u/laurenthu

Everyone here knows the move: run a leveraged sleeve, put a 200-day or 10-month SMA on it, go to cash when it breaks. The problem I kept hitting is whipsaw. The single-month cross yanks you in and out at the worst possible times, and the backtests that make it look clean almost always start in 2010.

So I changed one thing and tested it the honest way. Instead of bailing the first month the S&P closes under its 10-month average, I wait for 3 straight monthly closes below before going fully to cash, then re-enter on the first close back above. Why 3 and not 1? Because the single-month cross is exactly what generates the whipsaw everyone complains about. The confirmation makes it late on purpose. You eat the first leg of a crash, call it -20%, but you skip the long grind that turns a -50% into a buy-and-hold nightmare.

I ran it on a few always-invested leveraged risk-parity sleeves, full history, daily drawdowns, so the numbers are uglier and more honest than the monthly ones people usually quote:

SSO/ZROZ/GLD 2x: worst drawdown goes from -50% to -36%, and the CAGR actually ticks up, 12.3 to 13.7%. UPRO/ZROZ/GLD 3x: -69% to -49%, CAGR 14.4 to 16.9%. UPRO/ZROZ/GLD/KMLM: -58% to -41%, 13.4 to 14.9%.

There's a real cost, though. It's late by design, so in a sharp V-shaped crash it gives a chunk back before it confirms, and a couple of times it sold near the bottom. And I'll be upfront that pre-2010 LETF history is synthetic 2x/3x on the underlying, so the deepest drawdowns are reconstructions, not live tape.

This is an old idea. Faber's trend rule with a confirmation filter bolted on, basically. The only thing I did was package it as a toggle and test it across 40 years instead of the usual flattering 12. It earns its keep on exactly these always-invested levered RP sleeves that otherwise ride the whole drawdown down. On anything that already rotates to cash or bonds, like HAA, it's redundant, so skip it there.

Four braked variants and the full backtests are here if you want to pull the numbers apart: https://bestfolio.app/blog/catastrophe-brake-leveraged-portfolios?utm_source=reddit&utm_campaign=catbrake-letfs

A few of you said my HAA-RSST post read like jargon soup. Fair. Here's the whole thing in plain English: one fund, and a once-a-month checkbox.

Same disclosure as last time, I build BestFolio so I'm biased.

Last week I posted a strategy stuffed with about every scary word in finance: HAA, canary, sleeve, return-stacking, Keller, managed futures. Someone basically said "I felt too dumb to use this", and honestly that's on my wording, not on them. The actual thing is dead simple. Let me strip it down.

Here's everything you hold. One ticker, RSST, which is short for Return Stacked US Stocks and Managed Futures. That's the whole portfolio. It hands you 100% of the S&P 500 and 100% of a "managed futures" strategy at the same time, in a single share. Managed futures just means trend-following: it buys what's going up and shorts what's going down across loads of markets, and it tends to rise when stocks crash, so it works like a shock absorber. You get both from one dollar, which is the bit they call "return stacking". No margin, no options, nothing to babysit.

Here's everything you do. Once a month, you look at one signal. People call it the "canary", after the coal-mine bird, an early warning. It reads inflation and interest-rate trends and tells you one of two things: stay in, or step aside. If it says stay in, you do nothing at all. If it says step aside, you sell the RSST and sit in short government bonds or T-bills until it clears. Five minutes, twelve times a year, done.

So strip the vocabulary and the whole strategy is this: hold one fund, glance at a yes/no once a month, occasionally move to bonds. "HAA" is short for Hybrid Asset Allocation, just the name of that monthly rule (Wouter Keller, a researcher, designed it). A "sleeve" is just a slice of a portfolio, the "canary" is the on/off light.

I'm not pretending it's risk-free. The signal watches inflation, so it caught 2022 beautifully but was slow in 2008, and the deep backtest is partly reconstructed data. But the idea that you need a finance degree to run it? Nah. If you can check the weather once a month, you can run this...

Quick disclosure first, I build BestFolio, a tactical allocation site, so I'm biased and I think about this stuff too much. Grain of salt.

A few people keep asking how to run this from Europe, so here's the honest version.

What I'm chasing is a portfolio that holds stocks and a crash-hedge at the same time, with a simple monthly rule that ducks into safety when markets turn. In the US you can buy that as a single ticker (RSST: 100% S&P 500 plus 100% "managed futures" in one fund). Over here there's no equivalent wrapper, and to make it worse, Return Stacked have told people who asked that they shelved the European launch. So we fake it.

Let me decode the scary words first, because they sound worse than they are. Managed futures, or "trend-following", is just a fund that buys what's drifting up and shorts what's drifting down across stocks, bonds, currencies and commodities. It tends to pay off exactly when stocks fall apart (2008, 2022), which is what makes it such a good partner to equities. "Return stacking" means getting two exposures from one euro, using futures so your cash isn't tied up. And HAA (Hybrid Asset Allocation, from the researcher Wouter Keller) is really just a once-a-month checklist: look at one early-warning signal, the "canary", and either stay invested or step aside into bonds.

The version I'd actually buy today is roughly 50% Xtrackers S&P 500 2x Leveraged UCITS plus 50% iMGP DBi Managed Futures UCITS (DBMF, currently Europe's only managed-futures ETF). The 2x turns half your money into a full S&P position, the DBMF bolts on the trend hedge, and you land near 100% stocks and 50% trend. That's half the hedge of the real US fund, but you can buy it this morning. The 2x leg resets daily so it bleeds a bit in choppy markets, which is exactly why the monthly canary rule matters, it pulls you out before the bleed compounds.

