3x QQQ + 200 Day SMA
Holds 3x leveraged Nasdaq-100 when the index trades above its 200-day SMA, and rotates to short-term bonds when it falls below — cutting drawdowns while staying exposed to the trend.
Key Performance Metrics
Inception: 1991-10-28 | Last Updated: 2026-04-08| Metric | Portfolio | Benchmark |
|---|---|---|
| Ending Value | $4,993,375 | $264,190 |
| Total Contributions | $0 | $0 |
| Cumulative Return | 49,833.75% | 2,541.90% |
| CAGR | 19.78% | 9.98% |
| Volatility | 55.52% | 80.71% |
| Max Drawdown | -95.17% | -99.99% |
| Sharpe | 0.606 | 0.523 |
| Sortino | 0.712 | 0.706 |
| Calmar | 0.208 | 0.100 |
| Treynor | 0.717 | — |
| Information | -0.145 | — |
| Omega | 1.130 | 1.101 |
| Diversification | 1.000 | 1.000 |
| M² | 48.93% | — |
| Ulcer Index | 64.524 | 86.020 |
| UPI | 0.005 | 0.005 |
| Beta | 0.470 | — |
| Alpha | 13.84% | — |
| Fama French 6 Factor Alpha | 13.59% | 18.60% |
| Fama French 6 Factor Alpha t-stat | 2.005 | 3.711 |
| R² | 0.466 | — |
| Fama French 6 Factor R² | 0.453 | 0.848 |
| Fama French 6 Factor Adj. R² | 0.453 | 0.848 |
| Deflated Sharpe Ratio | 75.52% | 56.50% |
| Probabilistic Sharpe Ratio (> 0) | 99.98% | 99.92% |
| Probabilistic Sharpe Ratio | 72.32% | 27.51% |
| Minimum Track Record (> 0) | 7.5 yrs | 9.9 yrs |
| Minimum Track Record | 394.6 yrs | — |