r/letfs
Deployed a 5-strategy TAA blend at ~2.3x effective leverage today. Roast my portfolio.
Deployed a leveraged 5-strategy TAA portfolio targeting 30% CAGR, seeking feedback on Nasdaq concentration.
- Diversified macro asset allocation using leveraged ETFs
- Backtested strategy shows strong risk-adjusted returns with a 1.39 Sharpe ratio
- Systematic monthly rebalancing based on momentum and TAA signals
- High effective leverage of 2.3x increases the risk of severe drawdowns
- Heavy concentration in Nasdaq exposes the portfolio to significant tech sector volatility
Just went live with a BestFolio 5-strategy equal-weight blend with leverage swaps:
|ETF|Weight|Leverage|
|:-|:-|:-|
|TQQQ|29.6%|3x Nasdaq|
|UGL|16.3%|2x Gold|
|PDBC|12.0%|1x Commodities|
|KMLM|11.7%|1x Managed Futures|
|EDC|10.0%|3x EM|
|EFO|8.8%|2x EAFE|
|UPRO|6.7%|3x S&P|
|TNA|5.0%|3x Russell|
Strategies: HAA Leveraged, ADM SmartStack, Composite Momentum SmartStack, VAA-G4 SmartStack, RP+Momentum. Monthly rebalance per BestFolio signals.
Effective leverage \~2.3x. Estimated \~30% CAGR, -30-33% max DD based on DeepSeek scaling estimates from the 1x backtest (18.4% CAGR, -12% DD, 1.39 Sharpe).
What am I missing? Too much Nasdaq concentration? Should I cap TQQQ lower? Anyone running a similar blend?
Love it. I'm still looking into strategies but am also planning on combining a few and leveraging.
Can I ask how you decide on those strategies? They're so much to consider so interested to hear others thought processes.
But yeah my only question would be the TQQQ weighting if there is no way for that to swap to S&P 500 during times when that's doing better?
Also is the KMLM in there as a static hold? If not does momentum make sense on managed futures since they use momentum themselves recalculated on shorter timescales (I assume they do daily or shorter)?
Selection criteria: (1) uncorrelated signal mechanisms — HAA uses a TIP canary, VAA uses breadth, ADM uses dual momentum, each triggers on different market conditions. (2) Published methodology where possible — HAA, VAA, and ADM are from Keller's SSRN papers so I can replicate independently. (3) All available on BestFolio with walk-forward validation. The 5-strategy equal-weight blend backtests at 18.4% CAGR / -12% DD / 1.39 Sharpe over 30 years.
On TQQQ weighting — good call. Some of the strategies do rotate between QQQ and SPY based on relative momentum, so UPRO gets its turn when S&P leads. The 29.6% TQQQ isn't static — it shifts monthly based on which strategies are calling for Nasdaq exposure.
On KMLM — it shows up as part of the SmartStack defensive sleeve (gold + managed futures) in some strategies. It's not a static hold per se, it rotates in when strategies go risk-off or when it ranks above equities on momentum. Good instinct though — managed futures already embed their own trend-following so layering momentum on top is somewhat redundant. I'm watching whether PDBC or KMLM gets dropped in future signals.
That all makes sense - really useful to hear from other people doing the same thing.
Congrats! Always nice to see real portfolio construction rather than 100% TQQQ and pray.
Are all strats 20%? I recall the BestFolio dude presenting some sort of main allocation / satellite approach which looked very interesting.
Currently 20% equal weight but I ran a 36-month rolling walk-forward optimization and the June 30 rebalance will shift to: DAA 37%, HAA 30%, TactPerm 20%, ADM 7%, VAA 5%. Turns out VAA and ADM are \~89% correlated — nearly the same bet — so the optimizer correctly downweights the redundancy. Would love to hear more about the main/satellite structure if you have the link to that laurenthu post.
These were the two blog posts:
https://bestfolio.app/blog/walk-forward-portfolios
https://bestfolio.app/blog/core-satellite-blueprint
The curious part to me was that if the specific strats weren't super highly correlated, the max dd would be lower and expected performance (CAGR) would still hold up.
No affiliation with website.
This is incredibly helpful, thank you. The core-satellite blueprint is exactly what I was looking for — I've been debating whether equal weight or optimized weights make more sense. Reading both now.