Post #3014 by Baltassar on the Mechanical Investing board

Investment Strategies / Mechanical Investing

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GTR1 allows the backtesting of synthetic leveraged indexes -- for instance {!S5TL2} which is 200% leverage on the S&P {!S5T}. Today I noticed that the results using such (highly useful!) tickers do not match those from a couple of months ago, given identical backtest terms and periods. In all cases that I have tried the CAGRs have been appreciably (200-300 basis points) lower than those originally obtained. I can detect no such trouble with synthetic tickers that don't apply leverage.

I was wondering if others have noticed anything similar.

Baltassar

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