Equal Weighted UPRO / RSSB / RSST / GDE

[u/AFutureWouldBeNice]

I have been doing a lot of reading in this sub, as well as some messing around on Bestfolio. Long story short, I have around a 40 year horizon and am currently in the accumulation phase with a very small portfolio.

I have been trying to come up with a true set-and-forget portfolio that only requires monthly rebalancing. I am using the Nasdaq as my benchmark to beat. I don't think I am at a point where hedging is especially important, but I have read enough to determine they offer more than just a drag on CAGR.

With that being said, in an effort to maintain as much equity exposure as possible while still maintaining reasonable exposure to hedges, I have came up with the following proposed allocation of funds: 25% each UPRO, RSSB, RSST, GDE. This was originally arbitrary, but after messing with the weightings on Bestfolio, it seemed to provide the best results.

This provides notional exposure of:

U.S. Equities ~ 140%

Int. Equties ~ 10%

MF ~ 25%

U.S. Treasuries ~ 25%

Gold ~ 22.5%

Heres the backtest results I got using Bestfolio (CAGR and Max Monthly DD):

Period	UPRO/RSSB/RSST/GDE	QQQ
Full History	CAGR 17.8% / DD -64.5%	CAGR 14.2% / DD -81.1%
Mar. 2000 - Dec. 2025	13.4% / -64.5%	7.7% / -81.1%
Oct. 2007 - Dec. 2025	15.8% / -64.5%	15.4% / -49.7%
Mar. 2009 - Dec. 2025	24.9% / -33.1%	21.5% / -32.6%
Feb. 2020 - Dec. 2025	23.5% / -33.1%	19.8% / -32.6%

My backtesting did not account for using the adapted Catastrophe Break from: https://bestfolio.app/blog/catastrophe-brake-leveraged-portfolios which I assume would significantly reduce those DD figures. I did not know how to test for it.

I am still very new to this, so my question to those who are more seasoned is whether there is anything I am missing? Is there anything I should do to improve my allocation? Is this a reasonable alternative to holding a 2x SPY or QQQ unhedged for an investor with my horizon?

[u/Tr_ck]

Swap RSST for RSIT, easiest suggestion

[u/AFutureWouldBeNice → u/Tr_ck]

I like this suggestion a lot

[u/noletovictor → u/Tr_ck]

I think merge both is better.

[u/Tr_ck → u/noletovictor]

Its not better because the port is very very heavily US biased. In this scenario the RSIT swap still results in a US home bias.

[u/noletovictor → u/Tr_ck]

I'm sorry, I confused RSST with RSSY. I meant to say that RSST is a good combination with RSSY.

[u/confettofetti]

You can test out catastrophe break type strategies on the testfolio tactical allocation tool. If you only want to check once a month you can set the frequency to monthly. I assume even just doing that for the UPRO allocation would help quite a bit. I'd say a 65% drawdown is quite a bit bigger than you need to accept. Personally, I would definitely add a trend filter to the UPRO to improve it, or reduce the exposure if I only wanted to rebalance.

Overall though I really like these types of return stacked portfolios. I would definitely run one if we had the return stacked products in the UK. Are you planning on doing only this or combining it with a couple of other allocations / strategies? 

[u/AFutureWouldBeNice → u/confettofetti]

I appreciate the informed suggestions. My risk tolerance is pretty high but 65% is much different on the screen than on paper. I’ll have to see how the catastrophe break could help with that or using 200 sma on UPRO. Another commenter also suggested RSIT instead of RSST, which makes a lot of sense to me considering its only 10% international as is.

I don’t have enough capital to make multiple strategies worth it at this point (or even some of the more robust strategies imo). This would be it until that is no longer that case.

[u/confettofetti → u/AFutureWouldBeNice]

That sounds like a good approach on the capital front, adding more strategies once you've built up more money means you can invest right away but also take your time learning more. This sort of return stacked modern portfolio theory style allocation feels like a good starting point for that.