The cleaner but newer option, and the one I'm keeping an eye on, is the Winton Trend-Enhanced Global Equity UCITS. It's one wrapper that genuinely stacks about 100% global stocks (MSCI World) on top of 100% of Winton's own trend strategy, so it's the closest thing to RSST we have over here. The catch is it's young and small, so there's real risk they close it, and it holds global rather than US stocks, so you give up part of the American run-up for wider diversification.

Either way you run the same rule on top. Signal healthy, you hold the stock-and-trend fund. Signal flips, you rotate to short government bonds or T-bills until it clears.

In my own backtest the European build trails the US one by around 3% a year, mostly the daily-reset drag and the lighter trend sleeve. The drawdown actually comes out a touch shallower, oddly. Bear in mind the deep history is partly reconstructed, so trust the shape more than the exact number...

Not perfect, but it's a real way to run this from Europe instead of just envying the US tickers. Happy to get into the weeds if anyone wants.

Been reading the rate-my-portfolio posts here lately and I keep seeing the same move. Someone holds VOO or VTI, feels too concentrated in big tech, and bolts on a momentum fund to spread things out. Reasonable instinct. It just often doesn't do what people think.

Easy case first. SPMO is the high-momentum slice of the S&P 500, so it leans toward whatever big names have been winning lately, which means a lot of overlap with the megacaps already in your VOO. Stack it on top and you're mostly adding more of what you own. That one's obvious once you peek at the holdings.

The sneaky case is the momentum funds that look like genuine diversification. FMTM (the MarketDesk one) holds around 34 stocks and deliberately skips the megacaps, so you get Carpenter Technology, Virtu, Landstar, TD SYNNEX, names most index investors have never touched. PTF (Invesco's tech-momentum fund, the one that's pulled in a lot of money this year) is wall-to-wall semis and storage, Sandisk, Micron, Seagate, Western Digital. Two totally different shopping lists.

Thing is, they're all running the same rule underneath: hold whatever has gone up recently. The names change, the bet doesn't. FMTM and PTF look nothing alike yet both landed on Western Digital, because that's just where momentum was pointing. So owning two or three of these mostly gives you one factor bet wearing three different outfits. And momentum tends to unwind as a single trade, when it rolls over it goes everywhere at once, whatever tickers it happened to be holding.

I'm not anti-momentum at all, I run trend and momentum stuff myself, it's a real premium over long windows. My point is narrower. The ticker list will fool you here, two momentum funds with zero overlap on paper can still be the same risk. You have to look at the bet underneath, not just the holdings page.

Anyone else run into this, stacking momentum funds that looked different on the surface? Whenever I actually line up the exposure I find more overlap than the ticker lists let on...

I kept getting asked for a UCITS version of RSST, so here's what I landed on. The appeal of RSST: in one US ETF you get roughly 100% S&P 500 plus 100% managed futures, so a trend-following diversifier rides on top of your equity instead of replacing part of it. The problem is it's US-only, and Return Stacked shelved their European launch, so there's no UCITS version to buy.

You can still get most of the way there with two UCITS ETFs. The only UCITS managed-futures ETF is DBMF (iMGP DBi), and it's 1x. So the move I make is to lever the equity side instead, to make room for it without giving up equity: roughly 50% in a 2x S&P 500 UCITS ETF (the Xtrackers swap-based one, say) plus 50% in DBMF gets you about 100% S&P and 50% managed futures. That's half the managed-futures stack of real RSST, but about as close as I can get over here.

How does it hold up? I backtested the blend against the real US RSST. Over the long run it trails by about 3 points of CAGR, mostly from the lighter managed-futures sleeve plus the daily-reset decay on the 2x ETF that RSST doesn't pay. But the drawdown comes out a touch shallower, the risk-adjusted return is basically identical, and since 2019 (where the real ETFs exist) I'm seeing them run neck and neck.

You can hold the blend on its own, or run it inside a simple monthly trend rule like I do. Full writeup with the chart and the head-to-head numbers: https://bestfolio.app/blog/haa-rsst-ucits

Quick disclosure, I build BestFolio, a tactical asset allocation site, so I stare at this stuff way too much and I'm biased as hell. Grain of salt.

OK so I've been running a leveraged HAA for myself for ages, and I finally tried the thing I'd been putting off. Instead of leveraging plain equity in the risk-on leg, I dropped RSST in there. Basically the king of TAA (HAA, Keller's canary) carrying the king of return stacking (RSST). And honestly, it just clicks.

Quick version for anyone not deep in this stuff: RSST is 100% S&P 500 + 100% managed futures in one ticker, so you get roughly 2x notional with zero margin. Return stacking hands you the leverage, the canary hands you the exit. Momentum breaks, the whole thing just steps aside into bonds and cash like normal HAA.

The numbers genuinely surprised me. Around 19% CAGR over the long backtest, and the max drawdown sits in the low 20s%. Low 20s! On a sleeve running 2x notional! Sharpe lands near 1.25. I rebuilt it three times because I flat out didn't believe the drawdown the first time...

