{"schema":1,"slug":"volatility-capped-leverage","name":"Volatility-capped leverage","group":"2x-shelf","risk":"very-high","summary":"Hold an equal mix of eight 2x single-stock funds, shrunk toward cash when the mix's recent swings pass a cap. Hindsight: these eight stocks are today's large winners, picked in 2026. Back-test results are flattered; most of the history is simulated.","hypothetical":true,"label":"Hypothetical. Back-tests and paper records are simulations for education: they are not live results, not investment advice and not a promise of future returns. Daily closes only; paper marks are taken after the close.","asOf":"2026-11-03","builtFrom":{"engine":"pipeline/modelhub/engine.py spec 1.15","scorecard":"pipeline/scorecard.py","rules":"data/strategies/rules.json","rulesVersion":"1","rulesSha":"ba68a51606b72a66","prices":"Tiingo daily closes, ETFIQ total-return index (pipeline/scorecard.load)"},"citation":{"authors":"Moreira, A. and Muir, T.","year":2017,"title":"Volatility-Managed Portfolios","venue":"Journal of Finance 72(4), 1611-1644","url":"https://doi.org/10.1111/jofi.12513"},"benchmark":{"ticker":"SPY","name":"SPDR S&P 500 ETF Trust","from":"1993-01-29","link":"/funds/spy/"},"universe":[{"ticker":"AAPU","name":"Direxion Daily AAPL Bull 2X ETF","class":"single-stock-2x","role":"2x Apple","signal":"AAPL","firstClose":null,"launch":"2022-08-09","simulatedUntil":"2022-08-09","halfSpreadBps":20.0,"spreadSource":"default for single-stock-2x (no spread on file)","premium":{"medianPct":0.0423,"p95Pct":0.1508,"note":"a premium or discount is already inside the close price the returns are built from; reported, not charged again"},"link":"/funds/aapu/"},{"ticker":"AMZU","name":"Direxion Daily AMZN Bull 2X ETF","class":"single-stock-2x","role":"2x Amazon","signal":"AMZN","firstClose":null,"launch":"2022-09-07","simulatedUntil":"2022-09-07","halfSpreadBps":20.0,"spreadSource":"default for single-stock-2x (no spread on file)","premium":{"medianPct":0.0569,"p95Pct":0.1473,"note":"a premium or discount is already inside the close price the returns are built from; reported, not charged again"},"link":"/funds/amzu/"},{"ticker":"GGLL","name":"Direxion Daily GOOGL Bull 2X ETF","class":"single-stock-2x","role":"2x Alphabet","signal":"GOOGL","firstClose":null,"launch":"2022-09-07","simulatedUntil":"2022-09-07","halfSpreadBps":20.0,"spreadSource":"default for single-stock-2x (no spread on file)","premium":{"medianPct":0.0672,"p95Pct":0.1082,"note":"a premium or discount is already inside the close price the returns are built from; reported, not charged again"},"link":"/funds/ggll/"},{"ticker":"MSFU","name":"Direxion Daily MSFT Bull 2X ETF","class":"single-stock-2x","role":"2x Microsoft","signal":"MSFT","firstClose":null,"launch":"2022-09-07","simulatedUntil":"2022-09-07","halfSpreadBps":20.0,"spreadSource":"default for single-stock-2x (no spread on file)","premium":{"medianPct":0.0476,"p95Pct":0.1273,"note":"a premium or discount is already inside the close price the returns are built from; reported, not charged again"},"link":"/funds/msfu/"},{"ticker":"FBL","name":"GraniteShares 2x Long META Daily ETF","class":"single-stock-2x","role":"2x Meta","signal":"META","firstClose":null,"launch":"2022-12-13","simulatedUntil":"2022-12-13","halfSpreadBps":20.0,"spreadSource":"default for single-stock-2x (no spread on file)","premium":{"medianPct":0.0582,"p95Pct":0.3005,"note":"a premium or discount is already inside the close price the returns are built from; reported, not charged