LETF Baseline: UPRO / ZROZ / GLD / KMLM
View this strategy's rules and backtest. Backtest max drawdown: -55.7%.
Extreme risk: a deep or long fall
This leveraged strategy's worst historical drawdown is about -56%, more than half its value. Under our leverage rule, a leveraged version with a fall deeper than 50% or a recovery longer than 5 years is listed only with this warning. Nothing here is investment advice or a recommendation to buy. Do not allocate capital you could not leave untouched through a fall like this.
That fall came on Mar 9, 2009, a simulated 3x. Since UPRO launched (Jun 25, 2009), the worst fall was -33%. This warning uses the full history.
This warning is about holding it on its own. Inside some diversified BestFolio portfolios a strategy like this appears only as a small, capped sleeve, where its risk is bounded and offset by holdings that behave differently.
For lower-risk, diversified strategies, browse the full catalog.
Strategy & methodology
A popular 3x leveraged static portfolio with a managed-futures sleeve: 40% UPRO (3x S&P 500), 20% ZROZ (extended-duration Treasuries), 20% GLD (gold), 20% KMLM (managed futures).
- 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
- 15.2% a year, worst fall -55.7% (Mar 9, 2009, a simulated 3x)
- Since UPRO launched (Jun 25, 2009)
- 19.4% a year, worst fall -33.1% (Oct 14, 2022)
Still partly simulated until Dec 2020: KMLM and ZROZ are reconstructed before their own launch.
Stand-in funds and until when (3)
- KMLM: DBMF before Dec 2, 2020
- ZROZ: TLT x1.4 before Nov 4, 2009
- UPRO: simulated 3x SPY before Jun 25, 2009
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
View this strategy's rules and backtest. Backtest max drawdown: -55.7%. 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 e7b33d44, published 2026-11-05
Is LETF Baseline: UPRO / ZROZ / GLD / KMLM still working in 2026?
LETF Baseline: UPRO / ZROZ / GLD / KMLM returned 10.76% over the trailing 12 months and 94.47% over 36 months through 2026-11-05, compared with a full-backtest annualized return of 15.03%. Its full-backtest maximum drawdown was -55.71%. 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 -8.62% below its high-water mark of 2026-08-27, 2 months ago, and its longest run below a previous high was 5.6 years. Recent returns do not establish that the strategy will keep working.
| Period | Return | CAGR | Max drawdown | Observations | Dates |
|---|---|---|---|---|---|
| Trailing 12 months | 10.76% | Not annualized | -13.16% | 252 | 2025-11-05 to 2026-11-05 |
| Trailing 36 months | 94.47% | Not annualized | -22.41% | 754 | 2023-11-03 to 2026-11-05 |
| Full backtest | 34974.59% | 15.03% | -55.71% | 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 -8.62% below that level now. The longest run below a previous high in the full backtest was 5.6 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: UPRO / ZROZ / GLD / KMLM at a glance
LETF Baseline: UPRO / ZROZ / GLD / KMLM is a fixed-allocation portfolio by the r/LETFs community, rebalanced quarterly. Backtested 1985-01-02 to 2026-11-05 (41.8 years): 15.2% CAGR, 0.66 Sharpe, -55.7% max drawdown, 20.1% volatility.
- Type
- Fixed Allocation
- Author
- r/LETFs community
- Rebalancing
- Quarterly
- Risk
- Aggressive
- Period
- 1985-01-02 to 2026-11-05
- CAGR
- 15.2%
- Sharpe
- 0.66
- Max Drawdown
- -55.7%
- Volatility
- 20.1%
LETF Baseline: UPRO / ZROZ / GLD / KMLM — Fixed Allocation Portfolio
A popular 3x leveraged static portfolio with a managed-futures sleeve: 40% UPRO (3x S&P 500), 20% ZROZ (extended-duration Treasuries), 20% GLD (gold), 20% KMLM (managed futures). 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: UPRO / ZROZ / GLD / KMLM: frequently asked questions
- What is LETF Baseline: UPRO / ZROZ / GLD / KMLM?
- A popular 3x leveraged static portfolio with a managed-futures sleeve: 40% UPRO (3x S&P 500), 20% ZROZ (extended-duration Treasuries), 20% GLD (gold), 20% KMLM (managed futures). 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: UPRO / ZROZ / GLD / KMLM strategy?
- LETF Baseline: UPRO / ZROZ / GLD / KMLM was developed by the r/LETFs community.
- What is the historical return and maximum drawdown of LETF Baseline: UPRO / ZROZ / GLD / KMLM?
- Backtested from 1985-01-02 to 2026-11-05, LETF Baseline: UPRO / ZROZ / GLD / KMLM returned 15.2% CAGR with a -55.7% maximum drawdown and a Sharpe ratio of 0.66. Past performance does not guarantee future results.
- How often is LETF Baseline: UPRO / ZROZ / GLD / KMLM rebalanced?
- LETF Baseline: UPRO / ZROZ / GLD / KMLM is rebalanced quarterly. BestFolio publishes the updated allocation signal each period.
- Is LETF Baseline: UPRO / ZROZ / GLD / KMLM a fixed or tactical strategy?
- LETF Baseline: UPRO / ZROZ / GLD / KMLM 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: UPRO / ZROZ / GLD / KMLM |
|---|---|
| CAGR | 15.2% |
| Max Drawdown | -55.7% |
| Sharpe | 0.66 |
| Sortino | 1.03 |
| Volatility | 20.1% |
| Calmar | 0.27 |
| Total Return | 36873.7% |
| 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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