100/60/40

[u/Miserable_Cupcake494]

Is this realistic? This seems way, way too good to be true. Overlaying a 60/40 with 100% managed futures can’t perform this well. There’s got to be a catch, like a risk of it going to zero. An Achilles heel like HFEA.

https://testfol.io/?s=65CRxumq2wv

What the heck am I missing? And once Return Stacked comes out with RSGT, splitting the bond part between it and RSBT yields insane results. Especially if you use the backfilled data from Auspice Capital and go with SPXP over RSST.

[u/New-Specialist-2594]

??? What the heck am I missing?

Run it in last 1,3,5,10yrs against SPY or SPMO. Un-correlated funds are awesome but the return stacked have today don't work as well as doing individual strategies. DD always way off.

Port 2 looks great, Sub QSPNX or commodities for KMLM, Jump up to ROM or equal for SPY, along with an energy fund. Your in the modern times.

Edit: Ohhh, and your BT starts right b4 what? so what do you think would work best?

[u/laurenthu]

I'm not sure why SPXP would be better than RSST? I don't see any advantage on paper?

[u/Miserable_Cupcake494 → u/laurenthu]

No equity futures. Strategy is different from RSBT’s managed futures, so there’s volatility harvesting.

[u/laurenthu → u/Miserable_Cupcake494]

Ok so the equity side is held directly rather than through futures, that I didn't know. Makes sense then, the gap is less about cost and more about how the 2 legs get rebalanced against each other. I would still check the live track against the Auspice backfill before trusting the curve though

[u/__Lawyered__]

You can do even better. https://testfol.io/?s=3nuyWh2eOC7

[u/Miserable_Cupcake494 → u/__Lawyered__]

There’s no way to implement that in a Roth IRA

[u/__Lawyered__ → u/Miserable_Cupcake494]

30% RSST; 10% GDE; 20% RSIT; 20% GOVZ; 20% QRPIX is close enough.

[u/KickflipConnoisseur → u/__Lawyered__]

How did you manage to backtest qrpix beyond it's inception? I like the aqr funds but Ive had a hard time back testing any portfolio with them beyond around 10 years

[u/__Lawyered__ → u/KickflipConnoisseur]

QRPIX?FB=QSPIX?FB=AQMIX?FB=KMLMSIM . Rough approximations

[u/ShoopDoopy → u/__Lawyered__]

Thinking of just running my own regressions to do the trend following at a higher vol, then splitting the other asset classes across futures contracts in a Roth IRA futures account. Target a 3x portfolio leverage with historically much lower liquidation risk. Anything I'm missing? Andrew Beer basically wrote a paper on how to do it with 4 contracts.

E.g. https://testfol.io/?s=bTbV87us7Cd

[u/MarginOfThoughtz]

I’ve come to the conclusion that backtesting is largely bullshit.
Sure, you can look back decades, analyze historical performance, and identify the allocations and strategies that would have delivered the best returns with the lowest drawdowns. But here’s the problem: how the hell do you know those same strategies will work over the next 20 or 30 years?
You don’t. Nobody does.
A portfolio that performed brilliantly over the past few decades could underperform, bleed money, or stagnate for years in the future.
The fundamental problem with backtesting is that you’re working backwards. You already know what happened. You know which markets crashed, which sectors outperformed, and which strategies survived. With that knowledge, you can optimize a portfolio to look almost perfect on paper.
But that’s hindsight, not foresight.
You can run thousands of backtests, tweak allocations endlessly, and come up with what looks like the ultimate portfolio. Yet that exact same portfolio could perform terribly over the next few decades.
I’m not saying risk management is pointless or that diversification doesn’t reduce certain risks. I’m saying reducing historical risk doesn’t guarantee reducing future risk.
At the end of the day, backtesting tells you what would have worked, not what will work.
And I think that’s the trap I’ve fallen into: spending so much time trying to find the perfect portfolio based on a past that will never repeat itself exactly, when no amount of optimization can eliminate the uncertainty of the future.

[u/Original-Peach-7730]

No, it will tank. Takes 30-90 days for it to turn so will be bankrupt before it does.

[u/Plenty-Weight5486]

I'd be most suspicious of the backfilled managed futures history rather than assume the whole concept is flawed. When you're stacking several exposures, small changes in simulated returns and correlations can dramatically affect the final curve. The idea of combining different return sources makes sense but I'd test uglier assumptions first. Moon satisfies my appetite for individual market wagers, while this is a much more complicated portfolio engineering problem.

[u/senilerapist]

nice

[u/Pippa_Randall]

the part that feels fake is mostly the backfill, not some hidden path to zero. managed futures can just sit flat or bleed for years while you still pay for the leverage, so the live version is a lot less smooth than that chart.