Quantbase 3x S&P Leverage with T-Bill Crisis Switch

100% UPRO when SPY is above its 200-day SMA; rotates entirely to BIL when below

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1% Annual

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Leveraged ETF; T-bill ETF

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Due to its usage of technical and other indicators to be invested or divested from an ETF, this is a market timing model. A broad risk involved in market timing is that it will fail to capture upside if divested. Indicators that have performed historically may not hold predictive power in the future.

This strategy comes from a quant research paper focused on a long-run leveraged strategy to survive downturns as large as the Great Depression; There are two main parts to this strategy -- the moving averages determine when to be in the market or not, and the leverage amplifies upside/downside in either case; Of note, this strategy remained flat during the Great Recession -- while the S&P dropped over 50% and just buying and holding the leveraged S&P ETF dropped almost 99%, this strategy suffered a max drawdown of near 10% from 2008-2010

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.

Built to capitalize on broad economic growth and hedge against downturns by rotating into a 3x leveraged S&P position when the market shows signs of growth, or a short-term T-Bill position when the market shows signs of crisis.