I'm not going to pretend it's bulletproof though, because this crowd will (rightly) check:

• RSST is only a couple years old, so the long history is reconstructed, synthetic managed futures stacked on the S&P. Go far enough back and it's a model, not a track record. The MF-heavy version is the most reconstruction-dependent thing I run, so trust the shape more than the exact 19.
• The canary watches inflation and rates, not equity drawdowns. So it absolutely nailed 2022 (sat in cash most of the year) but it mostly sat through 2008 and only got defensive late. It's not a fast-crash dodger.
• Drawdowns are month-end, daily runs a touch deeper.

Even with all that, it's the most fun I've had with a return-stacked sleeve in ages. The whole point of stacking is you stop giving up equity to hold your diversifier, and putting a canary on top means you stop holding that diversifier through the regimes where it just bleeds. Two ideas that were great on their own, way better bolted together. I'm a little obsessed with it now, honestly.

Most coast calculators run on a smooth average return. The problem is that once you flip from saving to drawing down, the order of returns matters far more than the average, and the smooth projection hides exactly that...

I got curious how big that gap really is, so I pulled every rolling 30-year window back to 1974, with real CPI, which means it captures someone unlucky enough to start into the 70s stagflation and again into the 2000 top. For each allocation I compared the worst window against the median window. That spread is basically the sequence-risk tax you pay for a bad start date, and it is bigger than I expected.

The classic 60/40 is the clearest case. The worst window only sustained about 4.5%, while the median did around 7.6%. So roughly a third of your "safe" rate just evaporates if your timing is unlucky. All Weather looked similar, a touch smoother, near 4.0% worst against 6.7% median. The more defensive, momentum-driven mixes held the worst end noticeably better, which makes sense since they sidestep the deepest early drawdowns, though honestly I'd want more live history before leaning on those too hard.

One caveat I want to be upfront about: these are 30-year windows, and the deepest US sequence (1929) isn't in this dataset, it only goes back to 1974. So the true worst case is probably a bit lower than what I quoted. I'd haircut whatever number you plan around.

What I'm really curious about is how this crowd sizes the number. Do you coast toward a figure based on an average return, or on a worst-case withdrawal rate? Because those two give very different "you're done" targets...

This idea keeps resurfacing here in different costumes, most recently in the optimized return-stacked mixes: run several strategies, hold whichever did best over the trailing year. Strategy momentum.

We backtested the naive version, no look-ahead: 14 strategies (a few leveraged), re-rank monthly by trailing 12m return, hold top 3 equal weight, 1992-2026.

The ranking signal is real, no arguing with that part. Top-3 bucket ~19.9%/yr, bottom-3 ~7.3%. Winners do keep winning for a while.

The portfolio is still bad though. It never beat the plain equal-weight blend of all 14 on Sharpe (best variant ~1.17 vs ~1.27 for the blend), and the reason is pure r/LETFs material: the highest trailing return is disproportionately a leveraged strategy late in its run. The rotation held a 3x strategy at ~22% average weight, in 254 of 389 months, directly into its catastrophic drawdown. Raw-return ranking is a machine for buying fragility at the top.

What worked instead: walk-forward re-weighting on a rolling window with a risk-adjusted criterion (Sharpe, Sortino, min-DD...) and a hard per-sleeve cap. Optimize in the window, hold out of sample, roll. Fun detail: set the criterion to max-CAGR and it quietly rebuilds the chasing problem, the weight cap is the only thing saving it.

Full mechanics and tables: https://bestfolio.app/blog/walk-forward-portfolios-deep-dive

If anyone here rotates LETF sleeves by recent performance (SSO/UPRO/TQQQ style), would genuinely like to hear how 2022 treated it.

A few weeks back I posted here running the 4% rule math across a pile of tactical strategies instead of just 60/40. Good discussion, but the criticism that actually landed was that my data started in the 90s. So not enough data to have multiple path and compare them, too short simulation etc. Fair points!

So I went back and rebuilt the history to 1974. Stagflation, the Volcker recessions, all of it. Same method, longer window.

Short version: the numbers came down! Not a surprise, and actually increase trust as far as I am concerned... YMMV!

The specifics:

• 60/40 went from a 6.7% safe rate to 4.5% once 1974 is in. 4.5% is basically Bengen's number, on the exact portfolio he used. So the method behaves when you feed it the case it was built on.
• HAA, the tactical one I'd called the standout last time, dropped from 12.7% worst-case to 10.4%. Still a lot higher than 60/40, but not as good as the 1990-start figure made it look.
• Max drawdown barely moved. Still around -20% for HAA, and the real low is 2000-02, not the 70s. That genuinely surprised me.

Last time a few of you said the worst-case floor on its own is thin, you want the spread. So this round I pulled the full per-window distribution. Median 30-year window for HAA was about 13.8%, sitting next to that 10.4% floor.

What I'm taking from it: a longer, uglier dataset dragged every number down, and the baseline landed right on Bengen. I'll take a backtest that does that over one that posts a better figure because it conveniently starts in the 90s.

Still stuck on the horizon thing from last time. A bunch of you pointed out 30 years is short for a 45-year-old, and yeah, the 50-year version is worse across the board - but realistic.

Full blogpost here: https://bestfolio.app/blog/safe-withdrawal-rate-through-stagflation

Basically the title... I wonder what prices will be, and I kindda have a hard time understanding what T10 brings vs T8?