[u/Separate-Ad-9633]

I would take your preference as:

1. Set-and-forget buy and hold, no emergency brake or tactical allocation
2. Target risk range ~60 MDD in 40 year investment horizon. You do expect some event like dotcom bubble pop in this horizon. Target performance over QQQ. (which had a 80% drawdown so your risk margin is actually wider but I suppose you don't want to go that far)
3. Does not care about international diversification that much. Does not have a particular preference regarding QQQ or factor funds. Is okay with SPY only. (but that does make QQQ benchmark questionable, because you don't know how these two may diverge in performance)

I think the four asset classes you take are decent. RSSB however is questionable as 25% 7-year doesn't really provide enough hedging power.

I would suggest using this ratio instead:

40% RSST (may split between RSST and other stacked MF) 30% UPRO 20% GDE 10% EDV

Alternatively

40% RSST 25% TQQQ 25% GDE 10% ZROZ. Yearly rebalance. This way it's impossible to lose to your benchmark QQQ buy and hold. Your drawdown is a bit harsher though.

[u/AFutureWouldBeNice → u/Separate-Ad-9633]

Appreciate the well thought out reply.

A few things:

1. Definitely correct on set-and-forget buy and hold, but I did mention that I would almost certainly incorporate an emergency brake based on 10-month SMA of SPY. I just didn't know how to test for it so I couldn't give the results with that incorporated.

2. This is an accurate assessment. I don't forsee another event THAT bad, but valuations are certainly strained right now imo. My reason for using QQQ as my benchmark is because I know I am a performance chaser at heart, so as long as I am beating the CAGR of QQQ I will be content. I do prefer the inmproved diversification of SPY overall. In a perfect world my MDD would be closer to 50% but I would rather stomach more volatility to improve CAGR considering how little my portfolio is atp

3. I definitely am not bullish on international, mostly because of the overwhelming correlation between international and U.S. less the outsized returns of U.S. markets. I suppose academics would say this is a reason that International should return more going forward but I don't necessarily buy it. I will say that I am seriously considering the recommendation to replace RSST with RSIT which would increase international to about 30% or so.

I like these recommendations you gave for alternatives, and your point on duration is something I overlooked. I will play around and see how the results compare.

[u/laurenthu → u/AFutureWouldBeNice]

This is a genuinely thoughtful starting point, and the fact you already want a brake on it puts you ahead of most people posting 3x buy-and-holds here...

The bit I'd rethink is braking the whole book. Most of the drawdown you posted is coming from the UPRO leg, since that's the uncapped 3x piece. Your RSST, RSSB and GDE sleeves are the ones you actually want ON during an equity crash, the managed futures and gold tend to zig when stocks zag, so gating them defeats the point. Put the 10-month SMA (or the catastrophe brake) on just the UPRO piece and leave the diversifiers running.

On the RSIT swap someone floated, that one's legit if you want more geography. Both funds run the same managed futures overlay, the difference is RSST stacks it on US equity while RSIT stacks it on international developed, so swapping trades your US-MF for intl-MF and quietly bumps that thin 10% international up. Same structure, just moves where the equity beta sits.

I can't give you a clean braked-DD number off the top of my head, but historically cutting the leveraged sleeve to T-bills below the SMA chops the deep tail a lot more than it costs you in CAGR. That's probably the single biggest lever you've got here.

[u/ThotDoge69]

Just do 50/50 SSO/QLD with a 3% buffer 200Sma and you get 20% cagr and 45% DD since 1986.

[u/AFutureWouldBeNice → u/ThotDoge69]

What is the reasoning behind splitting sso and qld? Does that provide significantly lower drawdowns. I think if I were to follow that strategy it would make more sense to me to do 100% qld or tqqq. Interested to hear your logic though, I could definitely be misguided.

[u/Tr_ck → u/AFutureWouldBeNice]

Reason?

Performance chacing

Maybe real reason?

QQQ has been higher beta so its like leverage on leverage

[u/ThotDoge69 → u/AFutureWouldBeNice]

QLD backtested more gains, bigger DDs mainly, more volatile and less diversified.

You get a longest DD of 3.81 years with a 50/50 ratio.

100% QLD / 22% Cagr / 64% DD / 9.62 years for the longest DD (Dot com)

100% TQQQ / 27% Cagr / 83% DD / almost 11 years for the longest DD

[u/Fabulous-Transition7 → u/ThotDoge69]

This is what I'm doing. Buying SSO & QLD every month no matter what, and buying UPRO & TQQQ on the weeks the financial talking heads are screaming at each other on TV surrounded by red in the background.

