LETF Baseline: SSO / ZROZ / GLD
A popular 2x leveraged static portfolio: 50% SSO (2x S&P 500), 25% ZROZ (extended-duration Treasuries), 25% GLD (gold). Backtest max drawdown: -49.1%.
Strategy & methodology
A popular 2x leveraged static portfolio: 50% SSO (2x S&P 500), 25% ZROZ (extended-duration Treasuries), 25% GLD (gold).
- Strategy type:
- Fixed allocation
- Rebalance frequency:
- Quarterly
- Original publication:
- Not recorded. All results are backtest simulations.
- Data through:
- Backtest data through 2026-11-05.
Simulated history
- Full history, since 1985
- 13.6% a year, worst fall -49.1% (Mar 9, 2009)
- Since SSO launched (Jun 21, 2006)
- 13.7% a year, worst fall -49.1% (Mar 9, 2009)
Still partly simulated until Nov 2009: ZROZ is reconstructed before its own launch.
Stand-in funds and until when (2)
- ZROZ: TLT x1.4 before Nov 4, 2009
- SSO: simulated 2x SPY before Jun 21, 2006
Before these dates the backtest uses a stand-in, not the fund itself, so the results over those stretches show how the rules would have behaved, not what the fund returned.
Research data and disclosures
A popular 2x leveraged static portfolio: 50% SSO (2x S&P 500), 25% ZROZ (extended-duration Treasuries), 25% GLD (gold). Backtest max drawdown: -49.1%. This is a fixed-allocation portfolio. BestFolio supplies the public rule or approach and backtest context; current signals, allocations, and paid interactive data remain restricted to Pro access. Users review the published signal and place any resulting trades in their own brokerage. Displayed returns remain hypothetical and do not represent a customer's brokerage record. The facts above show how current the data is.
- BestFolio supplies
- The quarterly signal email and this strategy page; current signals and email alerts require Pro access.
- Customer action
- Review the published signal and place any required trades in your own brokerage. BestFolio does not execute orders.
- Costs and exclusions
- Backtests are net of a modeled one-way transaction cost (10 bps, scaled up to 3x under stress); taxes, fund-expense drift, or market impact are not modeled. No tax, no slippage beyond the stated cost. Methodology limitations
Published result: Engine drift-until-flip-v1, data version 8353cb94, published 2026-11-05
Is LETF Baseline: SSO / ZROZ / GLD still working in 2026?
LETF Baseline: SSO / ZROZ / GLD returned 6.58% over the trailing 12 months and 90.84% over 36 months through 2026-11-05, compared with a full-backtest annualized return of 13.49%. Its full-backtest maximum drawdown was -49.07%. The full sample contains 10543 daily NAV observations from 1985-01-02. These are model results, not investor account returns or a promise. As of 2026-11-05 it is -7.76% below its high-water mark of 2026-08-27, 2 months ago, and its longest run below a previous high was 4.7 years. Recent returns do not establish that the strategy will keep working.
| Period | Return | CAGR | Max drawdown | Observations | Dates |
|---|---|---|---|---|---|
| Trailing 12 months | 6.58% | Not annualized | -13.51% | 252 | 2025-11-05 to 2026-11-05 |
| Trailing 36 months | 90.84% | Not annualized | -18.30% | 754 | 2023-11-03 to 2026-11-05 |
| Full backtest | 19824.13% | 13.49% | -49.07% | 10543 | 1985-01-02 to 2026-11-05 |
Last verified
Common questions about these results
Are these live investor returns?
No. These are the latest model NAV results from the published backtest. A recent date alone does not make a result an independently observed live record. Investor costs, taxes and execution can differ.
Why can a strategy lag for a year?
A tactical model can hold defensive assets during a rally or change positions during reversals. A short window can differ substantially from its full history. Compare cumulative returns over matching dates and inspect drawdowns as well.
How long has it spent below a previous high?
