Gayed-Bilello Gearing Strategy: 17% CAGR — Does It Beat SPY?
Welcome back to Avalon QuantBrief, where we break down the industry's most powerful tactical asset allocation frameworks. Today, we are exploring the famous Gayed-Bilello Gearing Strategy, a classic model designed to leverage up during bull runs and hide in cash during market crashes. By adapting its core mechanics for today's volatile landscape, we show how quantitative rules can turn high-beta leverage into a controlled, high-performing system. Backtest Summary (2017–present) 📈 CAGR: 17.4% 📉 Max Drawdown: -31.0% ⚡ Sharpe Ratio: 0.91 💰 Total Return: 393.9% 🎯 Universe: TQQQ, UPRO, SPXL, TNA, SOXL, TLT, GLD, SHY The Original Gearing Mechanics The classic Gayed-Bilello strategy utilizes a dual-regime filter, classifying the market as bullish only when the SPY is above its 200-day simple moving average and the VIX is at or below 28. If either condition fails, the system triggers a defensive bear regime on the final trading day of the month. This signal rotates capita...