again"},"link":"/funds/fbl/"},{"ticker":"NVDL","name":"GraniteShares 2x Long NVDA Daily ETF","class":"single-stock-2x","role":"2x Nvidia","signal":"NVDA","firstClose":null,"launch":"2022-12-13","simulatedUntil":"2022-12-13","halfSpreadBps":20.0,"spreadSource":"default for single-stock-2x (no spread on file)","premium":{"medianPct":0.057,"p95Pct":0.1833,"note":"a premium or discount is already inside the close price the returns are built from; reported, not charged again"},"link":"/funds/nvdl/"},{"ticker":"TSLL","name":"Direxion Daily TSLA Bull 2X ETF","class":"single-stock-2x","role":"2x Tesla","signal":"TSLA","firstClose":null,"launch":"2022-08-09","simulatedUntil":"2022-08-09","halfSpreadBps":20.0,"spreadSource":"default for single-stock-2x (no spread on file)","premium":{"medianPct":0.0894,"p95Pct":0.1787,"note":"a premium or discount is already inside the close price the returns are built from; reported, not charged again"},"link":"/funds/tsll/"},{"ticker":"AVL","name":"Direxion Daily AVGO Bull 2X ETF","class":"single-stock-2x","role":"2x Broadcom","signal":"AVGO","firstClose":null,"launch":"2024-10-10","simulatedUntil":"2024-10-10","halfSpreadBps":20.0,"spreadSource":"default for single-stock-2x (no spread on file)","premium":{"medianPct":0.0975,"p95Pct":0.2203,"note":"a premium or discount is already inside the close price the returns are built from; reported, not charged again"},"link":"/funds/avl/"}],"rules":{"op":"vol_cap","params":{"volDays":21,"targetVol":0.35},"rebalance":{"calendar":"monthly"},"paperTradeTiming":"A rule reads the close of the last trading day of the month and trades at the next close."},"hindsightWarning":"Hindsight: these eight stocks are today's large winners, picked in 2026. Back-test results are flattered; most of the history is simulated.","cannotMeasure":["The paper scales a stock index by last month's variance; this scales an equal mix of 2x stock funds by last month's volatility, a change ETFIQ made.","Simulated days do not charge the financing cost of the borrowed half or swap spreads, so they run high.","Taxes.","The universe is fixed in hindsight: the funds named are those that exist and are large in 2026, so every result flatters a strategy a reader could have run only with this list in 2013."],"simulation":{"assets":[{"ticker":"AAPU","launch":"2022-08-09","simulatedUntil":"2022-08-09","underlying":"AAPL","expenseRatioPct":0.96,"fit":{"days":1063,"actualTotal":1.281877,"simulatedTotal":1.281877,"dailyRmsGap":0.004204,"slope":1.81266,"dailyIntercept":-0.00023798,"recipeTotal":1.979131,"note":"calibrated on the fund's real days: simulated total return over them against the actual; recipeTotal is the uncalibrated 2x minus expense ratio over the same days"}},{"ticker":"AMZU","launch":"2022-09-07","simulatedUntil":"2022-09-07","underlying":"AMZN","expenseRatioPct":0.99,"fit":{"days":1043,"actualTotal":0.517867,"simulatedTotal":0.517867,"dailyRmsGap":0.005553,"slope":1.77738,"dailyIntercept":-0.0004131,"recipeTotal":1.24476,"note":"calibrated on the fund's real days: simulated total return over them against the actual; recipeTotal is the uncalibrated 2x minus expense ratio over the same days"}},{"ticker":"GGLL","launch":"2022-09-07","simulatedUntil":"2022-09-07","underlying":"GOOGL","expenseRatioPct":0.96,"fit":{"days":1043,"actualTotal":1.796017,"simulatedTotal":1.796017,"dailyRmsGap":0.005052,"slope":1.80569,"dailyIntercept":-0.00035987,"recipeTotal":3.183752,"note":"calibrated on the fund's real days: simulated total return over them against the actual; recipeTotal is the