Another early monthly update before the weekend. How did 3xGTAA fare in the volatile month of November?
Asset performances 11/25 (as of 18:30)
3xEU50: -1.4%
3xQQQ: -8.8%
3xGLD: +18.3%
3xGTAA Depot
30.10.25: 99.850€
28.11.25: 100.450€ (Yippy! - Milestone "100k 3xGTAA at the turn of the month" reached!)
Wikifolio certificate
30.10.25: 153,50€
28.11.25: 154,60€
Month: +0.7%
YTD: +22.2%
Review 11/25:
3xGTAA performed weaker than expected. November is statistically the strongest month of the year for all three asset classes. This time the equity markets disappointed and had a rather volatile month. However, gold was able to offset the losses of the equity indices to some extent.
The model narrowly escaped the sharp fall in Bitcoin. This is an example of a central idea behind momentum rotation: After Bitcoin had already lost significant momentum in October, the sharp sell-off then came in November. By removing momentum-weak assets from the portfolio in good time, the strategy attempts to avoid major losses in each asset class.
Outlook 12/25:
As in October, gold and the Nasdaq100 remain the asset classes with the strongest momentum in the portfolio. The third position has a small problem. This is because commodities are actually moving past the Eurostoxx50 into third place. However, there is still the problem that there are no tradable leveraged ETCs on the Broad Commodities Index in Germany. The last one was discontinued in 2021. If I were to simply add the unleveraged Bloomberg Broad Commodities ETC to my portfolio, this would represent an increased risk.
Why? Because the idea behind splitting the portfolio into three asset classes is to reduce risk. To achieve this, however, all three asset classes must have a similar risk profile, i.e. similar vola. However, as the 3xNasdaq ETF has around four times the volatility of the unleveraged Commodities ETC, the ETC would hardly make any difference in terms of performance and would therefore hardly have any diversification effect. So for the time being, oil will remain in the selection pool as a representative of commodities until the day when there is another leveraged commodities ETC. However, the momentum of oil is very weak, which is why it is not included in the portfolio.
To cut a long story short: the allocation to 3xGTAA remains unchanged in December:
3xGLD, 3xQQQ, 3xEU50. It will only be rebalanced a little.
Report from the 3xGTAA certificate workshop:
The Wikifolio certificate is apparently continuing to grow in popularity: the invested capital now amounts to almost €400,000. Someone had invested a mid-five-figure sum in mid-October. Just who?
Apart from renewed research into the leveraged commodities ETC, there is no news worth mentioning from the workshop. However, I would like to share an interesting thought on 3xGTAA that came up in a conversation in the forum.
What is the basis for the strategy's above-average expected return? On a theoretical level, one could say: significant risk reduction through diversification across the most important, uncorrelated asset classes and double momentum holding lines combined with BTC-oriented, vola-equilibrated leverage. So far, so good. Theoretically.
But what does it look like in practice? Quite simply: the average daily volatility of the certificate/strategy is approx. 2.7% (43% annual volatility divided by the root of 252dpa). For comparison: The weekly(!) volatility of the MSCI World is 2.2%. If the certificate falls by approx. 1.5% on 9 of the 20 trading days in the month (+0.5% and then -2% = 2.5% fluctuation) and rises by approx. 1.5% on 11 days, then there is a difference of 2 days with +1.5% each. Doesn't sound like much. But these two days make up the whole difference. Calculated over the year, that's an expected return of just under +40-50%.
This means that 3xGTAA achieves its excess return by concentrating on momentum, increasing the probability of slightly rising prices on average in the medium term just enough to ensure that there are two more days of slightly rising prices at the end. If you can be sure of these two days, then you can achieve a significant and continuous excess return relatively safely with the use of capital leverage. You just have to make sure that the leverage is not chosen too high, so that the intra-month volatility drag does not eat up the return of the two days. Theoretically, 2xGTAA or 5xGTAA would be quite possible, but the optimum of return and risk (Sharpe ratio, better Sortino ratio) is around leverage 3.
It all sounds rather complicated. But when you see how much effort many people put into fundamental analysis or market technology, then rebalancing on Monday is pretty straightforward. In any case, the logic seems quite simple and compelling to me. What do you think?
Your Epi
