Anyone got a portfolio that beats SPY on BOTH CAGR AND Max DD? Here's my best shot.
TL;DR: Convince me there's something better. CAGR > SPY's 11.48%, Max DD < SPY's -55.14%, Sharpe > 0.78. Holding period 30 years. What do you got?
I've been backtesting capital-efficient stacks for the last few weeks. Best 4 candidates I found, vs the obvious benchmarks (SPY, SSO/UPRO buy-hold, Gayed LRS, popular 50/25/25 SSO/GLD/ZROZ). All on testfol.io, common start 1987-12-31 → 2026-04-30, annual rebal, dividends reinvested, full SIM proxies for newer ETFs.
My question to the sub: anyone running something that beats my top 4 on both axes (higher CAGR AND lower Max DD than SPY)? I'd love to be proven wrong.
The 9 portfolios
| # | name | weights |
|---|---|---|
| 1 | Aggressive (B2) | 30% NTSX + 30% GDE + 30% RSST + 10% TMF |
| 2 | Balanced (T1) | 20% NTSX + 35% GDE + 25% RSST + 20% TMF |
| 3 | Conservative (B4) | 25% NTSX + 25% GDE + 25% RSST + 25% ZROZ |
| 4 | Sleeping pills (L1 CEGB) | 40% NTSX + 25% GDE + 17.5% KMLM + 17.5% TLT |
| 5 | Popular 50/25/25 | 50% SSO + 25% GLD + 25% ZROZ |
| 6 | SPY 1× | 100% SPY |
| 7 | SSO 2× buy-hold | 100% SSO |
| 8 | UPRO 3× buy-hold | 100% UPRO |
| 9 | Gayed LRS 2× / 3× | SPY > 200d SMA → SSO/UPRO else IEF |
Results (testfol.io, ~38y window, sorted by Sharpe)
| portfolio | CAGR | Max DD | Sharpe | $10k → today |
|---|---|---|---|---|
| 🟢 Conservative (B4 ZROZ) | 13.96% | -28.65% | 0.798 ⭐ | $1.50M |
| 🔵 Sleeping pills (L1 CEGB) | 11.56% | -22.27% | 0.782 | $662k |
| ⚪ Bogleheads 67% NTSX | 11.55% | -22.48% | 0.778 | $660k |
| 🔴 Aggressive (B2) | 14.61% | -36.21% | 0.772 | $1.86M |
| 🟠 Balanced (T1) | 14.19% | -30.66% | 0.744 | $1.62M |
| Popular 50/25/25 SSO/GLD/ZROZ | 13.47% | -39.84% | 0.637 | $1.27M |
| Gayed LRS 2× (SSO 200d) | 15.62% | -43.49% | 0.595 | $2.60M |
| Gayed LRS 3× (UPRO 200d) | 18.77% | -57.59% | 0.575 | $7.30M |
| SPY 1× buy-hold | 11.48% | -55.14% | 0.528 | $643k |
| SSO 2× buy-hold | 14.59% | -88.67% | 0.476 | $5.95M ‡ |
| UPRO 3× buy-hold | 14.92% | -98.29% | 0.475 | $6.49M ‡ |
‡ SSO/UPRO buy-hold show high terminal but −88% / −98% drawdowns make this unholdable in practice — anyone who held UPRO 1×→0.017× through 2008 either had iron stomach or sold out. The Sharpe captures this brutally (0.47).
What this looks like
Equity curves ($10k start, log scale):
Drawdowns (the part that hurts):
CAGR vs Max DD (upper-right = beats SPY on both):
The question
I'm seeing 4 portfolios in the upper-right quadrant of the scatter (CAGR > SPY AND |MaxDD| < SPY). All static, all annual rebal, no signals.
Anyone hold something not on this list that lands in that quadrant?
I'm specifically curious about:
- Different MF blends (CTA? simplify managed futures combos?)
- Different duration handling (DBLTX? VGLT? TLTW with covered calls?)
- Modified risk-parity weights (different from CEGB)
- Capital-efficient ETFs I haven't considered (RSBT? RSSB? NTSI?)
Also genuinely curious if anyone has UPRO LRS variants with a smarter signal than 200d SMA that crosses the upper-right quadrant. I tested Gayed canonical and it lands in lower-right (better CAGR, worse MDD).
Replicate on testfol.io
Posted May 1, 2026, 3:41 AM UTC