Prices to Nov 3, 2026 · paper tracking starts Nov 4, 2026.

Strategy Lab · 2x single-stock

Volatility-capped leverage

Based on Moreira & Muir, 2017

2x single-stockHigh riskPartly inHypotheticalNext rebalance Dec 1, 2026

At the Nov 3, 2026 close Volatility-capped leverage is partly in and holds AVL 10%, MSFU 10%, FBL 9% and 5 more, with 26% in cash. Since the funds listed on Oct 10, 2024, it returned +14.4% a year with a deepest fall of −36.5%.

IQ · Nov 3, 2026

Since the funds listed, Oct 10, 2024 to Nov 3, 2026

Paper recordNot startedStarts Nov 4, 2026

Since listing, a year+14.4%vs SPY +14.9%

Deepest fall−36.5%since Oct 10

Sharpe0.44517 days

Turnover185%a year

Funds9held now

Back-testMostly simulated, and these stocks are today’s winners picked with hindsight.

Back-test, a year+43.1%Jul 2012 to Nov 3, 2026

Max drawdown−46.3%back-test

Sharpe1.13back-test

Growth of $10,000

Oct 4, 2024 to Nov 3, 2026 · after costs

Nov 3, 2026Back-testStrategy$13,321+33.2%SPY$13,468+34.7%

Mostly simulated before the funds listed (Oct 2024)

$10,000$12,000$16,000$13.5k$13.3k

Oct 2024Mar 2025Aug 2025Jan 2026Jun 2026Nov 2026

StrategySPYBack-testPaper record

2x funds reset daily, so over longer periods they can return more or less than twice their stock.

Drawdown

Fall from the last high

Strategy worst −34.5%SPY worst −18.3%

−30%−20%−10%0%

Oct 2024Mar 2025Aug 2025Jan 2026Jun 2026Nov 2026

Rolling 12-month return

−13.8%+13.6%

−20%0%+20%+40%+60%

Oct 2025Feb 2026Jun 2026Nov 2026

Rolling 12-month Sharpe

−0.300.79

0.01.02.0

Oct 2025Feb 2026Jun 2026Nov 2026

How daily resets erode 2x funds

12 months to Nov 3, 2026

Fund2 × stock vs fund, measuredErosion

AAPU

2 × AAPL +47.6%AAPU +31.8%

−15.8 pts

AMZU

2 × AMZN −2.6%AMZU −21.3%

−18.7 pts

GGLL

2 × GOOGL −2.1%GGLL −21.2%

−19.2 pts

MSFU

2 × MSFT +3.2%MSFU −15.4%

−18.6 pts

FBL

2 × META −4.6%FBL −26.8%

−22.2 pts

NVDL

2 × NVDA +0.3%NVDL −21.7%

−22.0 pts

TSLL

2 × TSLA −29.8%TSLL −48.2%

−18.4 pts

AVL

2 × AVGO −15.4%AVL −38.7%

−23.3 pts

Holdings now

Nov 3, 2026 close

CashCash and T-bills25.9%AVLDirexion Daily AVGO Bull 2X ETF9.6%MSFUDirexion Daily MSFT Bull 2X ETF9.5%FBLGraniteShares 2x Long META Daily ETF9.5%NVDLGraniteShares 2x Long NVDA Daily ETF9.4%AMZUDirexion Daily AMZN Bull 2X ETF9.4%GGLLDirexion Daily GOOGL Bull 2X ETF9.1%TSLLDirexion Daily TSLA Bull 2X ETF8.8%AAPUDirexion Daily AAPL Bull 2X ETF8.7%

Signals

Hold an equal mix of eight 2x single-stock funds, shrunk toward cash when the mix's recent swings pass a cap.

9 in · 0 out

Nearest to flipping

FundVolatilityRankDistance to flipState

AAPU+9.7%no flipIn

AMZU+9.7%no flipIn

GGLL+9.7%no flipIn

MSFU+9.7%no flipIn

FBL+9.7%no flipIn

FundVolatilityRankDistance to flipState

Mix+45.0%10.0 ptsScaled

AAPU+9.7%no flipIn

AMZU+9.7%no flipIn

GGLL+9.7%no flipIn

MSFU+9.7%no flipIn

FBL+9.7%no flipIn

NVDL+9.7%no flipIn

TSLL+9.7%no flipIn

AVL+9.7%no flipIn

Each bar shows how far a fund is from flipping. Nov 3, 2026 close.

Trade blotter

Points (pts) are percentage points.

Date	Action	Fund	Price	Weight	Reason	Record
Jun 29, 2012	In	TSLL	at close	8.3%	Rule added it. Next close, after costs.	Back-test
Jun 29, 2012	In	NVDL	at close	8.3%	Rule added it. Next close, after costs.	Back-test
Jun 29, 2012	In	MSFU	at close	8.3%	Rule added it. Next close, after costs.	Back-test
Jun 29, 2012	In	GGLL	at close	8.3%	Rule added it. Next close, after costs.	Back-test
Jun 29, 2012	In	FBL	at close	8.3%	Rule added it. Next close, after costs.	Back-test
Jun 29, 2012	In	AVL	at close	8.3%	Rule added it. Next close, after costs.	Back-test
Jun 29, 2012	In	AMZU	at close	8.3%	Rule added it. Next close, after costs.	Back-test
Jun 29, 2012	In	AAPU	at close	8.3%	Rule added it. Next close, after costs.	Back-test

No paper trades yet: the first night is Nov 4, 2026. Back-test changes below, after costs.

