u/Separate-Ad-9633

https://preview.redd.it/ywvx27rch5kh1.png?width=1797&format=png&auto=webp&s=a06182638e0959ad75da687c9c8d40b56c08c4b4

The famous 9-SIG strategy is basically a rebalance strategy between cash/bond and TQQQ.

but why would you have 40% of your portfolio sitting on a pile of cash/low volatility bond?

Embrace the power of volatility and diversification.

The 9-TUCK strategy uses 4 low correlation diversifiers as the dry powder:

9% TMF

9% UGL

9% CURE (3x Healthcare)

9% KMLM

The rest 64% is in TQQQ.

Gold, MF and Bond have low correlation with QQQ, and XLV is a low correlation + defensive + good growth potential sector.

No periodic rebalance, just let the winner run and loser take the hit. Rebalance the portfolio when, and only when, any individual holding drifts upward by 27%.

That means when any of the TUCK sleeve reaches 36%, or TQQQ reaches 91% of your portfolio. Target is 27% drift because it is 3x more ambitious than 9%. Loser can go -99% and we don't care.

This strategy survived dotcom bubble just fine. No need for some 200sma tactical rules /s

https://testfol.io/?s=5mUASCYTny1

This strategy combines some of the sub's favorite items: TQQQ, ZROZ, 200 SMA

The base allocation is:

30% TQQQ

20% ZROZ

20% AVDV (Pick AVNV if you want some EM as well)

20% RSST/IT (SPY+MF had better backtests in the past 30 years, but pick RSIT if you prefer more international diversification)

10% GDE (or RSSX if you love corn)

and apply two 200 SMA strategies:

if SPY is under 200 SMA (2% buffer, or other ways to avoid whipsaws like end-of-month check should all work well enough), move TQQQ to 10% ZROZ 10% GLD 10% Managed Futures (something like CTA, DBMF, QMHNX), or just cash if you prefer simplicity

if TLT is under 200 SMA (2% buffer), move all ZROZ to half GLD half MF, or cash if you prefer simplicity

https://testfol.io/tactical?s=byX5vJTiFes

https://preview.redd.it/4c0sq179lifh1.png?width=1812&format=png&auto=webp&s=adf7ca82be4a20a9851d2e5378834c0c80ad62f0

https://preview.redd.it/krp6pyaglifh1.png?width=1793&format=png&auto=webp&s=eecd1515264c084002bbba4df957b7f851837048

https://preview.redd.it/amsoef1llifh1.png?width=1843&format=png&auto=webp&s=256822d7c8f6b4562972bd3c7539caca08ba2ed9

Headline CAGR won't survive frictions, but you get the idea. This strategy has less than 40% MDD during dotcom bubble, GFC and 2022. Half of the portfolio never gets sold, so it can be more tax efficient than most 200 SMA strategy.

Why TQQQ? Since other diversifiers handle the diversification part, just pick the most aggressive equity index sleeve. TQQQ is pure performance chasing, use TECL or 3x leveraged US Momentum if it ever comes into being, should work in principle as well.

International value, gold and managed futures carried this portfolio back in the US lost decade. Do you think international value will shine again when US large cap wanes? I think it's a reasonable guess. RSST/IT trend might not perform as well as DBMFSIM, but it's a very efficient solution.

Is it overfitted? Likely, very likely, especially the diversifiers and fallback options. But is it built from sound principles? Probably. If you think about it, SPY and TLT 200 SMA naturally divides the portfolio into a 4 macro quadrant tactical allocation, where equity, bond, gold and MF ratio change accordingly. So you get:

Deflationary Boom: 139% Equity 20% ZROZ 20% MF 9% Gold

Inflationary Boom: 139% Equity 30% MF 19% Gold

Deflationary Bust: 49% Equity 30% ZROZ 30% MF 19% Gold

Inflationary Bust: 49% Equity 45% MF 34% Gold

Shiny yellow rock is the hottest shit last year. Right now it's forgotten. Long term expected return of holding gold is negative, because it's not productive. But there are something attractive about gold as an investment asset, as it's truly uncorrelated (even though they can co-trend) with stocks in the long run, and GLD is almost volatility matched with SPY, so gold is like natural rebalance partner.

However the amount of gold in a portfolio is entirely dependent on time frame. If your use backtest to figure the number, and timeframe is 1980-1999, 2010-20, the optimal gold ratio is 0. 2000-2010 however? 100% gold. 10-20% portfolio weight seems prudent, but is there a real reason to pick that amount of exposure?

If you have gold in your portfolio like me, do you believe there are structural reasons that gold should go up, or that it hedges certain risks like devaluation, or just as a rebalance partner, which sometimes happen to go up before market recovery and helps a lot?

