Subject: Re: new screen based on Nasdaq100
quantifiededges says:
pairing two ETFs with a once-a-year rebalance, has delivered a remarkable 18% compound annual growth rate (CAGR) since 2012, with a maximum open drawdown of -28%. An anti-beta ETF (BTAL) acting as a hedge, and a 3x leveraged Nasdaq fund, specifically TQQQ, which tracks the Nasdaq-100 Index with triple leverage. A once-a-year rebalance on the first trading day of January to restore the portfolio’s target weights. That’s it—just five minutes of work annually.
67% BTAL – long position. Market neutral, short beta exposure.
33% TQQQ – long position, 3x exposure to Nasdaq.
The result does not differ that much if you re-balance quarterly or annually. The annual return is 18%, and the max drawdown is 28% per post, from late 2011 forward.
You might want to swap TQQQ with QLD (2x leverage to Nasdaq 100) it notes.
Instead of a percent of each, I tested simply alternating between SPY and TQQQ by the best 200 day return from the latter's start date 19930129, with the usual BCC for timing used in many tests her. I also tested with QLD instead of treble leverage, and this was superior.
strategyTQQQ Nasdaq100 SPY strategyQLD
cagr 18.97 11% 11.3% 18.89
gsd 38.95 27.8 17.76 27.93
mdd -69.9 -80.79 -60.29 -51.7
shrp .64 .45 .58 .74
beta 1.29 1.3 1.0 1.0
2024 58.2 6.6 13.0 42.8
2008-27.5 -43.2 -40.9 -27.5
https://gtr1.net/2013/?s199301...
https://gtr1.net/2013/?s199301...
http://gtr1.net/2013/?h21::gpr...
http://gtr1.net/2013/?h21::gpr...