Monthly returns

% · Last 12 months, the latest to Nov 3

Dec 2025	Jan 2026	Feb 2026	Mar 2026	Apr 2026	May 2026	Jun 2026	Jul 2026	Aug 2026	Sep 2026	Oct 2026	Nov 2026
−2.6	−1.2	−14.3	−10.3	22.1	10.6	−19.8	4.3	3.9	5.4	−9.8	0.3

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Year	SPY
2026*	−1.2	−14.3	−10.3	22.1	10.6	−19.8	4.3	3.9	5.4	−9.8	0.3		−15.0	11.5
2025	0.3	−9.5	−15.7	0.6	8.6	7.5	11.5	3.6	14.1	9.8	−0.2	−2.6	26.3	15.9
2024	3.9	19.9	2.8	−6.4	9.4	20.2	−3.0	−3.4	7.1	−1.4	10.6	13.6	96.3	26.8
2023	23.6	5.7	11.4	0.3	27.2	11.9	7.3	−1.4	−9.2	−4.5	15.1	10.0	141.5	26.2
2022	−10.5	−6.1	5.4	−14.4	−3.5	−7.9	11.8	−6.3	−11.5	−4.9	6.6	−6.9	−41.0	−18.2
2021	2.9	0.2	0.4	7.9	−2.7	11.1	3.7	11.0	−10.0	25.8	10.5	1.0	75.6	28.7
2020	18.8	−5.0	−6.2	6.1	6.3	12.6	12.4	25.9	−12.5	−1.9	12.8	6.3	95.9	18.0
2019	5.6	1.9	8.8	7.1	−24.4	15.0	4.8	−6.1	−0.1	17.5	9.2	12.3	54.3	32.8
2018	20.3	−3.1	−10.1	2.4	9.0	2.0	−3.5	10.7	−2.2	−14.8	−1.8	−7.9	−3.9	−5.4
2017	14.8	3.8	8.4	6.6	17.8	−4.1	4.6	6.1	−3.2	15.1	0.0	−3.3	85.7	21.7
2016	−13.2	−2.4	11.6	−6.2	13.6	−6.3	16.2	2.2	4.7	−0.7	0.3	4.0	21.9	12.0
2015	−2.0	14.0	−6.4	9.4	8.6	−4.2	10.1	−5.0	−2.8	10.9	7.6	2.3	47.9	−0.2
2014	3.9	12.8	−6.5	−3.5	5.3	6.9	−2.9	16.9	−2.2	−2.2	6.0	−5.6	29.3	15.6
2013	8.1	−4.6	2.0	12.8	25.1	−1.8	20.0	10.4	14.5	6.7	−1.0	12.6	163.3	33.9
2012							−4.1	4.1	3.9	−12.1	13.8	−5.6	−2.0	3.9

Scorecard

vs SPY · since the funds listed Oct 18, 2024 to Nov 3, 2026 · after costs

+14.8% a year vs SPY +14.4%.Max drawdown −33.0% vs −16.9%.

Return

MeasureStrategySPYEdge

Total return+32.8%+32.0%Strategy (slight)

Annualised+14.8%+14.4%Strategy (slight)

Risk

MeasureStrategySPYEdge

Volatility36.4%14.9%SPY

Max drawdown−33.0%−16.9%SPY

Upside capturen/a100.0%Even

Downside capture163.8%100.0%SPY

Beta1.941.00Higher

Risk-adjusted

MeasureStrategySPYEdge

Sharpe ratio0.450.71SPY

Sortino ratio0.681.08SPY

Calmar ratio0.450.86SPY

Alpha, a year−4.1%n/aNot significant

Costs and taxes

MeasureStrategySPYEdge

Turnover, a year185%n/a

Cost drag, a year−0.60%n/a

Tax drag estimaten/an/a

Ratios use the 13-week Treasury bill rate, 4.0% a year, from the Treasury’s daily rates. Tax is not measured. Method

The Skeptic's take

0 daysof paper record. The rest is a back-test.

t = −0.26Alpha of −4.1% a year is not significant, since listing.

185%turnover a year. Costs take 0.6 points.

MethodSource, rules, funds and limitsOpen ↓

SourceMoreira, A. and Muir, T. (2017). Volatility-Managed Portfolios. Journal of Finance 72(4), 1611-1644. ↗

VersionRules v1 · sha ba68a516 · data to Nov 3, 2026How we test strategies

Exact rules

Hold an equal mix of eight 2x single-stock funds, shrunk toward cash when the mix's recent swings pass a cap.
A rule reads the close of the last trading day of the month and trades at the next close.
The universe is 8 funds; the benchmark is SPDR S&P 500 ETF Trust (SPY).
It is checked at each month end.

What we cannot measure

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.

Fund list · 8 funds

AAPU AMZU GGLL MSFU FBL NVDL TSLL AVL

Cite this pageCitation, APA and Markdown

ETFIQ Strategy Lab, Volatility-capped leverage, data as of Nov 3, 2026. https://etfiq.com/models/strategies/volatility-capped-leverage/

Computed by ETFIQ from Tiingo daily prices. Data sourced by Tiingo.

Open data Free to use with attribution

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