Saw this one a while back from u/XXXMrHOLLYWOOD over on r/TQQQ (original here: https://www.reddit.com/r/TQQQ/comments/1nhz07d/spy_200sma_43_tqqqqqq_long_term_investment/ ). Setup is SPY vs its 200 day SMA: 100% TQQQ when price is more than 4% above the average, drop to 100% QQQ when it's more than 3% below, hold whatever you've got in between. The asymmetric band is there to kill the whipsaws around the line. Clean idea honestly, and the testfol numbers look unreal.

I added it to my strategy site and ran it on our data back to the mid 80s (synthetic 3x for the pre-2010 stretch, usual caveats). CAGR comes out around 28%, which is obviously massive. Max drawdown is around 96% though. Not a typo. Near total wipeout at the worst point.

The band does help with whipsaws, no argument there. My problem is the aggressive leg being 100% TQQQ and nothing else. A 200 day signal always flips late, so in 2000, 2008 and 2022 you're still riding 3x Nasdaq deep into the crash before it ever tells you to step off. A -96% line is basically uninvestable, almost everyone bails way before the recovery ever comes.

Not trying to dunk on it, the band logic is genuinely sound and I get the appeal. imo the single asset aggressive leg is the fatal flaw. The leveraged trend setups I've seen actually survive tend to put something uncorrelated on defense (managed futures, gold, treasuries) instead of going pure QQQ.

If you want to eyeball the drawdown on TQQQ or any leveraged ticker yourself, this is the tool I use: https://bestfolio.app/tools/drawdown-analyzer . Curious if anyone here has run a version with a real diversified defensive sleeve and gotten the DD down to something livable...

Disclosure: I'm the BestFolio founder.

You asked for more leverage. We just opened the leveraged wing of the catalog. Six leveraged tactical strategies, plus Carter's Cash Trigger as the unleveraged companion in the same family.

BUT (and there has to be a but, this is r/LETFs and the wreckage is the price of admission): leverage is dangerous. Kelly 9Sig posted a 99.73% peak-to-trough drawdown in our dot-com backtest. That is a complete wipeout. The 6Sig 2x cousin is in the same family. Most "stack leverage and hold" strategies eventually meet that fate, because they have no trend filter, no hedge, no exit. The math of multiplicative losses through a 50-plus% index drawdown is unforgiving.

The strategies we just released are the trend-filtered alternatives. Most originated on this sub. What they trade absolute upside for is a capped drawdown. None hit 99.73% in any window. The worst we saw was 76% (RPEA Full and Buy the Dip in the dot-com window). The best risk-adjusted variants stayed below 40%. Still painful, and that is the cost of running 3x leverage through a real cycle, but it is not "fund unrecoverable, start over."

Headline metrics, best variant per strategy:

Strategy	Best variant	CAGR	MaxDD	Sharpe	Period
A-RVol Shifter	V3 Cash-Only	24.98%	-38.36%	0.83	2003-2026
TQQQ/UPRO Trend SMA	Standard	16.92%	-42.64%	1.01	1986-2026
White Knuckle	3x RP + Rotation	16.76%	-46.32%	0.60	2019-2026
RPEA	Conservative (Partial Delever)	22.17%	-57.08%	0.85	1986-2026
Low Initiative LETF V2	Standard	14.31%	-26.46%	0.82	2002-2026
Buy the Dip	Standard	24.54%	-76.53%	0.92	1985-2026
Cash Trigger	-> SPY (unleveraged)	11.60%	-26.26%	0.87	1987-2026

Three observations on those numbers:

A-RVol Shifter V3 Cash-Only (u/Wongkok's original signal stack with the V3 add-ons we shipped on top) has the best Calmar in the release at 0.65, because BIL defensive bounds drawdown to 38% while CAGR stays at 25%. If you want one "leveraged with adult supervision" strategy to start with, this is where I would start imo.

RPEA Conservative gives you the All-Weather framing (US, EU, EM, gold, utilities) with a partial-delever defensive that cuts drawdown from the Full variant's 76% to 57%. Trades 4 points of CAGR for 19 points of drawdown. Most practical for real-money use of the four RPEA variants.

White Knuckle is the spiciest. No trend filter on the leveraged core. Sleeve sizing is the whole game. Run it at 50% of wealth and you will eventually post a 70-plus% drawdown and not come back. Run it at 5-10% inside a 90% indexed portfolio and the deep moves are tolerable. The author named it White Knuckle for a reason.

Why this is materially better than 9Sig:

9Sig's design assumes you can value-average into a 3x ETF without ever exiting. There is no trend filter. There is no defensive sleeve. In the 2000-2002 window, the strategy was buying more TQQQ as it bled 95% off the peak. The 99.73% MaxDD is what that buying-as-it-falls schedule produces when the underlying actually does fall 80%+. The strategies above either exit on a 200d SMA failure (TQQQ Trend, Low Initiative, Cash Trigger, Buy the Dip), rotate into a defensive basket when filters trip (A-RVol Shifter, RPEA), or hedge the leveraged core with a momentum rotation across uncorrelated alternatives (White Knuckle). None of them buy more TQQQ at -90%.

What we deliberately held back: Kelly 3sig / 6sig / 9sig are not in this release. The 99.73% drawdown is the reason. Trusted testers still see them, but pushing those to a wider audience without either a trend filter bolted on or a much clearer risk-disclosure UX in front of them would be reckless on our part. We will revisit when one or the other is in place.

