We can also combine QBAT with DMFI to create a “barbell approach” of non-correlated low and high-volatility strategies. Here are the back-tested results since July 2006 with 50%/50%, 60%/40%, 70%/30%, 80%/20%, and 90%/10% in DMFI and QBAT. Since QBAT is invested the same as A-GEM when it is not in QLD, these allocations are an amalgamation of three different models.
QBAT with DMFI Model Performance July 2006 through December 2022
| QQQ | DMFI | QBAT | 50/50 | 60/40 | 70/30 | 80/20 | 90/10 |
CAGR | 13.3 | 9.9 | 39.4 | 24.8 | 21.8 | 18.8 | 15.9 | 12.8 |
STD DEV | 19.5 | 4.9 | 24.2 | 12.9 | 10.8 | 8.8 | 6.9 | 5.5 |
SHARPE | 0.74 | 1.95 | 1.51 | 1.79 | 1.89 | 2.02 | 2.16 | 2.22 |
MAX DD | -50.2 | -5.3 | -23.2 | -12.9 | -11.0 | -9.2 | -7.3 | -5.5 |
AVG DD | -6.9 | -0.5 | -3.0 | -1.3 | -1.1 | -0.8 | -0.6 | -0.5 |
W% MOS | 66 | 80 | 67 | 70 | 72 | 73 | 76 | 82 |
Results are not a guarantee of future success and do not represent returns that any investor actually attained. Performance includes reinvestment of interest and dividends. CAGR is the compound annual growth rate. Maximum drawdown is on a cumulative month-end basis. Leveraged ETFs have high risk and extreme volatility. Please see our Disclaimer page for more information.