HFEA Portfolio
Jun 25, 2009 – Sep 23, 2026, Rebalanced quarterly
| Final balance | CAGR | Max drawdown | Sharpe ratio | |
|---|---|---|---|---|
| HFEA | $321,506 | 22.29% | −70.84% | 0.84 |
| S&P 500 | $113,148 | 15.11% | −33.72% | 0.91 |
| HFEA | S&P 500 | |
|---|---|---|
| Final balance | $321,506 | $113,148 |
| CAGR | 22.29% | 15.11% |
| Max drawdown | −70.84% | −33.72% |
| Sharpe ratio | 0.84 | 0.91 |
Allocation
- UPRO3x S&P 50055%
- TMF3x long-term Treasuries45%
Loading the growth chart…
Growth of $10,000
- HFEA
- S&P 500
Metrics
| Return | HFEA | S&P 500 |
|---|---|---|
| Final balance | $321,506 | $113,148 |
| Total return | 3115.06% | 1031.48% |
| CAGR | 22.29% | 15.11% |
| Calendar years | HFEA | S&P 500 |
| Best year | 73.88% | 32.31% |
| Worst year | −64.16% | −18.18% |
| Positive years | 13 of 16 | 14 of 16 |
| Risk | HFEA | S&P 500 |
| Max drawdown | −70.84% | −33.72% |
| Longest drawdown | 4.7 years | 1.9 years |
| Volatility (annualized) | 28.99% | 17.04% |
| Risk-adjusted | HFEA | S&P 500 |
| Sharpe ratio | 0.84 | 0.91 |
| Sortino ratio | 1.18 | 1.29 |
| Calmar ratio | 0.31 | 0.45 |
| Return | HFEA | S&P 500 |
|---|---|---|
| Final balance | $321,506 | $113,148 |
| Total return | 3115.06% | 1031.48% |
| CAGR | 22.29% | 15.11% |
| Calendar years | HFEA | S&P 500 |
| Best year | 73.88% | 32.31% |
| Worst year | −64.16% | −18.18% |
| Positive years | 13 of 16 | 14 of 16 |
| Risk | HFEA | S&P 500 |
|---|---|---|
| Max drawdown | −70.84% | −33.72% |
| Longest drawdown | 4.7 years | 1.9 years |
| Volatility (annualized) | 28.99% | 17.04% |
| Risk-adjusted | HFEA | S&P 500 |
| Sharpe ratio | 0.84 | 0.91 |
| Sortino ratio | 1.18 | 1.29 |
| Calmar ratio | 0.31 | 0.45 |
Worst drawdowns
| Decline | Peak | Bottom | Recovered |
|---|---|---|---|
| −70.8% | Dec 2021 | Oct 2023 | Not yet |
| −44.2% | Mar 2020 | Mar 2020 | Jun 2020 |
| −26.7% | Jan 2018 | Dec 2018 | Mar 2019 |
| −22.4% | Feb 2015 | Sep 2015 | Apr 2016 |
| −21.4% | Sep 2020 | Oct 2020 | Dec 2020 |
Annual returns
| Year | HFEA | S&P 500 |
|---|---|---|
| 2009* | +30.21% | +22.26% |
| 2010 | +45.57% | +15.06% |
| 2011 | +59.50% | +1.89% |
| 2012 | +32.63% | +15.99% |
| 2013 | +29.55% | +32.31% |
| 2014 | +63.15% | +13.46% |
| 2015 | −5.46% | +1.23% |
| 2016 | +19.82% | +12.00% |
| 2017 | +48.31% | +21.71% |
| 2018 | −14.14% | −4.57% |
| 2019 | +73.88% | +31.22% |
| 2020 | +66.48% | +18.33% |
| 2021 | +39.33% | +28.73% |
| 2022 | −64.16% | −18.18% |
| 2023 | +28.59% | +26.18% |
| 2024 | +12.17% | +24.89% |
| 2025 | +18.04% | +17.72% |
| 2026* | +6.84% | +13.47% |
* Partial year
About the HFEA Portfolio
HFEA stands for HEDGEFUNDIE's Excellent Adventure. In February 2019, a Bogleheads forum member posting as HEDGEFUNDIE proposed holding two leveraged funds. UPRO aims for three times the S&P 500's daily return, before fees. TMF does the same for long-term Treasuries.
He started with 40% in UPRO, moved to 55% that August and rebalanced every quarter. The idea is that Treasuries often rise when stocks crash, so each fund cushions the other. In 2022 both fell at once. UPRO's prices start in June 2009, so this backtest leaves out 2008.
The HFEA Portfolio returned 22.3% a year from Jun 2009 to Sep 2026, against 15.1% for the S&P 500. Its biggest drop was 70.8%, against 33.7% for the S&P 500. That drop began in Dec 2021, and it hasn't recovered yet. It beat the S&P 500 in 11 of 16 full years.
Uses daily closing prices with dividends reinvested. Fund fees are included, but not taxes or trading costs. The backtest starts on Jun 25, 2009, the first day both funds have prices. The S&P 500 is SPY.
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