Honest framing notes since people here actually run these:

• Our Low Initiative V2 uses UGL (real 2x gold) instead of the spec's synthetic 3x. Our backtested CAGR is 15.78%, not the 21.35% claimed by some testfol.io runs that use the synthetic ticker. We picked real-tradeable.
• TQQQ/UPRO Trend SMA and Buy the Dip are r/LETFs-classic ideas (200d-SMA-on-TQQQ and RSI/SMA dip-buying) that BestFolio has stabilized into shipping form. Both core concepts predate us by years on this sub.
• The five third-party strategies (RPEA, Low Initiative V2, A-RVol Shifter, White Knuckle, Cash Trigger) are implementations of the originals as published by RNAProf, u/CrushUprising, u/Wongkok, and David Alan Carter. Where we deviate from spec, we say so on the strategy page.

Full per-strategy writeup with rules + merits + shortcomings + the full 14-variant performance table: https://bestfolio.app/blog/leveraged-tactical-strategies-release

Catalog (filter to Tactical): https://bestfolio.app/strategies

The shortcomings section of each strategy is the most important part of that writeup. Read those first. If you cannot describe how a strategy fails in one sentence, you should not be running it.

Disclosure vorweg: Ich entwickle BestFolio, eine Plattform für taktische Asset Allocation. Der Artikel unten ist Research, kein Verkauf, aber der Link am Schluss zeigt natürlich unsere eigene Implementierung.

Hintergrund. Wer aus Deutschland eine US-TAA-Strategie wie HAA, GEM oder Antonaccis Dual Momentum umsetzen will, landet sofort vor der PRIIPs-Wand. AVUV, AVDV, DBC, PDBC und die meisten US-domizilierten ETFs sind für EU-Retail bei IBKR und Trade Republic nicht handelbar. Die UCITS-Substitute existieren auf XETRA, LSE, Borsa Italiana, aber sie sind nicht alle gleichwertig.

Drei Kriterien für ein sauberes UCITS-Substitut, die in den meisten Threads vermischt werden:

1. Asset-Klasse passt. S&P 500 für S&P 500. Lange Treasuries für lange Treasuries. Soweit der Konsens.
2. Methodik passt. Cap-weighted gegen cap-weighted, Value-Composite gegen Value-Composite. Zwei Fonds können beide "Small Cap Value" heißen und trotzdem deutlich verschiedene Körbe halten.
3. Liquidität reicht. XETRA-Spreads von 30-50bp auf dünneren UCITS-Sleeves kosten bei monatlicher Rotation mit 200% Jahres-Turnover schnell 60-100bp p.a. Das ist eine TER doppelt.

Tier 1, sauber substituierbar (kaum CAGR-Drift):

• HAA (Keller/Keuning): SPY→CSPX, QQQ→CNDX, IEF→IBTM, TLT→DTLA, GLD→IGLN, IWM→RU2K, VWO→EIMI, VEA→EXUS, BIL→IB01. Nur DBC bleibt messy, siehe Tier 3.
• GEM (Antonacci): SPY→CSPX, VEU→EXUS, AGG→IUAG, BIL→IB01. Clean.
• Permanent Portfolio (Browne): SPY+TLT+GLD+BIL → CSPX+DTLA+IGLN+IB01. Alles clean.
• All Weather (Dalio): SPY+IEF+TLT+GLD+DBC+TIP → CSPX+IBTM+DTLA+IGLN+(?)+ITPS. DBC und TIP sind die Wrinkles, alles andere passt.
• 60/40: CSPX+IUAG und fertig.

Ungefähre TERs zur Orientierung: CSPX 0.07%, CNDX 0.30%, IBTM 0.07%, DTLA 0.07%, IGLN 0.12%, IUAG 0.10%, IB01 0.07%, EIMI 0.18%, EXUS 0.15%, RU2K 0.30%, ITPS 0.10%.

Tier 2, geht, aber Charakter geht verloren:

• Small-Cap Value (AVUV, IWN, IJS). Avantis hat keine UCITS-Klone. Nächster Ersatz ist ZPRV (SPDR MSCI USA Small Cap Value Weighted UCITS). MSCI-Value-Composite-Methodik gegen Avantis' Profitability-plus-Value-Tilt sind nicht das Gleiche. Rolling 12M-Korrelation AVUV/ZPRV liegt bei 0.80-0.85, was bei einem 15%-AVUV-Sleeve ungefähr 50-100bp jährliche CAGR-Abweichung gegenüber dem US-Backtest produziert. Tolerierbar bei kleinen Gewichten, irgendwann nicht mehr.
• US REIT (VNQ). IWDP ist die nächstgelegene Option, aber das XETRA-Volumen ist deutlich dünner, also Limit Orders verwenden.
• Developed ex-US Small Cap (SCZ). IUSN (iShares MSCI World Small Cap) approximiert es, ist aber nicht ex-US gefiltert. Frankenstein-Setup unvermeidlich.

