For educational purposes only. Nothing on this site constitutes investment advice. Disclaimers

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LETF Stack - 2x

2x S&P 500 leveraged core paired with long-duration Treasuries, managed futures trend-following, and gold for cross-regime balance.

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TickerWeightBetaNotes
SSO55%22x daily S&P 500 — the leveraged equity core driving amplified growth returns.
ZROZ15%-0.3525+ year zero-coupon Treasuries — long-duration counterweight that spikes in drawdowns and deflation.
DBMF15%0.05iMGP managed futures — trend-following CTA that tends flat-to-positive in sustained equity drawdowns.
GLD15%0.05SPDR Gold Shares — inflation and real-asset hedge with near-zero equity correlation.

Weighted portfolio beta (approx.): 1.06

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Total return (vs SPY)

Range
+33.28%
Portfolio
+25.67%
SPY (benchmark)
+7.61%
Excess α vs SPY
-12.34%
Max drawdown
-8.88%
SPY max DD
1.74
Sharpe
Excess return above the 4.5% risk-free rate divided by annualised volatility. Above 1.0 is good; above 2.0 is excellent. SPY typically scores around 0.5–0.8.
2.52
Sortino
Excess return above the 4.5% risk-free rate divided by annualised downside deviation (penalises losses only). Above 1.5 is good; above 3.0 is excellent.
PortfolioSPY
Portfolio score: B+

Alpha score: A

Max DD score: C

Beta score: B

Beta: 1.06

Net leverage:

Total: 125.0%

Gross longs: 110.0%

Gross shorts: 0.0%

Gross alpha & alts: 15.0%

Portfolio weights:

SSO: 55%

ZROZ: 15%

DBMF: 15%

GLD: 15%

Educational model only — not investment advice. Portfolio betas in the holdings table are weighted to the listed names and weights.

DBMF's inception date of 2019-05-08 is limiting the backtest.