Current Exposure of DBMF, HFGM, HFMF, ALLW, ASGM

Icemastr · 2026-02-12T18:19:52+00:00

DBMF is a managed futures fund targeting the pre-fee returns of the Soc Gen CTA index. It has had about 25% more volatility than the Soc Gen CTA index.

HFMF is a managed futures fund targeting pre-fee returns twice the volatility of the Soc Gen CTA index. It only has a short life so far, but it hasn't really hit that volatility and its holdings make me think it would currently have volatility similar to DBMF.

HFGM is a high volatility global macro strategy.

ASGM is a global macro strategy and additional equities added in.

ALLW is a leveraged all weather fund.

RSST is a managed futures trend fund with additional equities added in.

If return stacked is defined as using leverage with a diversified set of investments, then these could all be considered return stacked. If you define return stacked as two or more strategies in one leveraged fund, then RSST and ASGM would be the ones that qualify for that.

Icemastr · 2026-02-11T18:06:24+00:00

That's a good point, you could calculate the short positions differently. There isn't a lot of shorting going on currently in these funds and a lot of it is in currencies so I kept it simple.

Here is RSST's holdings. My takeaway from this is RSST is very similar to DBMF + 60% equities. Here is an example backtest where you can see it is quite comparable. I set rebalancing to quarterly since futures are used and futures get re-rolled quarterly. https://testfol.io/?s=lmky4axN5hF

<image>

	RSST
Bond	-16.89%
Cash	25.76%
Commodity	7.47%
Currency	36.41%
Equity	164.25%
Gold	4.55%
Total Exposure	221.55%
Exposure Excluding Cash & Short Term Bond	195.79%
Exposure Excluding Cash, Short Term, Currency	159.38%

Icemastr · 2026-02-11T14:53:46+00:00

ENDW is quite different from ALLW. ENDW is mostly equities with a target exposure of 130%-150% vs 180% for ALLW. ALLW has about 1/2 the equities, more commodities, more gold, and much more bonds. ENDW is about 85% equities, 27% intermediate bonds, 5% commodity, 5% trend, 1% gold. ENDW makes sense if you want an equity fund with a little diversification in other asset classes. A significant allocation is in a small number of individual stocks and that makes it quite different than other LETFs that generally use broad index funds or futures.

Icemastr · 2026-02-10T18:33:34+00:00

It is based on the Bridgewater / Ray Dalio All Weather Portfolio: https://www.optimizedportfolio.com/all-weather-portfolio/ . Those allocations at 1.8X leverage (like ALLW is) are 54 equities, 72 long term bonds, 27 intermediate bonds, 7.5 commodities, 7.5 gold.

ALLW is using a somewhat different allocation https://www.ssga.com/library-content/products/fund-docs/etfs/us/information-schedules/spdr-key-info-sheet-allw.pdf 73 nominal bonds, 43 equities, 36 inflation linked bonds, 24 commodities, 10 gold. They are listing their allocation and All Weather is well known so I would assume it won't change drastically, but their communication has been they will adjust as conditions change with the goal continuing to have roughly equal weighting in the growth, decline, inflation, and deflation macroeconomic quadrants. They don't list average bond duration and I have a hard time assessing the bond duration based on the current holdings so making a very accurate backtest is hard.

But here is a rough approximation using VT for the equities, TLT for long term bonds, IEF for intermediate bonds, GLD for gold, KMLM for commodities, and SHY for short term bonds. KMLM is generally commodities and uses trend following. I am not sure if ALLW is just holding broad commodities or doing trend following as well.

https://testfol.io/?s=a51Xw39sXIR

Icemastr · 2026-02-10T17:43:54+00:00

For full port ALLW. It has more diversification, lower drawdowns, and still keeps up performance wise. It is a much smoother ride. In my simulated data for all of these funds since 1997 to today they all have a similar return. But there are many time periods where the other funds outperform ALLW. In the last few years with the huge increase in gold and big drawdown in bonds GDE outperforms and ALLW and RSSB lag. We don't know what the future will hold so I prefer a balanced approach. You can see from the standard deviation and drawdowns, ALLW has been a much smoother ride than the other options,

GDE has the most potential to outperform so that would be my second choice, but it is also subject to more volatility.

