This strategy is really interesting. Are there any new developments?

So assume this strategy does accurately track the performance of the underlying indexes, but is able to add some alpha long term.

Now say a fund manager knew of it and managed a fund with a mandate to track the same underlying index.

Would holding shorts on these 2 leveraged ETFs somehow synthetically qualify as meeting their mandate? I imagine with competition between similar funds that managers might look for something new to juice their own fund’s results without breaking any rules.

I’m kind of thinking back to a story I heard about shorts against mortgage backed securities in the US enabling the bundling firms to some how create synthetic CDOs after they ran out of “legitimate” mortgage holders. I don’t fully understand it, but I’m curious if there are similar implications for this strategy.

There is no reason why the long has to be a match – just cleaner for the analysis again.

Personally, I would use a fundamental index as the long myself.

CRQ outperformed your return but the time span is too short to make any conclusions. If you compare XIU/CRQ alone YTD, or pretty much any period over the last 3 years it has outperformed. Any thoughts how it plays into this strategy?