TuringTrader's All-Stars Leveraged

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Key Facts

  • meta-strategy
  • +33% leverage
  • re-balanced daily

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Summary

All-Stars Leveraged is a meta-strategy combining three proprietary portfolios from TuringTrader.com. We introduced the strategy in August 2020.

All-Stars Leveraged aims to deliver aggressive growth by applying +33% leverage. At the same time, the portfolio keeps risk at bay through diversifying across multiple investment styles, namely momentum, mean-reversion, and volatility targeting.

With its daily rebalancing schedule, All-Stars Leveraged has higher-than-average maintenance requirements.

Performance

The chart above shows the portfolio’s historical performance and drawdowns, compared to their benchmark, throughout the simulation. The chart below shows the portfolio’s annual returns:

This table shows the performance metrics for TuringTrader's All-Stars Leveraged:

Asset Allocation

The portfolio last required rebalancing after the exchange's close on n/a. The current asset allocation is as follows:

- Delayed Data -

Review

Strategy Rules

The operation of All-Stars Leveraged can be summarized as follows:

  • divide capital in three equal-sized tranches
  • allocate one tranche each to TuringTrader's Stocks on the Loose, Dos Equis, and Mean Kitty
  • rebalance between tranches once per month

By combining three portfolios, All-Stars Leveraged diversifies across investment styles. As a result, the meta-strategy achieves higher risk-adjusted returns than its components.

Diversification

All-Stars Leveraged uses +33% leverage, resulting in approximately 90% exposure to the U.S. stock market. The remaining exposure, summing up to 43%, is allocated toward various ETFs tracking U.S. Treasuries, gold, and VIX Futures.

All-Stars Leveraged combines momentum, mean-reversion, and volatility targeting strategies in a single portfolio. In addition to this diversification across trading styles, the meta-portfolio covers a variety of asset classes and markets. As a result, All-Stars Leveraged significantly reduces the portfolio's concentration risk while improving the ability to cope with a broad range of market conditions.

Returns & Volatility

All-Stars Leveraged handily beats the 60/40 benchmark in most years. Further, when contemplating the full economic cycle, the strategy beats the S&P 500 by a wide margin.

Overall, All-Stars Leveraged delivers impressive returns at low volatility. The Monte-Carlo simulation confirms these claims of a massive upside and a much-reduced risk over the 60/40 benchmark.

Account & Tax Considerations

All-Stars Leveraged trades frequently and regularly triggers taxable events in the Stocks on the Loose and Mean Kitty tranches. However, the 2x leveraged Dos Equis tranche trades less frequently. Investors should expect at least half of the portfolio's capital gains to be short term. The other half is often held long enough to qualify for long-term treatment of capital gains. Therefore, the portfolio works best in tax-deferred accounts.

All-Stars Leveraged makes use of 2x leveraged ETFs, as well as volatility-linked ETPs, which are considered high-risk instruments. Many brokerages require signing additional disclosures before allowing investors to use these instruments in their accounts. Because we use these products in tandem with inversely correlated assets, we believe our use of these instruments to be responsible.

To allow for proper position sizing, especially of the potentially expensive individual stock components, All-Stars Leveraged requires a minimum investment of $100,000.