3x SPY + 200 Day SMA
Holds 3x leveraged S&P 500 when the index trades above its 200-day SMA, rotating to short-term bonds on a breach — amplifying returns while using the trend filter as a risk guard.
Key Performance Metrics
Inception: 1993-01-29 | Last Updated: 2026-04-08| Metric | Portfolio | Benchmark |
|---|---|---|
| Ending Value | $495,961 | $110,222 |
| Total Contributions | $0 | $0 |
| Cumulative Return | 4,859.61% | 1,002.22% |
| CAGR | 12.01% | 7.22% |
| Volatility | 34.48% | 55.34% |
| Max Drawdown | -64.40% | -99.22% |
| Sharpe | 0.503 | 0.406 |
| Sortino | 0.577 | 0.514 |
| Calmar | 0.186 | 0.073 |
| Treynor | 0.455 | — |
| Information | -0.117 | — |
| Omega | 1.105 | 1.080 |
| Diversification | 1.000 | 1.000 |
| M² | 27.86% | — |
| Ulcer Index | 33.215 | 71.487 |
| UPI | 0.005 | 0.003 |
| Beta | 0.381 | — |
| Alpha | 8.79% | — |
| Fama French 6 Factor Alpha | -1.06% | -10.51% |
| Fama French 6 Factor Alpha t-stat | -0.233 | -10.725 |
| R² | 0.374 | — |
| Fama French 6 Factor R² | 0.423 | 0.989 |
| Fama French 6 Factor Adj. R² | 0.422 | 0.989 |
| Deflated Sharpe Ratio | 48.15% | 24.43% |
| Probabilistic Sharpe Ratio (> 0) | 99.87% | 99.34% |
| Probabilistic Sharpe Ratio | 75.13% | 24.71% |
| Minimum Track Record (> 0) | 10.9 yrs | 16.5 yrs |
| Minimum Track Record | 291.3 yrs | — |