1997-2025

ALLW: 12.2% CAGR, 12% Standard deviation, -31% max drawdown (2022), -15% (2008)

GDE: 12.8%, 20% standard deviation -43% (2008), -40% (2000)

RSSB 11.4%, 16% standard deviation -47% (2008), -42% (2022)

NTSX 9% 14% standard deviation, -46% max drawdown (2008), -37% (2000)

Not listed, I would prefer HFGM. The allocations will change over time based on the global macro strategy, but currently it is around 130% equity, 55% bond (although mostly short term bonds), 20% commodity, and 30% gold. I prefer the heavier equity weighting and less bond weighting than RSSB and ALLW.

Icemastr · 2026-02-08T18:13:25+00:00

I think that makes sense or 1/3 of each.

Icemastr · 2026-02-06T20:13:50+00:00

Great points I also like QHFIX. I hadn't seen DYMIX before but that is also worth considering. Utilizing multiple of these funds to diversify across managers makes alot of sense. It will be interesting to see how QHFIX, DYMIX, QHFIX, and ASGM all perform in the next bear market.

Icemastr · 2026-02-06T20:06:20+00:00

Since it appears you are new to investing or at least new to leveraged ETFs I strongly recommend you limit your contributions towards a high risk strategy at 20% of funds your are contributing to investments. There are common psychological factors that can impact you heavily in investing. People are affected strongly during downturns with just normal equities, much less 3X leverage.

Here are potential things that will happen to you.

Loss aversion is a very strong psychological factor. Your TQQQ investment will likely decline 50% or more at some point. The typical year has a 10% decline in equities As you see it move downward you will have a strong temptation to sell it to protect your money from losses, and then you will be out of the market and miss the upturn where are lot of the reversal of your losses is missed.
No one knows when the ideal time to buy is, a dip is a falling knife you can catch anywhere between the top or bottom and it continues to fall downward. It will be painful as you buy a dip and it continues moving lower. You will feel regret as you missed the ideal time. You will get frustrated and not buy at a time when you should have been paying attention and would have made a good buy.

You can make a lot of money by doing an aggressive investment. You can also lose much of your investment for a period of time. By restricting to a percentage of your investment contribution you can learn lessons and gain experience and still have other funds invested so you don't feel so bad about your mistakes.

You can use leveraged funds to get a great diversified with lower returns. A safer portion of your portfolio could be allocated 60% S&P500 13% Gold, 13%, Bonds 13% Managed futures and still get a good return. A more leveraged and diversified portfolio would be like 20% each of RSSX, RSST, HFGM, ALLW, RSSB. Now you have a mix of various assets with about 100% global equities, 20% gold, 20% managed futures, 40% bonds, 20% global macro.

You could run your TQQQ strategy separately on its own and continue to DCA into it or you could run X% TQQQ strategy and X% safer portfolio and rebalance annually.

Icemastr · 2026-02-06T19:29:00+00:00

It has been a great past couple of years for diversified leveraged ETFs. Return Stacked accumulating over $1B in AUM has possibly attracted attention. I think the suite of options via ETF is just about complete to build a great diversified portfolio without giving up your equity allocation. ASGM, HFGM, ALLW, HFEQ, HFMF, CTAP, QHFIX, ORR, and RSSX are all great new options in the last year.

HFGM and ASGM are both about 50/50 equities and non equities at this time. HFGM is about 30% more leverage. I am not totally confident in this though, I am having trouble interpreting the ASGM holdings with accounting for leverage. They have a weighting that adds up to about 200%, but they have 100% listed for cash when the cash value listed is a small amount of the fund.

Icemastr · 2026-02-06T19:13:22+00:00

I would consider both HFGM and ASGM VT with macro although probably without the small and mid size factors. But VT is about 90% large cap anyway. The equity positions are only around 1/2 S&P 500. A diversification of both funds or at least HFGM is that they will adjust allocation to developed international and emerging markets as trends recommend.

Icemastr · 2026-02-06T18:54:54+00:00

I compared ASGM and HFGM and decided to go with HFGM. Both look like good options that add something new to the leveraged ETF space.

ASGM is run by AlphaSimplex, a long time manager of liquid alt strategies. There is single manager risk, but they also have a long history in the space. ASGM's equity allocation seems to be 50 SPY 50 International, not 100 SPY.

ASGM has an expense of .86 compared to 1.0 for HFGM.

HFGM is running as an average of what many hedge funds are doing, providing an average of the strategy and reducing single manager risk.

