Leveraged S&P 500 Timing (3x)
3x daily-leveraged S&P 500 while above its 10-month SMA.
Educational only. Leveraged ETFs reset daily; a month-end trend filter cannot react to sudden crashes, and volatility decay erodes returns in sideways markets. Real products also carry tracking error and borrowing costs above T-bills.
Holding now
Signal from Aug 2026 close- SPY-3X100%
- SPY-3XS&P 500 3x (synthetic)100.0%
Trailing returns
Through Sep 25, 2026 · 3Y+ annualised1M
+1.6%
YTD
+2.5%
1Y
+7.2%
3Y
+31.0%
5Y
+7.6%
10Y
+18.5%
Growth of $100
Backtest from Nov 1, 1995 to Sep 25, 2026 (30.8 years)
Growth of $100, rebased to the start of the selected range. Month-end prices, dividends reinvested, no taxes or trading costs.
Risk & return, full backtest
CAGR
+16.2%
Volatility
43.5%
Max drawdown
-89.4%
Sharpe
0.54
Sortino
0.75
Calmar
0.18
Best year
+121.5%
Worst year
-56.5%
Drawdowns
Percent below the prior peak, vs the S&P 500
Calendar-year returns
Faded bars are partial years · 62% of months positive
Strategy Lab
Stress-test the implementation: trade on the signal day's close or later, split the portfolio into tranches that rebalance on different days (reduces timing luck), or swap a fund for a same-asset-class alternative.
The idea
Holds a synthetic 3x daily-reset S&P 500 (financed at the T-bill rate, 0.91% fee) while the S&P 500 is above its 10-month SMA, T-bills otherwise. It shows why this popular idea disappoints: the filter reacts at month-end while 3x leverage compounds daily losses, so fast crashes (Feb–Mar 2020, 1987-style gaps) do their damage before the signal flips, and choppy sideways markets bleed through volatility decay and whipsaws.
The rules
- 1Signal: S&P 500 month-end price vs its 10-month SMA.
- 2Above → 100% synthetic 3x S&P 500. Below → 100% T-bills.
Funds used
- SPY-3X S&P 500 3x (synthetic)
Early history uses proxy funds: SHY.
Recent allocations
Decided at each month-end, held the following month
- Aug 2026
- Jul 2026
- Jun 2026
- May 2026
- Apr 2026
- Mar 2026
- Feb 2026
- Jan 2026
- Dec 2025
- Nov 2025
- Oct 2025
- Sep 2025