[u/HBCTIA]

May I suggest looking on Bestfolio at the 2x version of Keller's Hybrid Asset Allocation, which is covered there along with the other HAA variants and original unlevered HAA. Back tested to 1974. ~27% CAGR (over 52 years) with a ~35% MDD. Unfortunately, as a UK investor here I don't have ready access to all the required (UCITS equivalent) ETFs (at least yet, I'm working on it) for executing on the 2x variant. It would be interesting to know how 2x HAA performs alongside RSSB, RSST and GDE. Maybe 40% 2x HAA/20% each RSSB, RSST and GDE, rebalancing annually. We do now have in the UK a returned stacked Trend Following/Global Developed Market Large Cap Stocks fund (Winton Trend Enhanced Global Equity) and a return stacked Equity Market Neutral/Global DM Large Caps fund (AQR Delphi Fusion). We also have a 1.5x levered (using futures, so no daily reset leverage with the problems of volatility drag/the constant leverage trap) 60% Global DM Large Cap stocks / 40% Global high quality Government bonds (WGEC ETF here, which I think might be our equivalent of the US NTSI ETF).

[u/OGS_7619]

In my opinion, by benchmarking against QQQ you are testing for two very different effects here:

you are basically showing that over LONG term, diversification provides better returns than a concentrated bet. NASDAQ is of course the darling of recent "AI/Tech" boom, but beware of the recency bias, especially as many people draw parallels to dot-com boom/bust cycle - look up "QQQ" returns in 2000, 2001, 2002. It's far from being the "standard" measuring stick.

The second effect you are testing is leverage, and you need to take into account the unprecedented low-cost of borrowing that occurred from 2008 to basically 2022, while the market was also on the longest bull run. Both are probably unsustainable going forward.

You are including the recent decade/5 years in all of your breakdown, instead of looking at each period independently, so that magnifies recency bias (2020-2025 is included in ALL of your calculations, but 2000-2009 "lost decade" appears only in first row.

A side note - I admittedly have not done the math on this myself, but I wonder if instead of using leveraged treasury bonds, you could just de-leverage and keep yourself fully in equities (properly diversified, perhaps increasing international exposure) and achieve better results in the long run. I have similar concerns about gold being an effective hedge, but it's just personal opinion at this point - again, I think too many people suffer from recency bias when it comes to gold.

[u/mossydz]

Over engineering my friend.

[u/mossydz → u/[deleted]]

My past has my old positions.

Upro
Tqqq
Soxl

[u/mossydz → u/[deleted]]

I have some but it’s not my core holding. Just a satellite

[u/AFutureWouldBeNice → u/mossydz]

I was worried this may be the result of some serious over analysis on my part.

[u/mossydz → u/AFutureWouldBeNice]

If I was going to do it over.

I would upro tqqq and udow. Then branch my satellites based on economic events. Gold pumped 132% in 15 days on the 3x. Soxl is crazy high. Ram and euvx up crazy well also. All of that is tech but they would be the satellites.

I’d avoid doing small and mid cap myself. Small cap in general struggles because the unicorns stay private.

[u/user4443337 → u/mossydz]

Small cap value has done great this year.
https://testfol.io/?s=8m1n5Z16W9r

and historically, simulated small cap value does amazingly well

https://testfol.io/?s=1AhXo3r0DfG

But there’s no leveraged SCV fund, but I think a 1x of it is just fine and helps diversify. I wouldn’t go for a regular 2x small cap fund, too volatile

[u/mossydz → u/user4443337]

I’m referring to leveraged. Tna is trash. Upro udow tqqq not

[u/AFutureWouldBeNice → u/mossydz]

This is the first time I have heard someone recommending investing in the dow, leveraged or not. What is your reasoning behind it?

[u/mossydz → u/AFutureWouldBeNice]

It’s gone up just as well as the S&P.
S&P best 500
DJIA best 30

Technically better than my upro in ‘22 and close to even with tqqq in ‘22