Levered Seasons

Portfolio Specification

Assets

ProShares UltraPro S&P 500 ETF 3x Shares (UPRO)	15.00%
Direxion Dialy Small Cap Bull 3X Shares (TNA)	15.00%
Direxion Daily 20+ Year Treasury Bull 3X Shares (TMF)	15.00%
Vanguard Intermediate-Term Treasury ETF (VGIT)	35.00%
Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF (PDBC)	10.00%
SPDR Gold MiniShares Trust (GLDM)	10.00%

Policy

Rebalancing Interval	Quarterly
Weights Algorithm	Constant Weights

Benchmark

SPDR S&P 500 ETF Trust (SPY)

This portfolio is listed on the Community Portfolios page.

Portfolio Description

The Levered Seasons Portfolio is based on the construction shown over at Risk Parity Chronicles as part of their suite of test portfolios. It is intended to reflect a levered version of a more traditional “all-weather” or “all-seasons” portfolio.

While only 30% of the portfolio is invested inequity, the small- and large-cap asset classes seem to be contributing well over 80% of the risk in the portfolio. Therefore, this strategy may be best for someone still in their accumulation stage.

Policy Report

Backtest Report

From 2018-06-27 to 2025-11-18 (7y 4m 22d)

Returns (annualized)

Portfolio	9.74%
Benchmark	14.54%

Risk (annualized)

Portfolio	20.51%
Benchmark	19.73%

Sharpe (annualized)

Portfolio	0.43
Benchmark	0.66

Excess Return (annualized)

-4.81%

Tracking Error (annualized)

14.51%

Information Ratio

-0.33

Statistic	Portfolio	Benchmark
Downside Volatility	21.74%	20.99%
Sortino Ratio	0.41	0.62
Calmar Ratio	0.20	0.38
Ulcer Index	13.59	15.08
Max Drawdown	43.68%	33.70%
VaR (99% Confidence)	$-4,770	$-4,589
VaR (99.9% Confidence)	$-6,337	$-6,096
Beta to Benchmark	0.77	N/A

Value at Risk (VaR) is calculated off a $10,000 portfolio value.

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

4.63

Skew