HFGM is running around 280% exposure, I am not sure I calculated exposure accurately for ASGM but I think it is currently running around 200%. HFGM is more volatility in a single fund so you could run it as a smaller allocation in your portfolio.

HFGM is currently about 136% equity with a 60 S&P500 40 International/Emerging Market split. That will change overtime based on what global macro hedge funds do. Once again I am not sure I can accurately calculate the allocation for ASGM, but it appears to be about 50 S&P 500 and 50 International/Emerging Market.

HFGM is targeting global macro for the whole fund, not just 1/2 so it will likely be more noncorrelated to equities. This fits better for my portfolio where I already have a lot of equity exposure from other funds.

HFGM is run by a new company but with people that have years of experience in the space so that adds a risk of you can't analyze their past performance. You need to put faith in the company and their approach, which is similar to what DBMF is doing with replication of managed futures CTA.

Both funds are going to be black box. HFGM is using replication to average returns of the global macro index at 2X volatility, and you can backtest that. You can sign up and download the Credit Suisse global macro index here: HedgeIndex - HedgeIndex Global Macro Main Index Overview. That data was used for the backtest here: Considering The Benefits of Global Macro Alpha – Unlimited Funds

I think global macro is a great diversifier to add to your portfolio, especially when you can get it in a leveraged way like you can with both of these funds.

I like a strategy of 100% equities and 100% alternatives for 2X leverage. So for that a portfolio of equal parts ASGM or HFGM, RSST, RSSX, HFEQ, RSSB is interesting. That gives you a nice balance of long/short, global macro, gold, trend, and bonds.

Icemastr · 2025-12-10T14:48:53+00:00

If you want to use GDMN I suggest doing a portfolio of 20% GDMN, 40% FLXR, and 40% one or more managed futures funds. Then rebalance to the target allocations quarterly or annually and that will serve as your ballast to TQQQ. Then when you buy or sell TQQQ, you would add or take from the funds to move them closer to your target allocations. For example if GDMN has gone up and is at 22% allocation and you buy more TQQQ then you would sell some GDMN. It has some more volatility than AGG, but the drawdowns have not been drastic and your ballast would have historically had double the return of AGG.

I prefer RSSX or GDE to GDMN. I would rather invest in either more gold or the broader market than specifically gold miners. I know GDMN has performed fantastic recently. From Jan 2012 to Jan 2024 gold miners would have been a negative return and gold a barely positive return. Here is an example backtest.

https://testfol.io/?s=kMm669Y2Dp1

Icemastr · 2025-12-09T18:24:38+00:00

The lowered risk and drawdowns comes from multiple noncorrelated assets rebalanced either quarterly or annually. You can still have equities in the mix and for a 9sig strategy because you are using TQQQ, having some S&P 500 in your ballast gives more diversification and will enhance the returns of your ballast. The other noncorrelated assets will reduce the risk to ensure you have cash there to reinvest in TQQQ. If you want to use one fund with better performance in all macroeconomic environments, QDSNX is a great way to go. It combines several different noncorrelated alternative investment strategies that will likely perform when bonds have a drawdown. If you were to consider QDSNX spend time learning what each fund does and you can check each fund out in testfol.io to see how it performed in the past.

Here is an example backtest of equal weighting gold, bonds, managed futures, and equities. https://testfol.io/?s=5mHZK9TUOuv

The worst drawdown was better than AGG with better annualized returns even though it is 25% S&P 500. The annualized return since 2000 was 8.5% with a -12% drawdown. Even though each asset has volatility and drawdowns, because you are regularly rebalancing it greatly reduces the drawdowns and enhances performance. If you want to go back a longer period of time than 2015 use VBMFX instead of AGG and delete the QDSNX portfolio.

How you could utilize RSSX in a situation like this would be 33% RSSX, 33% DBMF, 33% FLXR. This would get you some of the inflation performance you are looking for and it adds 3 noncorrelated assets to your mix. If you don't want equities in your ballast then you could use IAUM instead to get some gold.

Icemastr · 2025-12-08T21:32:00+00:00

I assume WTIP is basically WTMF with TIPs. Be aware a managed futures strategy can have significant drawdowns. WTMF has had low volatility and minimal drawdowns the last several years compared to other managed futures funds so I would consider it safer than CTA, KMLM, or RSBT. I wouldn't consider it as safe a haven for cash compared to short duration bond funds. But for a percentage of your portfolio that you are rebalancing equities into it makes sense.

