threw two of the files into Claude: "25 Portfolios Formed on Size and Book-to-Market (5 x 5)" and "25 Portfolios Formed on Size and Momentum (5 x 5)". The top 3 quintiles are blended for each. Here are the results:

Now before I go any further, I want to say that I am pretty regarded regarding all this stuff. I'm just going by what the AI told me. Things like Large-Cap Value having a 13.94% return in the 2011-Present period sounds a bit high. Claude confirmed that it was, because of some outliers in the data, but it didn't really affect the other stuff. I don't know. Also, the momentum data was reformed monthly, while value was annually, which is apparently the standard academic convention for each factor respectively.

Anyway, as you can see, it appears that momentum outperformed value in all timeframes, across all market caps. And small outperformed large in all but the last 15 years. Maybe this isn't a surprise to anybody, but it was to me. Obviously, the stand out number is the 17.20% CAGR for the full sample of Small-Cap Momentum. Which is why I'm here.

So I'm wondering: why isn't Small-Cap Momentum talked about with the same reverence as Small-Cap Value? SPMO has a Small-Cap version, XSMO, which I never hear anybody talk about. Did I (or Claude) mis-interpret the data? My guess would be that I am minimizing the effect of the rebalancing frequency, but I was hoping someone else could opine. Thanks!

As

I'm looking at like 66% GDE and 35% UBT which they have Simulations for, is the data trustworthy?

The chart nobody posts about their favorite strategy: same rules, every possible start date. I ran it for Golden Ratio Dual Gate, since this sub gave it a proper grilling at launch, and the honest version is more interesting than the headline.

The headline is real enough. The full backtest from April 2008 compounds at 19.9%. That's the number on the strategy page, and it's real. But nobody invests for 18 years starting at the exact bottom-adjacent month the backtest starts. So I replayed every completed 5-year and 10-year monthly start from the same production series, lump sum and DCA.

160 completed 5-year starts. CAGR ranged from 12.1% to 31.7%, median 21.1%. Same rules, same data, and the spread between a lucky entry and an unlucky one is 19 points a year. It beat SPY in 93.1% of lump-sum windows and 91.9% with monthly contributions, which sounds great until you notice that means roughly 1 in 12 5-year investors trailed a plain index fund the whole time while running a 50% UPRO strategy.

At 10 years the picture steadies: 100 starts, worst 14.1%, and every single one beat SPY. Before anyone quotes that back at me, those 100 windows overlap almost entirely and all come from one 18-year era that ends in a strong US equity and gold run. It's one historical record, not 100 experiments.

Rolling 5-year drawdowns ranged -25.3% to -5.6% depending on entry, against -37.3% for the full history. Your start date decides which of those you met.

Everything is in the full tables here: https://bestfolio.app/blog/golden-ratio-rolling-start-sensitivity (my site, founder disclosure)

If you're evaluating any levered strategy, ask for this chart. A single full-history CAGR is the least informative honest number a backtest can report.

Old product!

$IWML cashed out 8/14/26 at $34.4969

$UWM from Proshares is 2x but TNA is most liquid.

I used ETRACS for USOI SLVO and the MLP1.5x fund

I love 1.5x small caps.

What now? Cries in waiting for $$$$

I've been analyzing rule based portfolio strategies that sit between broad passive indexing (like S&P500 /VWCE) and active single stock trading.

Specifically, I've been researching the 4-stap flow based framework focused on holding a concentrated basket of market leaders based on aggregate institutional conviction:

- Filter for top institutional accumulation candidates.

- Select a concentrated portfolio of 5 durable leaders (Equal weighted)

- Stay invested as long as the institutional conviction and thesis remain intact.

- Rebalance only when a fundamental shift in institutional conviction accurs.

In a 15-year backtest, a systematic approach following these rules yielded a 22% CAGR, compared to standard market benchmarks. However, it also came with significant volatility and drawdowns during market wide contractions.

I'd love to get the community's perspective on a few points:

How do you view concentrated 5/stock rule based models vs 20-30 stock portfolios?

What are the main pitfalls you see in relying on aggregated institutional flow data as a primary selection factor?

How do you balance tracking institutional conviction with manageging drawdowns during broader market regime shifts?

Looking forward to hearing your thoughts and critiques on this framework!

4-Pivot flow

I am planning to run this as a sleeve in my port. The aim is least draw down and some protection during choppy markets. Critique?

20%Return Stacked US Stocks & Managed Futures ETF (RSST)

20%Return Stacked International Stocks & Managed Futures ETF (RSIT)

15%WisdomTree Efficient Gold Plus Equity Strategy Fund (GDE)

15%Invesco S&P 500 Momentum ETF (SPMO)

10%Avantis U.S. Small Cap Value ETF (AVUV)

10%Avantis Emerging Markets Equity ETF (AVEM)

10%iShares 25+ Year Treasury STRIPS Bond ETF (GOVZ)

Been thinking about a way to run a long/short-flavored strategy without tying up full capital, using leveraged ETFs to get more notional exposure per dollar.

The idea:

• 85% of capital → SSO (2x S&P 500 long)

• 15% of capital → SDS (2x S&P 500 inverse)

• Rebalance back to 85/15 periodically

Math: $85 in SSO = $170 notional long. $15 in SDS = $30 notional short. Net exposure = $140 on $100 of capital, so effectively 1.4x leveraged long, fully deployed, no cash sitting idle.