uncalibrated 2x minus expense ratio over the same days"}},{"ticker":"MSFU","launch":"2022-09-07","simulatedUntil":"2022-09-07","underlying":"MSFT","expenseRatioPct":0.98,"fit":{"days":1043,"actualTotal":0.880072,"simulatedTotal":0.880072,"dailyRmsGap":0.004476,"slope":1.78984,"dailyIntercept":-0.00045009,"recipeTotal":2.081615,"note":"calibrated on the fund's real days: simulated total return over them against the actual; recipeTotal is the uncalibrated 2x minus expense ratio over the same days"}},{"ticker":"FBL","launch":"2022-12-13","simulatedUntil":"2022-12-13","underlying":"META","expenseRatioPct":1.05,"fit":{"days":975,"actualTotal":5.527752,"simulatedTotal":5.527752,"dailyRmsGap":0.006026,"slope":1.85639,"dailyIntercept":-0.00075766,"recipeTotal":13.799874,"note":"calibrated on the fund's real days: simulated total return over them against the actual; recipeTotal is the uncalibrated 2x minus expense ratio over the same days"}},{"ticker":"NVDL","launch":"2022-12-13","simulatedUntil":"2022-12-13","underlying":"NVDA","expenseRatioPct":1.64,"fit":{"days":975,"actualTotal":21.543017,"simulatedTotal":21.543017,"dailyRmsGap":0.007794,"slope":1.83621,"dailyIntercept":-0.0007196,"recipeTotal":50.983588,"note":"calibrated on the fund's real days: simulated total return over them against the actual; recipeTotal is the uncalibrated 2x minus expense ratio over the same days"}},{"ticker":"TSLL","launch":"2022-08-09","simulatedUntil":"2022-08-09","underlying":"TSLA","expenseRatioPct":0.83,"fit":{"days":1063,"actualTotal":-0.457127,"simulatedTotal":-0.457127,"dailyRmsGap":0.008683,"slope":1.82007,"dailyIntercept":-0.00017118,"recipeTotal":-0.532918,"note":"calibrated on the fund's real days: simulated total return over them against the actual; recipeTotal is the uncalibrated 2x minus expense ratio over the same days"}},{"ticker":"AVL","launch":"2024-10-10","simulatedUntil":"2024-10-10","underlying":"AVGO","expenseRatioPct":1.0,"fit":{"days":517,"actualTotal":0.535248,"simulatedTotal":0.535248,"dailyRmsGap":0.002338,"slope":1.98877,"dailyIntercept":-0.00043905,"recipeTotal":0.883125,"note":"calibrated on the fund's real days: simulated total return over them against the actual; recipeTotal is the uncalibrated 2x minus expense ratio over the same days"}}],"rule":"Before each fund launched, daily 2x of the stock's total return minus the fund's expense ratio. 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every fund in the list had traded: real days only, no simulation. A short window and a hindsight list."},"stats":{"total":169.945518,"cagr":0.431294,"volatility":0.360271,"sharpe":1.129569,"maxDrawdown":-0.463328,"maxDrawdownPeak":"2021-12-27","maxDrawdownTrough":"2022-11-03","maxDrawdownRecovered":"2023-05-26","days":3605,"years":14.338125},"history":{"file":"volatility-capped-leverage-history.json","cutoff":"2025-04-01","before":"weekly points (the last close of each week)","from":"daily points"}},"paper":{"start":null,"configuredStart":"2026-11-04","days":0,"series":{"dates":[],"nav":[]},"windows":{},"label":"Paper record not started: it begins on the first trading day after launch. Hypothetical."