The momentum is here. Biotech is the future. All in LABUBU?

https://preview.redd.it/xcucg64dug9h1.png?width=1818&format=png&auto=webp&s=b802c71d41f2b59c50d8f46a09b18e8191d7f944

(Just...don't look at its 2021-2022 chart)

Do we really need all S&P 500 sectors? For those who believe past performance indicates future or more simply tech is the future, what if we only keep the tech sector and sectors that complement tech well?

Based on sector structures, we can keep Health care and Utility, two defensive sectors with low correlation to tech, and Energy, an inflationary buffer to complement TECL. We then get a portfolio:

60% TECL

15% CURE

15% ERX

10% UTSL

https://preview.redd.it/wfeim7kabw5h1.png?width=1832&format=png&auto=webp&s=73ad0e8e2a02aa1ba4ef13d7c2d182c4201d9db1

Since 2017, this portfolio has delivered UPRO level volatility and higher return than TQQQ.

https://testfol.io/?s=1trJH89sTqn

The sector LETFs are also accurately tracked by using XLK/XLV/XLY/XLESIM and a 0.8% fee drag, so we can extend the backtests all the way back to 1926.

1926 is probably too long ago, but we can start at 1990:

https://preview.redd.it/r871m2picw5h1.png?width=1853&format=png&auto=webp&s=1c0dec8671e7b5e1e6287c95fe387ec3081b3bc0

or 1950, in that case less tech would be better.

https://preview.redd.it/h1yy9tb5cw5h1.png?width=1855&format=png&auto=webp&s=b414681fc84ce760579da5072615bf2752303b5d

You can also implement a 2x version:

40% TECL 10% CURE 20% XLE 30% UTES. UTES has done better than XLU with similar volatility profile and I think it make sense to seek a better version when using 1x, although of course past performance doesn't predict the future.

https://preview.redd.it/w0akr2qtgy5h1.png?width=1877&format=png&auto=webp&s=7257f3f5e3e93172c4c0c9cf39b9402ea8d457ac

So, do you really just need 4 S&P sectors to get all the juice from S&P 500? (Obviously you can also add gold, bond and managed future for better result, but we are only talking about the equity part here)

https://testfol.io/?s=8AlQhgsH6cK

Constantly rebalanced SOXS is an insane chart. Lower MDD and higher CAGR. Adding some diversifiers helps too. At the same time, pretty sure SOXS is hard to borrow, you have to pay the leverage and it's an easy way to get margin called. Are there short SOXS runners? What's your experience?

https://preview.redd.it/6i6fwcgypqzg1.png?width=1812&format=png&auto=webp&s=d7232a101932e62c58ef68e3699d7713f06bab37

It seems that if you, like me, don't want treasury in your allocation, the best non equity diversifiers would be MF and gold, and one ideal allocation would be 60% equity 30% MF 10% gold. While gold standalone could have made a higher allocation, MF managers tend to pick up precious metal trends pretty quickly so not too much gold here.

Based on such principle, and thanks to the launch of RSIT, here is one portfolio I come up with:

20% HFGM (High Volatility Global Macro)

20% CTAP (SP500 + CTA)

20% RSIT (International Stocks + Trend)

30% AVNV (International + EM Value Stocks)

10% GDMN (Gold Miner + Gold)

Then add 100% US equity overlay via future/synthetic long option. I personally prefer using future because rebalancing is easier. I am using MNQ here for QQQ's higher beta but you can use MES or combine other futures as well.

This creates 170% Stock exposure between 120 US and 50 International. HFGM runs at a higher volatility than usual managed future ETFs (roughly 2x DBMF), so we have around 80% MF exposure from three different managers.

As for gold, I choose GDMN instead of using gold futures or UGL to create leveraged gold exposure. Now sure gold miners had terrible long-term performance historically and are sometimes more correlated with stocks than gold price, but with gold price at such high the miners are also good quality stocks. Not a high conviction pick, might just replace it with 10% more AVNV and run 25% gold future for exposure instead.

Backtest from HFGM's inception (2025.4) shows this portfolio has exactly 2.0 beta, very interesting.

https://preview.redd.it/igh7jf5ilfzg1.png?width=1799&format=png&auto=webp&s=6cda8a0a7d5f2a4b26f6984e53215eb7007385f4

Since HFGM, AVNV, CLA are very recent tickers with no effective replacement, it's difficult to backtest further. However, for a 120 US: 50 International : 80 MF : 10 GDMN setup we can go back to 2006. This doesn't mean much though because everyone who tested back to pre 2008 period knows adding MF improves the performance a lot.

https://preview.redd.it/dzpwqz5s1hzg1.png?width=1819&format=png&auto=webp&s=58ac8d5a7f6733dd9d6aa90db3253b05c430ca7e

This set up has a lot of tax drag due to using futures so you better be poor like me. On the other hand, you rarely need to sell the ETFs, when you want to deleverage just stop rolling the futures, all the settled cash can be used to frequently rebalance the ETF parts.

For a pure LETF portfolio, it will be leverage constrained so more like 20% UPRO 20% CTAP 30% RSIT 20% AVNV 10% UGL.