Tier 3, kein sauberes Substitut existiert:

• DBC, PDBC. Die aktive K-1-freie Commodity-Strategie lässt sich unter UCITS-Regulierung nicht nachbauen. Alternativen sind passive Commodity-Baskets wie ICOM (iShares Diversified Commodity Swap) oder CMOD (Invesco Bloomberg Commodity), mit 100-200bp Tracking-Drift über einen vollen Commodity-Zyklus. Für HAA als Beimischung tolerierbar. Für Commodity-Momentum-Strategien ein anderes Tier.
• TIPS (TIP, SCHP). ITPS gibt es als UCITS, aber USD-denominiert. Heißt für einen EUR-Anleger: entweder volles USD-Risiko auf den Inflationsschutz, oder 30-50bp Hedging-Kosten. Keine schmerzfreie Lösung.

Ganzer Artikel mit Tier-Tabelle und mehr Detail: bestfolio.app/blog/taa-strategies-europe-ucits-substitution

Was ich an Diskussion suche: Sind die ZPRV-AVUV-Korrelationen jemand im Forum unabhängig hinterhergerechnet? Und kennt jemand eine bessere UCITS-Lösung für den US-TIPS-Sleeve, idealerweise EUR-hedged ohne den 30-50bp Hedging-Drag?

OK so I've been running Bengen-style rolling 30-year SWR across a bunch of TAA strategies. Monthly windows, binary search for max-survivable rate. Pretty standard setup.

For 60/40 my number is 6.7% SWR. AllocateSmartly gets 4.2% on what should be the same construct.

Gap is 2.5pp. My first guess is the data window: mine starts in 1993 (AGG inception is Sep 2003, SPY is Jan 1993, so my 60/40 NAV series can't go further back). AS uses extended-history indices going back to 1926+, which includes the 1929 and 1966-1981 cohorts that are the worst SWR cases in US history.

If that's the whole explanation the gap should be methodology-aligned. But 2.5pp feels small for missing both the Depression and stagflation cohorts. Either my methodology is too lenient somewhere offsetting it, or the worst-cohort SWR penalty is genuinely smaller than the literature suggests.

Anyone here run Bengen-style on extended-history data and seen what the actual 1929-cohort SWR for 60/40 looks like? Reading bengenfs.com I see numbers ranging from 4.0% to 4.7% on multi-cap, which is closer to AS than to mine. But I'd trust someone who's actually run the rolling windows over the Shiller data more than the published summaries.

Full methodology + the table is at https://bestfolio.app/blog/safe-withdrawal-rates-taa-strategies

What's the first thing you'd check?

Since the PRIIPs ruling, European retail can't directly buy SPY, QQQ, TLT, IEF, AGG, and most other US-domiciled ETFs. So when a US TAA paper says "rotate SPY/EFA/EEM/AGG based on canary signals", the practical question for European retail is whether the rotation can be executed with UCITS ETFs and whether the result is meaningfully close to the published backtest.

Spent some time mapping the major TAA systems (HAA, VAA, BAA, ADM, GEM, Permanent Portfolio) to UCITS substitutes and re-running backtests. A few patterns from that exercise:

Most rotation rules translate cleanly. CSPX for SPY, EQQQ for QQQ, IWDA for developed-market international exposure, EIMI for EM, SGLN for gold, IDTM/IDTL for treasury bonds at different durations. Where things get messier: broad commodity exposure (DBC has no clean UCITS equivalent, you end up with L&G or Invesco basket products that track slightly different indices) and global aggregate bonds (the closest UCITS substitutes are often euro-hedged which changes the FX exposure profile materially vs the unhedged US-domiciled originals).

Tracking-error realism shrinks the usable backtest window. Many UCITS ETFs only existed post-2010 or 2015. So if you want to backtest HAA on actual UCITS price returns, your data is ~10-12 years. You can still backtest the strategy on the underlying indices over 30+ years, but the index-vs-actual-UCITS spread (TER, swap costs, tracking error, hedging costs) is what real-money execution actually pays.

The currency-hedging choice matters more than people think. Holding unhedged USD treasuries from euro base currency adds a USD/EUR factor that can dominate strategy returns over multi-year periods (look at 2022-2024 for the painful version). UCITS hedged variants exist for most major USD bond exposures, but they cost ~30-50bps annually in hedging friction.

Wrote up the full mapping and backtest comparison for the top TAA strategies in UCITS mode at https://bestfolio.app/strategies (toggle UCITS mode in the top-right of the page). Backtests come out within ~50-100bps annually of the US-domiciled equivalents post-2015, mostly explained by the hedging-cost gap.

Anyone here running a real-money UCITS implementation of HAA, GEM, or one of the other published rotation systems? Would be interested to compare execution numbers vs the theoretical backtest, especially how much the hedging-cost drag actually eats in practice.

Did a Bengen-style SWR exercise on every TAA strategy in our backtest catalog. Rolling 30-year monthly windows on 33-37 years of data, monthly real-dollar withdrawals adjusted via FRED CPI-U.

The pattern I think matters for this sub: rotation discipline reshapes the SWR more than the raw leverage level does.

Representative numbers from the table:

• VAA-G4 SmartStack (gold+MF overlay on the rotation): 15.3% SWR, -19.5% MaxDD, 17.8% CAGR
• HAA SmartStack (same family): 14.2% SWR, -20.5% MaxDD
• Classic 60/40 (static benchmark): 6.7% SWR, -34.7% MaxDD
• LRS TQQQ (200-day SMA on/off, simplest LETF baseline): not in my own table, but noletovictor's recent rotation post puts it at -94% MaxDD. That makes Bengen-style withdrawals basically impossible no matter how good the CAGR looks.

