The Russell XXL
This strategy is a more aggressive version of The Russell, not only when Smart Leverage kicks in it goes to 3X leveraged equities to take advantage after of market conditions, but also when out of equities, The Russell XX L goes to 3X long duration treasuries the first month out of equities, and into extended duration treasuries in subsequent months while out of equities. To recap, The Russell XXL invests in the best performer of either the Russell 1000 (IWB), Russell MidCap Growth (IWP), or the Russell 2000 (IWM) when the Russell 1000 has upward momentum. When the Russell 1000 does not have upward momentum it invests into 3X long duration treasuries (TMF) for the first month, and any subsequent months out of equities it invests into extended duration treasuries (EDV).
The Russell XXL uses 3X Smart Leverage after the Total US Market experiences a greater than average drawdown, The Russell XXL systematically goes into 3X leveraged version of the US Market if the Total US Market has a higher relative momentum than Total International after the drawdown. The results are impressive, neither the Ulcer Index nor the maximum drawdown are increased much, however, the annualized return is significantly returned.
This strategy is suitable for Big Fish investors with allocations up to $2.5 million.
See the reporting decks for more detailed investment performance and metric information.
The original inception date for The Russell XXL is March 2021, When this strategy was conceived, I had monthly return data from 1996 through 2020, this was the In Sample time for the strategy, which means that I had results for that period and could see how the strategy performed during that period of time. I have subsequently got data back to 1980 for this strategy, from 1980 through 1996, and the time from March 2021 through current are Out of Sample periods of time, meaning the strategy never saw those returns, the strategy had already been finalized.