"You should NEVER hold a levered ETF unless you are day trading!!!"

We've all heard this advice, but is it really true? Let's dig in.

Sure, you shouldn't go 100% into $UPRO... you'll end up matching the S&P500, but with nearly 100% drawdowns and crazy volatility. (cont) But what if you just use a 1/3 allocation to achieve an effective 100% exposure to the S&P500, while freeing up 2/3 for other assets?

Between the vol-decay and higher fees, the drag isn't all that bad... But it would be pretty silly to do this just to hold 2/3s in cash... (cont)

Someone recently said that manage-futures/trend products without equities (KMLM for example) would not protect as well in an equity drawdown (no equity shorts) so I decided to setup a little backtest to demonstrate that this at-least historically has not been the case... I started with a simple dataset from AQR that uses 12-month lookback, rebalanced monthly, and has separate returns for long/short trend on equities, commodities, bonds, and fx.

@jagmavi @rcmAlts @BillBrewsterTBB After deep diving with every moment of free time... I came to the conclusion that I am most interested (and convicted) in a pure trend following approach, and don't want to dilute it with carry, value, or other global-macro type strategies. This is because I want to... (1/x) @jagmavi @rcmAlts @BillBrewsterTBB ... maintain a relatively small allocation (12.5% today, growing to 20-25% long-term) to damp poor equity periods, and don't care about absolute Sharpe of the CTA portion, so I want convexity. For this same reason I also want as volatile of products as possible, fee-adjusted (2/x