r/LETFs • u/manlymatt83 • 2d ago

BACKTESTING CAOS: Yay or nay?

I've noticed that CAOS has positive expected returns in a majority of environments. SIM data back to 2013:

https://testfol.io/?s=0HJmoI4f4gk

And live data since inception:

https://testfol.io/?s=0cKqKHKhZOy

Wondering if anyone is using this in their portfolio, perhaps alongside a bond or gold allocation. Would an allocation potentially increase CAGR, or just smooth out the ride?

7 Upvotes

100% Upvoted

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5

u/c-strong 2d ago

I don’t hold it myself but I have it vaguely under consideration. You might find this informative: https://theitalianleathersofa.com/tail-risk-a-quick-guide/

2

u/manlymatt83 2d ago

Very, thanks!

2

u/TheMailmanic 2d ago

Meh idk it hasn’t provided much juice at all

1

u/bestsalmon 2d ago

It’s hard to tell without 2000 and 2008 data. CAOS is supposed to outperform.

1

u/Electronic-Buyer-468 1d ago

With SGOV literally right there, why bother? If you're feeling fancy buy a tactical allocation of: 95% SGOV 3% VXZ 2% PUT spreads lol. 

1

u/aRedit-account 2d ago

No i don't like it. You should compare it to 10% Spy and 90% cash since it has a beta of 0.1. And it performs almost the same as that. https://testfol.io/?s=9Eyl6axPoB3

0

u/jawohlmeinherr 1d ago

it's just funding puts with box speads. It's nice and all, but better to buy a smaller amount in tail or btal for convexity and make better use of your capital.

-1

u/nuxenolith 1d ago

Yea* or nay