Its last high-water mark was 2026-08-27, 2 months before 2026-11-05, and it is -7.76% below that level now. The longest run below a previous high in the full backtest was 4.7 years. Recovering from a drawdown can take years, and a strong trailing return does not mean a past high has been regained.
Where can I check the signals behind these results?
The Signals tab on this page lists each dated model decision for the selected variant; for Pro strategies they are visible to Pro members. The methodology page explains the backtest assumptions.
LETF Baseline: SSO / ZROZ / GLD at a glance
LETF Baseline: SSO / ZROZ / GLD is a fixed-allocation portfolio by the r/LETFs community, rebalanced quarterly. Backtested 1985-01-02 to 2026-11-05 (41.8 years): 13.6% CAGR, 0.66 Sharpe, -49.1% max drawdown, 17.6% volatility.
- Type
- Fixed Allocation
- Author
- r/LETFs community
- Rebalancing
- Quarterly
- Risk
- Aggressive
- Period
- 1985-01-02 to 2026-11-05
- CAGR
- 13.6%
- Sharpe
- 0.66
- Max Drawdown
- -49.1%
- Volatility
- 17.6%
LETF Baseline: SSO / ZROZ / GLD — Fixed Allocation Portfolio
A popular 2x leveraged static portfolio: 50% SSO (2x S&P 500), 25% ZROZ (extended-duration Treasuries), 25% GLD (gold). Leveraged history uses BestFolio's calibrated synthetic-leverage cost model, so the backtest is intentionally a few points below testfol.io. A static, quarterly-rebalanced baseline, not a tactical strategy.
LETF Baseline: SSO / ZROZ / GLD: frequently asked questions
- What is LETF Baseline: SSO / ZROZ / GLD?
- A popular 2x leveraged static portfolio: 50% SSO (2x S&P 500), 25% ZROZ (extended-duration Treasuries), 25% GLD (gold). Leveraged history uses BestFolio's calibrated synthetic-leverage cost model, so the backtest is intentionally a few points below testfol.io. A static, quarterly-rebalanced baseline, not a tactical strategy.
- Who created the LETF Baseline: SSO / ZROZ / GLD strategy?
- LETF Baseline: SSO / ZROZ / GLD was developed by the r/LETFs community.
- What is the historical return and maximum drawdown of LETF Baseline: SSO / ZROZ / GLD?
- Backtested from 1985-01-02 to 2026-11-05, LETF Baseline: SSO / ZROZ / GLD returned 13.6% CAGR with a -49.1% maximum drawdown and a Sharpe ratio of 0.66. Past performance does not guarantee future results.
- How often is LETF Baseline: SSO / ZROZ / GLD rebalanced?
- LETF Baseline: SSO / ZROZ / GLD is rebalanced quarterly. BestFolio publishes the updated allocation signal each period.
- Is LETF Baseline: SSO / ZROZ / GLD a fixed or tactical strategy?
- LETF Baseline: SSO / ZROZ / GLD is a fixed-allocation (strategic) portfolio: it holds a set allocation and rebalances on schedule rather than rotating based on market signals.
Backtest Performance (1985-01-02 to 2026-11-05)
| Metric | LETF Baseline: SSO / ZROZ / GLD |
|---|---|
| CAGR | 13.6% |
| Max Drawdown | -49.1% |
| Sharpe | 0.66 |
| Sortino | 1.01 |
| Volatility | 17.6% |
| Calmar | 0.28 |
| Total Return | 20668.8% |
| Backtest Period | 41.8 years |
Every rebalance fills at the signal-day close, net of modeled transaction costs. Followers trade at the next open; the delayed-close line in the Rebalance Frequency Sensitivity card shows the effect of trading one session later. Execution assumption
Strategy Details
- Type
- Fixed / Strategic
- Rebalancing
- quarterly
- Risk Level
- aggressive
- Variants
- 2
- Author
- r/LETFs community
Categories
Further reading
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