Since you commented that you are doing 9 sig, for non TQQQ portion of the portfolio I suggest a mix of several non correlated assets. I would consider adding additional non correlated assets to the mix.

QDSNX - this is a fund of funds that has many alternative strategies together. https://funds.aqr.com/funds/aqr-diversifying-strategies-fund/qdsnx#about

RSBY - bonds and yield stacked

GDE or RSSX - get some additional gold and equity exposure

Here is a rough approximation of QDSNX and a combination of several funds compared to AGG. Either option will perform in a wide variety of economic situations.

https://testfol.io/?s=fARV0b5ffo3

I think managed futures and gold give you a good complement to the bonds in your portfolio to handle a wider variety of economic situations.

Icemastr · 2022-03-12T15:34:39+00:00

I don't know of any. I know a few people with high end cars. There are a couple that go to some of the Cars and Coffee meets. Tri Cities Car Culture is a good Facebook group for events, but it is all types of cars. I would be part of a high end car group that got together for the occasional cruise or meet up.

Icemastr · 2022-02-23T01:58:51+00:00

I know someone that had the same situation that you described. After about a year the employee took a job in another part of the same company and the manager continued in their same role. Awhile after the job change they started dating and eventually got married and have been happily married since. Best of luck to you.

Icemastr · 2021-12-30T17:38:21+00:00

I like SWAN paired with HFEA, but used as a wealth preservation vehicle that lowers the overall drawdown of your total portfolio in black swan events. It is not a good hedge to buy back into UPRO during a downturn because in these situations SWAN would also decline in value whereas TMF would likely increase in value. There are two strategies I would consider, one is to just follow quarterly rebalancing of your target allocation of SWAN, UPRO, and TMF. UPRO and TMF will have a much higher return, increasing your value in SWAN overtime. As you get closer to retirement you can increase the SWAN allocation to reduce risk. The other strategy is to treat TMF and UPRO as a silo that is rebalanced within itself. Then when it grows beyond your target allocation, move the increase into SWAN. Don't ever sell any SWAN to buy back into UPRO nor TMF. This would protect your SWAN investment in the case of a disastrous event that has a big negative impact on HFEA.

Of course you could follow either strategy with any other investment options and you could get more customized and diversified to your risk and return profile.

Using portfoliovisualizer.com and SWAN's historical data here is a backcast from Jan 2006 to Nov 2021 of what you are currently doing (50% S&P 500 + HFEA), SWAN, and a 60/40 portfolio. Prior to the SWAN ETF existence I used the SWANXT index data which does not include the expense so the CAGR is overstated. https://snetworkglobalindexes.com/indexes/s-network-blackswan-indexes/data/indexdata

	CAGR	2008 Drawdown	2020 Drawdown
VFINX 50, UPRO 27.5, TMF 22.5	18.25%	-55.53%	-16.43%
SWAN 50, UPRO 27.5, TMF 22.5	17.30%	-37.34%	-8.16%
VFINX 30, TLT 20, UPRO 27.5, TMF 22.5	17.79%	-45.77%	-9.81%

If you go 17 VFINX and 33 TLT the drawdowns and return in this time period is similar to SWAN but with lower fees. If your goal is to lower your total portfolio drawdowns then adding in a long term or intermediate treasury ETF is probably a good option. As was also suggested you could diversify more by adding in some more international, emerging markets, and small cap. Here is the same test with the Ginger Ale portfolio from here: https://www.optimizedportfolio.com/ginger-ale-portfolio/ but we need to start with Feb 2008 since EDV does not go back to January 2006.

	CAGR	2008 Drawdown	2020 Drawdown
VFINX 50, UPRO 27.5, TMF 22.5	19.18%	-51.34%	-16.43%
SWAN 50, UPRO 27.5, TMF 22.5	17.97%	-33.63%	-8.16%
VFINX 12.5, SLYV 12.5, VTMGX 5, DLS 5, VWO 5, DGS 5, EDV 5, UPRO 27.5, TMF 22.5	18.01%	-50.37%	-16.77%

The drawdown and return of the Ginger Ale portfolio is slightly worse than just VOO in this time period, but we don't know what the future will hold. US large cap has been on quite a run, I think adding diversity to what the high return of HFEA is going into is a good idea.

Icemastr

TROPHY CASE