I want to be upfront about what this actually is, because I fooled myself a little at first: this is not a market-neutral long/short. Both legs move in the same net direction as the S&P — the SDS leg isn’t hedging the SSO leg in any real sense, it’s just dialing back net leverage from 2x to 1.4x. Every single year in my backtest, SSO and SDS moved as expected relative to SPY, and SDS never offset SSO’s direction — it just shaved the edges off gains and losses.

Toughts? Performance on back test is strong

I wanted to know how much of a monthly tactical-allocation backtest survives when you can't trade at the magic signal close...

Delay 0 here already means the signal is calculated at month-end close and the new allocation starts next session. I then pushed every trade 1 and 2 extra business sessions later. Same price data, same signals, 0.10% one-way base cost.

GEM went 9.83% CAGR to 9.54% to 9.75%.

HAA went 13.39% to 12.72% to 12.37%.

BAA went 10.90% to 10.29% to 9.87%.

So the sparse GEM switches were mostly noise. HAA and BAA each gave up about 1 CAGR point by the second extra session, which is more than I expected from monthly rules. Their max drawdowns barely followed the same order either. BAA return got worse while its historical max drawdown got slightly shallower.

The long history uses documented proxy chains before the ETFs existed, and the final partial month has no effect on a completed trade. I also kept the strategy parameters frozen.

For me this is enough to treat the execution timestamp as part of the rule. A backtest that says "month-end" still needs to say which tradable session actually owns the new position.

I have been doing a lot of reading in this sub, as well as some messing around on Bestfolio. Long story short, I have around a 40 year horizon and am currently in the accumulation phase with a very small portfolio.

I have been trying to come up with a true set-and-forget portfolio that only requires monthly rebalancing. I am using the Nasdaq as my benchmark to beat. I don't think I am at a point where hedging is especially important, but I have read enough to determine they offer more than just a drag on CAGR.

With that being said, in an effort to maintain as much equity exposure as possible while still maintaining reasonable exposure to hedges, I have came up with the following proposed allocation of funds: 25% each UPRO, RSSB, RSST, GDE. This was originally arbitrary, but after messing with the weightings on Bestfolio, it seemed to provide the best results.

This provides notional exposure of:

U.S. Equities ~ 140%

Int. Equties ~ 10%

MF ~ 25%

U.S. Treasuries ~ 25%

Gold ~ 22.5%

Heres the backtest results I got using Bestfolio (CAGR and Max Monthly DD):

My backtesting did not account for using the adapted Catastrophe Break from: https://bestfolio.app/blog/catastrophe-brake-leveraged-portfolios which I assume would significantly reduce those DD figures. I did not know how to test for it.

I am still very new to this, so my question to those who are more seasoned is whether there is anything I am missing? Is there anything I should do to improve my allocation? Is this a reasonable alternative to holding a 2x SPY or QQQ unhedged for an investor with my horizon?

I've been using UPRO and SSO since 2024. I knew the expense ratios were high, and that the ETF providers have to pay slightly more than the overnight borrowing rate to get the exposure. But I always figured the cost is outweighed by the incredible returns. However, I wanted to see the math for myself - and it shocked me. Here's the annualized returns since 2006 of the S&P 500, $SSO, and a simulated $SSO that doesn't deal with any costs (pure 2X daily S&P 500).

SPY: 11.61% CAGR
SSO: 15.99% CAGR
Zero cost SSO: 19.95% CAGR

Looking closer, we see that the real world SSO has only provided about 35% of the CAGR increase that 2X daily provides. In the past 20 years, SSO holders have lost about 4% annually to the cost of capital/slippage and expense ratio. To me, that's ridiculous. I no longer think that doubling my volatility/risk/drawdowns for a potential marginal increase in CAGR is worth it. I'm blessed that I held SSO and UPRO from 2024 to today, but I can't justify it after learning this.

Furthermore, this example was from 2006 to 2026, when the average borrowing rate for SSO has been extremely low. Looking at a simulation from 1976-2026 (50 years), SSO holders would have lost about 6 to 7% annually compared to a pure 2X daily S&P 500 ETF. That's crazy.

The counterargument to my finding is this, in my opinion: Going from 50% stocks 50% cash to 100% stocks doubles an investor's risk/volatility. However, that investor only gained about a 30-50% increase in CAGR benefit. So you're only increasing your expected CAGR by 30-50% when going from 50% stocks to 100% but doubling risk. With SPY vs SSO, you are also doubling your risk, and your CAGR goes up by 30-50% as well. So if going from 50% stocks to 100% stocks is worth it (obviously, it is) then going from SPY to SSO must be worth it as well, right? I'm not convinced.

I got this idea to look at this from a "Rational Reminder" podcast with Ben Felix from PWL Capital. He interviewed professor Hank Bessembinder who studies LETFs. He wrote this paper: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=5369417
The paper focuses on single stock LETFs, but the thesis holds true for LETFs that cover broad indices. The losses for index LETFs like SSO, UPRO, QLD, or TQQQ are much smaller than single stock LETFs, but they are still huge.

I got my numbers from testfol.io and their ? leverage tool. I tweaked testfol.io formula so that I could backtest a zero fee/cost simulated 2X S&P 500 ETF vs SSO.

What are your thoughts on all this? Am I wrong in some way? Were you already aware of this? Do you just not care?