The SmartStack variants run at roughly 1.3x-1.5x notional via the gold/MF overlay. So the picture is: comparable broad leverage, very different SWR. The rotation gate and the diversified defensive leg are doing most of the work here.

Couple of things worth flagging:

Data window is 1986-2026, which misses 1929 and 1973-1981 (the two worst SWR cohorts in US history). AllocateSmartly's extended-history 60/40 SWR is 4.2%, mine is 6.7%. That 2.5pp gap is the upward bias to discount, probably similar for the leveraged variants.

SmartStack overlays were designed in 2024-2025 so they're partially in-sample. The older systems in my table (GEM 2014, BAA-G4 2017, HAA Standard 2023, VAA-G4 2017, ADM 2014) are mostly out-of-sample for the data window and should be trusted more.

Full methodology, the four caveats, and the complete table: https://bestfolio.app/blog/safe-withdrawal-rates-taa-strategies

The open question I think is most interesting for this sub imo: at what point does adding more leverage stop helping SWR? My numbers say marginal effective leverage from capital-efficient stacking (gold + MF + bonds layered onto equities) helps both CAGR and SWR up to ~1.5x notional. Past that the data thins out and I'm less confident. Anyone here run withdrawals against 2x or 3x rotation systems with full path-risk accounting?

The 4% rule is the most-cited number in retail retirement planning. Bengen published it in 1994: SAFEMAX of 4% real for a 60/40 portfolio over 30 years, based on US data 1926 to 1976. Withdraw 4% in year one, inflation-adjust the dollar amount each year, never run out in any rolling window. The number aged into folk wisdom.

I got curious what happens if you run the same math across other portfolio strategies. So I computed rolling 30-year SWR for 80 variants across 51 different portfolio strategies (static portfolios like Permanent Portfolio, All Weather, Golden Butterfly; tactical strategies like GEM, BAA, HAA, VAA, ADM; some leveraged variants). Same methodology as Bengen: binary-search for the max withdrawal rate where the portfolio survives every single rolling 30-year window without going to zero. Real US CPI from FRED for the inflation series.

The headline finding is interesting and the practical takeaway is boring. Both worth sharing.

Top of the sorted table:

VAA-G4 SmartStack (Gold+MF)    SWR 15.3%  MaxDD -19.5%  CAGR 17.8%
HAA SmartStack (Gold+MF)       SWR 14.2%  MaxDD -20.5%  CAGR 17.5%
ADM SmartStack (Gold+MF)       SWR 13.4%  MaxDD -23.9%  CAGR 16.8%
HAA Standard                   SWR 12.7%  MaxDD -19.7%  CAGR 14.3%
BAA-G4 (Aggressive)            SWR 11.8%  MaxDD -29.0%  CAGR 14.6%
ADM Standard                   SWR 11.6%  MaxDD -25.8%  CAGR 14.3%
VAA-G4 Standard                SWR 11.1%  MaxDD -20.9%  CAGR 12.9%
GEM (dual momentum)            SWR  9.6%  MaxDD -33.7%  CAGR 11.3%
Cockroach (5x20%)              SWR  8.0%  MaxDD -20.9%  CAGR 10.4%
Classic 60/40                  SWR  6.7%  MaxDD -34.7%  CAGR  9.1%
Golden Butterfly               SWR  6.6%  MaxDD -19.9%  CAGR  8.1%
All Weather (Dalio)            SWR  6.4%  MaxDD -22.5%  CAGR  7.7%
Permanent Portfolio            SWR  5.8%  MaxDD -18.6%  CAGR  7.4%

Every single strategy clears 4%. The best ones clear it by a factor of 3-4. Even Bengen's own canonical 60/40 shows up at 6.7% in this dataset, not 4%.

So why am I saying you should still use 4%?

Four honest reasons:

1. Our data starts around 1990 for most of these strategies. Bengen's data started in 1926. His rolling windows included 1929 starts (the Great Depression) and 1973 starts (the stagflation decade where stocks AND bonds both lost real value). Our windows all end before 2022 and never see a sustained inflation regime where everything bled together. Subtract 1.5 to 2 percentage points from any SWR in this table before forecasting forward.

2. In-sample fit for newer strategies. The "SmartStack" variants were designed in 2024-2025 on the same historical data the SWR is now backtested against. Some curve-fit risk is unavoidable. The older strategies (60/40, GEM, BAA-G4, HAA Standard, VAA-G4, ADM, Permanent Portfolio, All Weather) are mostly out-of-sample for the data window and should be trusted more.

3. No taxes, no fees, no transaction costs. Monthly turnover in a taxable account costs 50 to 150 basis points of CAGR depending on the strategy. That comes off the SWR proportionally. In a Roth IRA the picture is cleaner.

4. Behavioral SWR is much lower than mathematical SWR. The math assumes you hold the strategy through every drawdown. The behavior is whatever a real human does when their portfolio is down 30% in year 2 of retirement. Bengen's 4% number quietly accounts for this. 15% does not. The first three years of a 15% withdrawal plan would be psychologically brutal even when the math is fine.

So the practical takeaway: if you're FIRE planning around 4%, you're being conservative by a meaningful margin. The conservative response to this analysis is to pick one of the lower-MaxDD strategies (Cockroach, HAA Standard, Permanent Portfolio for the cautious; HAA SmartStack or VAA-G4 SmartStack for those willing to trust tactical) and target 5 to 6% instead of 4%. Still well below the mathematical SWR but with meaningful behavioral cushion.

