The October batch is live: 5 new strategies, and each one decides what to hold in its own way. Two are leveraged portfolios posted on r/LETFs this month by u/Separate-Ad-9633. One is a momentum model that changes speed with the VIX. One is a five-fund rotation from a newsletter. The last is a classic from Wouter Keller and Hugo van Putten. With them, the catalog reaches 98 published strategies.
They went live a few days early, on 21 September (FAA on the 25th). The numbers below are the numbers on each strategy page, from our own production backtests, nothing adjusted.
| Strategy (primary variant) | CAGR | Sharpe | Worst drawdown | Volatility | Backtest start |
|---|---|---|---|---|---|
| VIX Adaptive Momentum (Top 1) | 12.7% | 0.80 | -32.7% | 14.9% | 1991 |
| AWEA (Standard) | 26.0% | 0.83 | -47.8% | 26.3% | 1971 |
| Chimeric Asset Allocation (Standard) | 28.9% | 0.89 | -53.1% | 29.1% | 1981 |
| Five-Asset Momentum Rotation | 13.1% | 0.79 | -32.0% | 11.1% | 1973 |
| Flexible Asset Allocation (7 assets) | 9.9% | 0.70 | -24.4% | 9.7% | 1985 |
The start dates differ, so compare the rows with care: a strategy tested from 1971 has lived through more bad years than one tested from 1991.
VIX Adaptive Momentum
Andrew Miller published this rule on Alpha Architect in 2017, and David Mesicek checked it again this year, 9 years out of sample. It is a classic cross-asset momentum rotation over 4 funds (SPY, VXF, EFA and AGG). It holds the strongest one, or T-bills when even the strongest is falling. The twist is that the VIX sets how far back it looks. When volatility is calm it uses 10 months of momentum, when it is elevated 3 months, and when it is extreme 1 month. Slow momentum goes stale in a stressed market, so the model shortens its lookback when volatility rises.
The primary variant, Top 1, backtested from 1991, shows 12.7% CAGR, a 0.80 Sharpe and a -32.7% worst drawdown. Top 2, the original study's preferred version, holds the 2 strongest funds at 50% each.
AWEA
AWEA (All Weather Experimental Adventure), posted by u/Separate-Ad-9633, was written as a post-mortem of RPEA, an earlier leveraged all-weather portfolio from the same sub that fell more than 70% in 2022. The author's diagnosis: every risk-off sleeve went into the same leveraged long-Treasury fund. A sell signal on stocks became a leveraged bet on bonds at the worst moment. AWEA keeps the leveraged all-weather book: TQQQ, MIDU, EDC, UTSL, UGL and a commodity sleeve. Each sleeve has its own trend rule, and a sleeve that switches off goes down a ladder: long Treasuries, then gold, then intermediate Treasuries, then cash.
The Standard variant, backtested from 1971, shows 26.0% CAGR, a 0.83 Sharpe and a -47.8% worst drawdown. Read that last number twice. This is a leveraged portfolio, and trend gates reduce the damage without removing it. The author's own second variant moves 10 points into 3x Europe; he measures it at about 2 points less CAGR for the same Sharpe.
Chimeric Asset Allocation
Also from u/Separate-Ad-9633, and the name is literal. It takes its structure from Keller and Keuning's Hybrid Asset Allocation and its ranking from the Vitral Advisors multi-asset momentum model. Of its 10 offensive funds, 8 are leveraged. Each month it scores 10 assets on 9 trend and momentum signals, marks down the ones that move with the crowd, and holds the top 4 at 25% each. When its TIP canary turns negative it only retreats part of the way: the best equity index and any diversifier in the top 3 stay on.
The Standard variant, backtested from 1981, shows 28.9% CAGR, a 0.89 Sharpe and a -53.1% worst drawdown: the highest return in the batch and the deepest fall. The Full Retreat variant sends the whole portfolio to defense when the canary fires, the classic Hybrid Asset Allocation rule.
Five-Asset Momentum Rotation
The simplest rule in the batch, published this year by the Paper to Profit newsletter on a 2014 momentum framework by Macijauskas and Maditinos. Every month it ranks 5 funds (VTI, AGG, VNQ, DBC and GLD) on the average of their 1, 3, 6, 9 and 12-month returns. It holds the top 3 in equal parts. There is no cash switch: rotating into bonds and gold is the only defense.
Backtested from 1973, Five-Asset Momentum Rotation shows 13.1% CAGR, a 0.79 Sharpe and a -32.0% worst drawdown, with 11.1% volatility.
Flexible Asset Allocation (FAA)
Wouter Keller and Hugo van Putten posted FAA on SSRN in December 2012, and it is still one of the cleanest ideas in tactical allocation. It ranks 7 asset-class funds on momentum, but also on volatility and on how closely each one moves with the others. It holds the top 3 and swaps any pick with a negative 4-month return for short Treasuries. Rebuilt on the paper's own funds, the published rules returned 14.6% a year over 1998 to 2012, against the 14.2% the paper reports.
The live version trades ETFs extended back with proxies. Backtested from 1985, it shows 9.9% CAGR, a 0.70 Sharpe and a -24.4% worst drawdown, the smallest fall in the batch.
Which one is for whom
The 2 leveraged portfolios are for people who can hold through a 50% fall, and the next one may be deeper. The other 3 keep the worst fall at about a third or less, for a lower return. Each strategy gets its own write-up over the next 2 weeks, starting with VIX Adaptive Momentum on Friday. All 5 are part of the Pro plan, and each page shows the full history, every variant and the current signal.
Backtests are hypothetical and include no taxes. Past returns do not predict future ones.