},"signals":{"asOf":"2026-11-03","states":[{"ticker":null,"state":"scaled","value":0.44996,"threshold":0.35,"scale":0.777847,"distance":0.09996,"distanceUnit":"volatility points above the cap (negative: room below it)","text":"The equal mix of 8 funds swung 45.0% a year over 21 days; the cap is 35%, so 78% of the book is invested and 22% is 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the fund against its stock over the same 12 months; twice the stock is the 2x multiple before daily resets"},"costs":{"basis":"Half the quoted bid/ask spread, charged on the value traded, each way. The 30-day median spread from site/data/trading-cost.json where ETFIQ has one for the fund, else the default for its class. Fund expense ratios are already inside each fund's total return, so no fee is charged twice. Simulated 2x days charge the fund's expense ratio daily.","halfSpreadBpsByFund":{"AAPU":20.0,"AMZU":20.0,"AVL":20.0,"FBL":20.0,"GGLL":20.0,"MSFU":20.0,"NVDL":20.0,"TSLL":20.0},"turnoverPerYear":1.846,"costDragPerYear":0.00598,"totalCostPct":6.1088,"grossAnnualised":0.43727,"netAnnualised":0.43129,"taxDragPerYear":null,"taxDragNote":"Not measured: ETFIQ has no lot-level or investor-level tax data. A strategy that trades monthly realises short-term gains."},"skepticInputs":{"paperDays":0,"backtestYears":14.34,"simulatedShare":0.8566,"costDragPerYear":0.00598,"turnoverPerYear":1.846,"parameters":2,"largestHoldingPct":9.593,"holdingsCount":8,"survivorshipRisk":true},"moves":{"signalDate":"2026-10-30","effective":"2026-10-31","moves":[{"ticker":"AAPU","text":"out of AAPU: 12.5% to 9.2%. the mix swung 47.5% a year over 21 days against a cap of 35%, so each fund holds 9.2%."},{"ticker":"AMZU","text":"out of AMZU: 12.5% to 9.2%. the mix swung 47.5% a year over 21 days against a cap of 35%, so each fund holds 9.2%."},{"ticker":"AVL","text":"out of AVL: 12.5% to 9.2%. the mix swung 47.5% a year over 21 days against a cap of 35%, so each fund holds 9.2%."},{"ticker":"FBL","text":"out of FBL: 12.5% to 9.2%. the mix swung 47.5% a year over 21 days against a cap of 35%, so each fund holds 9.2%."},{"ticker":"GGLL","text":"out of GGLL: 12.5% to 9.2%. the mix swung 47.5% a year over 21 days against a cap of 35%, so each fund holds 9.2%."},{"ticker":"MSFU","text":"out of MSFU: 12.5% to 9.2%. the mix swung 47.5% a year over 21 days against a cap of 35%, so each fund holds 9.2%."},{"ticker":"NVDL","text":"out of NVDL: 12.5% to 9.2%. the mix swung 47.5% a year over 21 days against a cap of 35%, so each fund holds 9.2%."},{"ticker":"TSLL","text":"out of TSLL: 12.5% to 9.2%. the mix swung 47.5% a year over 21 days against a cap of 35%, so each fund holds 9.2%."}]},"secondSource":{"method":"independent rebuild: no code shared with the Model Hub engine or the scorecard (QuantStats is not installed in this environment)","agree":true,"checks":[{"name":"allocations well formed","count":173},{"name":"signal dates are month-end closes","count":173,"bad":0},{"name":"independent rebuild of the net series","days":3606,"worstRelativeGap":5.622145240469223e-07,"tolerance":2e-06,"date":"2012-11-16"},{"name":"total return","published":169.945518,"fromPublishedSeries":169.945574103391,"independentRebuild":169.94551773517483,"gap":3.2819446371679106e-07,"tolerance":2e-06},{"name":"deepest fall","published":-0.463328,"fromPublishedSeries":-0.453212133743011,"independentRebuild":-0.4633283693358239,"gap":3.6933582386877717e-07,"tolerance":2e-06},{"name":"since-listing scorecard total return","published":0.32834162,"independentRebuild":0.32834162293442937,"gap":2.209092353488984e-09,"tolerance":2e-06},{"name":"erosion rows from daily returns","rows":8},{"name":"rules replayed on the cache","allocations":173,"differing":0},{"name":"benchmark SPY against the cache","differing":0},{"name":"prices: our total return against the vendor's adjusted close","days":58674,"mismatches":0,"tolerance":0.005}],"findings":[],"asOf":"2026-11-03"}}