If you want to keep 4% exactly, the data here just tells you you have more headroom than you thought. Same plan, more confidence.

Full table, expanded methodology, and the four caveats with the expanded mechanism on why TAA strategies defeat sequence-of-returns risk (the 2022 case study where SmartStack variants returned positive while 60/40 lost 16% is the cleanest single example): https://bestfolio.app/blog/safe-withdrawal-rates-taa-strategies

Genuinely interested in pushback on the in-sample risk for the SmartStack variants, since that's the part of the analysis I trust least.

Posting this here because the simplest implementation uses RSST as one of the cores, and r/LETFs is the right room for that conversation.

Quick context: every "great" strategy in our catalog has a tradeoff. HAA Leveraged 2x at 23% CAGR comes with -34% MaxDD. TQQQ Trend at 18% CAGR comes with -29% MaxDD. The static stuff (Cockroach, Permanent, the Return Stacked Quartet) caps drawdowns at -20 to -30% but caps CAGR too. Pick one and you live with whichever pain you signed up for.

So I built a core-satellite blend that doesn't pick. Two static cores, three tactical satellites, weighted 60/40 with even splits inside each tier:

• Core 30%: Cockroach (5x20% stocks/long bonds/gold/cash/MF)
• Core 30%: Return Stacked Quartet (20% NTSX + 20% GDE + 30% RSST + 30% ZROZ)
• Satellite 13.3%: HAA Leveraged 2x (Keller's TIP-canary, leveraged)
• Satellite 13.3%: TQQQ Trend Proxy (200d SMA filter on QQQ leveraged)
• Satellite 13.3%: ADM SmartStack (EngineeredPortfolio's accelerating dual momentum + gold/MF ballast)

The five mechanisms are genuinely different: the cores use no signal, HAA reads a binary canary, TQQQ Trend reads the trend channel, ADM reads accelerated relative momentum. So when one satellite gets a regime call wrong, it's rare for the other two to fail on the same axis at the same time.

33-year backtest results (1992-11-30 to 2026-05-01, monthly rebalance):

CAGR 15.19% | MaxDD -19.2% | Sharpe 1.07 | Sortino 1.55 | Calmar 0.79 | Vol 11.3%

The blend's Sharpe (1.07) is higher than every individual component (best single is HAA Lev 2x at 0.89). The MaxDD (-19.2%) is shallower than the best individual core (Cockroach -20.9%). Diversification effect doing its job: when you blend uncorrelated mechanisms with avg pairwise correlation around 0.4-0.6, the volatility falls faster than the average of the components, so risk-adjusted return rises.

The RSST simplification (the part I think this sub will care about):

The 4-ETF Quartet core is overengineered for some accounts. You can replace it with just RSST 15% + ZROZ 15% as a 2-ETF core. RSST gives you 100% S&P + 100% MF on the same dollar (so it carries the second core's stocks-plus-diversifier function in one ticker), ZROZ provides the long-duration leg.

Tested on the same 33-year window using BestFolio's price builder for the synthetic chains, the simplified version:

CAGR 14.86% | MaxDD -17.9% | Calmar 0.83

Give up 33 bps of CAGR, get back one fewer rebalance to think about and three fewer ETFs in the account. Calmar actually goes up because the MaxDD drops more than the CAGR. Not a free lunch but a clean tradeoff.

Going further (just RSST 30% + ZROZ 30% as cores, drop Cockroach entirely): CAGR 15.47% / MaxDD -19.3% / Calmar 0.80. Higher CAGR but you lose the gold leg from Cockroach. The SmartStack inside ADM has a small gold component but it's not the same exposure. I wouldn't go this minimal personally.

Honest caveats:

• RSST inception is Sept 2023. Pre-2023 we use a synthetic chain (S&P 500 + DBMF managed-futures track) via the BestFolio price builder. ZROZ inception 2009, pre-2009 uses long-duration Treasury yield curve construction. Both chains are visible in the price-build log on every backtest run.
• HAA Leveraged 2x is conceptual (daily leverage applied to unleveraged HAA NAV), not an investable wrapper that exists today
• TQQQ Trend uses a Nasdaq leverage proxy pre-2010 with daily 3x reset and realistic financing assumptions
• 12-20 ETFs in execution at any given month, this is a tax-deferred-account portfolio
• 3 satellites need monthly trades, the cores rebalance annually
• Past performance, etc. 33 years is a lot of ground but it's still one path

Full writeup with regime breakdown (how it did across 2000-03 dot-com, 2008 GFC, COVID crash, 2022 inflation), correlation rationale, and the table for all eight weight variations we tested: bestfolio.app/blog/core-satellite-blueprint

Curious what tweaks people would make to the satellite tier specifically. The constraint is uncorrelated mechanisms, so I avoided stacking three momentum strategies. Open to hearing if anyone has a fourth-mechanism candidate I missed.

https://preview.redd.it/kav7rjigh9zg1.png?width=1226&format=png&auto=webp&s=9bfd562ce33d42e7edeebc79d3252307d852c0c5

I subscribed to "Life" membership a year ago. 400 €/year, on the promise of "medical grade" device, blood pressure monitoring and a lot of other benefits.

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This was the last nail in the coffin, and I will now actively advise everyone to stay clear of this company...