Quantbase · investment strategy
by Quantbase
A fund built to weather all markets, splitting the fund’s risk exposure between 4 types of economic environments, but using leveraged instruments to amplify risk/return.
Description from Quantbase
of the return and risk figures:as the source publishes them
What $10,000 would have become, from the strategy's own published history, against the S&P 500 over the same dates. The basis is labelled.
Each rule is quoted word for word from the strategy's own documents.
“30% UPRO, 40% TMF, 15% TYD, 7.5% UTSL, 7.5% UGL”
“Leveraged ETFs (2x/3x)”
“using leveraged instruments to amplify risk/return”
“splitting the fund’s risk exposure between 4 types of economic environments”
5 positions as of 2026-08-22 · 5 snapshots on file
by the source.
Fitted to 120 returns (composite) from 2024-06-27 to 2026-10-05. An estimate, not holdings: it can't name stocks.
· : 0.60 · Too loose a fit for a verdict; shown as a guide.
Beta to the S&P 500: 1.05 (90%: 0.92 to 1.27)
Compares the stated rules with the holdings (or, where none are published, a mix estimated from returns), using tests fixed before any results were seen.
1.1% of weight in (IVV: 3.0%)
4 funds (SEC N-PORT, as of 2026-05-31)
No stated fossil-fuel rule; the exposure is shown for reference. : 100% · 2026-08-22
100.0% of weight in (SPY: 0%)
Its stated rules make a claim, and its holdings back it up. : 100% · 2026-08-22
Strategies that share its Aggressive risk label, from other sources first, strongest risk-adjusted return first.
Composer Technologies · Composer
Composer Technologies · Composer
How much of what we look for this strategy has, and why anything is missing. Fields that don't apply to it aren't counted.
2 missing
The text the rules are quoted from, with where it came from.
The All Weather Fund is based on ideas by Bridgewater founder Ray Dalio. Normally a low-risk fund, this recreated version adds risk in the form of leverage. Its goal is to weather all market environments - higher inflation than expected (rising prices), lower than expected inflation (or increasing deflation), higher than expected economic growth, and lower than expected economic growth.
The vanilla All Weather portfolio seeks to minimize volatility-based risk. Intuitively, risk-seeking investors may want to replace some of the inherent asset class-based volatility, with the risk/return potential that leverage allows; Insight into this portfolio comes from Bogleheads; Whereas the vanilla All Weather portfolio gets some exposure to a broad commodities index, there's no suitable leveraged alternative -- we used a leveraged product giving exposure to utilities as a sector based on the intuition that it is one of the least-correlated sectors to stocks in the past 2 decades (moreso than REITs and commodities)
Because leveraged ETFs use financial derivatives to give you 3x or 2x leverage to the underlying, they don't always fully track the index -- the return of leveraged funds for periods longer than a single day will be the result of its return for each day compounded over the period. What this means that, in general, in a rising market, a 3x leveraged instrument would likely deliver more than 3x returns, but in a sideways or falling market, a 3x leveraged instrument would underperform its underlying by more than 3x. For example, if the S&P goes up 5% over a week, a 3x ETF might not go up exactly 15%. This is especially important in high-volatility markets, where leveraged ETFs may underperform their expected returns due to the compounding effects detailed earlier. In a very general sense, the reason for this is that tracking restarts at the start of each trading day -- 3x ETF performance is based on the daily move of its underlying 1x, and not on the 3x ETF's share value itself. This strategy invests in fractional shares when available. When not available, it will invest in the nearest (lower) whole number of shares. Please note that this number may be 0 if your investment in this strategy is sufficiently low, meaning our investment strategy advertised returns will be different from your returns.
A fund built to weather all markets, splitting the fund’s risk exposure between 4 types of economic environments, but using leveraged instruments to amplify risk/return.
Every value on file, each labelled with its calculation basis and as-of date.
| Last rebalance date | 2026-08-22 | 2026-10-05 | |
| Rebalance frequency | quarterly | 2026-10-05 |
| Brokerage / custodian | Alpaca | 2026-10-05 | |
| Management / advisory fee | 1.00% |
| Metrics calculated through | 2026-10-05 | 2026-10-05 |
| Program in the firm's Form ADV brochure | url: https://files.adviserinfo.sec.gov/IAPD/Content/Common/crd_iapd_Brochure.aspx?BRCHR_VRSN_ID=1043543 · name: Quantbase Leveraged All Weather Portfolio · covers: 1 · source_key: quantbase_surmount|15 · original_name: Leveraged All Weather Portfolio |
| Correlation to SPY (Quantbase data field) (basis not stated) | 0.47 | 2026-10-05 | |
| Correlation to SPY (full history) (client composite) | 0.47 | 2026-10-05 |
| Annual return (Quantbase data field) (basis not stated) | 1.84% | 2026-10-05 | |
| Backtest end date (Quantbase data field) | 2023-01-01 | 2026-10-05 | |
| Return since chart start (cumulative) (client composite) | 10.71% | 2026-10-05 | |
| Return, rolling 1 year (client composite) | -17.13% | 2026-10-05 |
| Daily volatility over the chart range (client composite) | 1.34% | 2026-10-05 | |
| Max drawdown (Quantbase data field) (basis not stated) | -27.75% | 2026-10-05 | |
| Max drawdown over the chart range (client composite) | -32.18% | 2026-10-05 | |
| Monthly volatility over the chart range (client composite) | 7.93% | 2026-10-05 | |
| Sharpe ratio (Quantbase data field) (basis not stated) | 1.60 | 2026-10-05 | |
| Sharpe ratio from daily returns over the chart range (client composite) | 0.23 | 2026-10-05 | |
| Volatility (Quantbase data field) (basis not stated) | 0.04% | 2026-10-05 | |
| Volatility over the chart range, annualized from daily (×√252) (client composite) | 21.27% | 2026-10-05 |
| Qualitative risk score (Quantbase data field) | 3.50 | 2026-10-05 | |
| Risk score 0-5 (Quantbase) | 3.90 | 2026-10-05 |
| Experience minimum: bonds | 0 | 2026-10-05 | |
| Experience minimum: crypto | 0 | 2026-10-05 | |
| Experience minimum: equity | 0 | 2026-10-05 | |
| Experience minimum: leverage | 0 | 2026-10-05 | |
| Experience minimum: options | 0 | 2026-10-05 |
Composer Technologies · Composer
Composer Technologies · Composer
