The Test Bench › famous_system
Does HFEA ('Excellent Adventure', 3x leveraged) actually work?
MYTHA famous idea that does not survive an honest test.
The claim
55% 3x-stocks (UPRO) / 45% 3x-bonds (TMF) = leveraged risk parity, huge returns — Bogleheads / 'Hedgefundie'
What we did
Tested against Buy & hold SPY / honest reconstruction.
The result
Result: +23.5%/yr BUT maxDD -65%, 2008 -32%, 2022 -59%
+23.5%/yr BUT maxDD -65%, 2008 -32%, 2022 -59%
Verdict
Now stress-tested across BOTH crises, and the verdict only hardens: highest return on the board (+23.5%/yr) and an UN-SURVIVABLE -65% drawdown -- it lost -32% in 2008 and -59% in 2022, two separate wipeouts a decade apart. A leveraged strategy that hands back a generation's gains in a year. Return you cannot actually hold onto.
What the test did and did not do
- net of real costs
- tested out of sample
- point-in-time data
- checked for look-ahead
Almost nobody publishing a backtest says which of these they did. We list the ones we failed as well as the ones we passed.
Tested 2026-06-23. The same treatment, applied to every other system, is on the test bench.
Written with AI assistance from our own test database. The numbers are computed, not composed.
General market commentary for education, not personalised investment advice. Backtested results are hypothetical. Trading carries a real risk of loss.