No. of Recommendations: 2
Just for fun...I have some data that is a simulation of TMF AND UPRO back to 1955. Risk parity changes with time and for the things Jim notes I tend to use very long term calculations as to the ratio applied. Usually this gets you a ratio of long treasuries to stocks of low 60s/high 50s to high 30s/low 40s...so let’s go 60/40 for our simulation.

1955-1982 CAGR 3.22/DD -71.09
1983-2018 CAGR 18.58/DD -50.08

Whole period 11.65 CAGR

There are several caveats on the data that I won’t post, but I have no reason to doubt the main finding...interest rate direction makes or breaks this strategy. Lastly, both assets’ MaxDD is 90%+...
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