HFEA Portfolio
Jun 25, 2009 – Nov 12, 2026, Rebalanced quarterly, UPRO starts Jun 25, 2009
| Final balance | CAGR | Max drawdown | Sharpe ratio | |
|---|---|---|---|---|
| HFEA | $306,887 | +21.77% | −70.84% | 0.83 |
| S&P 500 | $111,572 | +14.89% | −33.72% | 0.90 |
| Final balance | CAGR | Max drawdown | Sharpe ratio | |
|---|---|---|---|---|
| HFEA | $306,887 | +21.77% | −70.84% | 0.83 |
| S&P 500 | $111,572 | +14.89% | −33.72% | 0.90 |
| HFEA | S&P 500 | |
|---|---|---|
| Final balance | $306,887 | $111,572 |
| CAGR | +21.77% | +14.89% |
| Max drawdown | −70.84% | −33.72% |
| Sharpe ratio | 0.83 | 0.90 |
Loading the growth chart…
Growth of $10,000
Key metrics
| Return | HFEA | S&P 500 |
|---|---|---|
| Final balance | $306,887 | $111,572 |
| Total return | +2,968.87% | +1,015.72% |
| CAGR | +21.77% | +14.89% |
| 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 | 4.9 years | 1.9 years |
| Volatility (daily, annualized) | 28.99% | 17.05% |
| Risk-adjusted | HFEA | S&P 500 |
|---|---|---|
| Sharpe ratio | 0.83 | 0.90 |
| Sortino ratio | 1.16 | 1.27 |
| Calmar ratio | 0.31 | 0.44 |
Annual returns
| Year | HFEA | S&P 500 |
|---|---|---|
| 2017 | +48.31% | +21.71% |
| 2018 | −14.14% | −4.57% |
| 2019 | +73.88% | +31.22% |
| 2020 | +65.31% | +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 to Nov 12 | +2.70% | +11.89% |
Worst drawdowns
| Decline | Peak | Bottom | Recovered | Length |
|---|---|---|---|---|
| −70.8% | Dec 2021 | Oct 2023 | Not yet | 4.9 years so far |
| −44.2% | Mar 2020 | Mar 2020 | Jun 2020 | 3 months |
| −26.7% | Jan 2018 | Dec 2018 | Mar 2019 | 1.2 years |
| −22.4% | Feb 2015 | Sep 2015 | Apr 2016 | 1.2 years |
| −21.4% | Sep 2020 | Oct 2020 | Dec 2020 | 4 months |
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.
Its worst fall began in Dec 2021 and hasn't recovered yet. It beat the S&P 500 in 11 of 16 full years.
Daily closes with dividends reinvested and fund fees included, before taxes and trading costs.