Search found 350 matches

by long_gamma
Fri Nov 01, 2019 12:00 pm
Forum: Investing - Theory, News & General
Topic: How to diversify a Three Fund Portfolio in 8 steps
Replies: 66
Views: 5082

Re: How to diversify a Three Fund Portfolio in 8 steps

The data in the article clearly shows that the portfolio with maximum diversification and simple constant allocation are not different in any statistically significant way. The article provides no evidence that DR is useful. It is ironic that your nick is "uncorrelated" I will quote this again. " A...
by long_gamma
Fri Nov 01, 2019 10:06 am
Forum: Investing - Theory, News & General
Topic: How to diversify a Three Fund Portfolio in 8 steps
Replies: 66
Views: 5082

Re: How to diversify a Three Fund Portfolio in 8 steps

I did some quick calculations and came to the conclusion that diversification ratio is thoroughly broken. For example take the following portfolio: VTI (50%) + walmart (50%) Walmart has a correlation of .26 with VTI. This portfolio has a higher sharpe ratio than just VTI and a diversification ratio...
by long_gamma
Wed Oct 30, 2019 8:21 am
Forum: Investing - Theory, News & General
Topic: How to diversify a Three Fund Portfolio in 8 steps
Replies: 66
Views: 5082

Re: How to diversify a Three Fund Portfolio in 8 steps

In your example, I guess the question is how much LTT you want to hold, I wanted to show the example with max 20%. Cheers :greedy Mine is a trading model, which starts with risk parity and levers up based on the trend and re-balances weekly. To answer the question, I am agnostic about the max weigh...
by long_gamma
Tue Oct 29, 2019 5:57 pm
Forum: Investing - Theory, News & General
Topic: How to diversify a Three Fund Portfolio in 8 steps
Replies: 66
Views: 5082

Re: How to diversify a Three Fund Portfolio in 8 steps

Currently I use modified RP version in one of my accounts. These have traditional assets that can be levered up easily. DR is much higher. https://i.postimg.cc/XqrtHpzf/Snap9.png ES, RTY, ZT, ZB, CL, 6J and GC futures in place of the ETF's. Options are liquid for EEM, IYR. EFA can be spot or option,...
by long_gamma
Tue Oct 29, 2019 5:37 pm
Forum: Investing - Theory, News & General
Topic: How to diversify a Three Fund Portfolio in 8 steps
Replies: 66
Views: 5082

Re: How to diversify a Three Fund Portfolio in 8 steps

As other posted pointed out, your diversification ratio calculations seems to be off. I just quickly plugged into my risk parity worksheet, It is giving me different results. I used only last year (252 days) of daily prices, Correlation shown is EWMA weighted, but equal weighted shouldn't be too muc...
by long_gamma
Mon Apr 22, 2019 1:15 pm
Forum: Personal Finance (Not Investing)
Topic: Suddenly, even lower opinion of financial planners/money managers
Replies: 67
Views: 6262

Re: Suddenly, even lower opinion of financial planners/money managers

OP seems to have hit a nerve with some of the commenters, not sure why unless they themselves are RIA’s and feel attacked? If you are referencing that to me, No I am not an RIA. I have taken those exams along with Series 7 and CFA, after my MBA. CFA is much more respectable certificate, even that d...
by long_gamma
Mon Apr 22, 2019 11:42 am
Forum: Investing - Theory, News & General
Topic: "Second-Grader Who Beat Wall Street -- A Decade Later"
Replies: 43
Views: 9068

Re: "Second-Grader Who Beat Wall Street -- A Decade Later"

I could be wrong but it seems they simply noted how these portfolios are typically composed. The Second Grade portfolio seems to suggest an aggressive BH like 3-fund portfolio of 60% total stock market, 30% total international stock, 10% total bond. That's their suggested recipe. Not sure why folks...
by long_gamma
Mon Apr 22, 2019 11:17 am
Forum: Personal Finance (Not Investing)
Topic: Suddenly, even lower opinion of financial planners/money managers
Replies: 67
Views: 6262

Re: Suddenly, even lower opinion of financial planners/money managers

Not sure if you're being serious or sarcastic. I'm able to do things like this because I've made business and financial decision s that put me in a position to be able to do such things. Not sarcastic at all. So you also make business decisions along with financial decision on a whim. Why should I ...
by long_gamma
Mon Apr 22, 2019 11:08 am
Forum: Investing - Theory, News & General
Topic: "Second-Grader Who Beat Wall Street -- A Decade Later"
Replies: 43
Views: 9068

Re: "Second-Grader Who Beat Wall Street -- A Decade Later"

I don't see the portfolio posted. long_gamma: You can see it here (click on the "Second Grader's Starter Portfolio" link): https://www.marketwatch.com/lazyportfolio Best wishes. Taylor Thanks for the link. As i suspected all of them have different portfolio risk. Some of them have 40% bonds vs 20% ...
by long_gamma
Mon Apr 22, 2019 10:53 am
Forum: Personal Finance (Not Investing)
Topic: Suddenly, even lower opinion of financial planners/money managers
Replies: 67
Views: 6262

Re: Suddenly, even lower opinion of financial planners/money managers

Not sure if you're being serious or sarcastic. I'm able to do things like this because I've made business and financial decision s that put me in a position to be able to do such things. Not sarcastic at all. So you also make business decisions along with financial decision on a whim. Why should I ...
by long_gamma
Mon Apr 22, 2019 10:44 am
Forum: Investing - Theory, News & General
Topic: "Second-Grader Who Beat Wall Street -- A Decade Later"
Replies: 43
Views: 9068

Re: "Second-Grader Who Beat Wall Street -- A Decade Later"

I don't see the portfolio posted. I am pretty sure, my yet to born kid portfolio beats this second grader portfolio.
by long_gamma
Sat Apr 20, 2019 6:47 pm
Forum: Investing - Theory, News & General
Topic: Bond fund duration
Replies: 7
Views: 873

Re: Bond fund duration

For example, say your goal is $36K and you are contributing $1K per month to the fund. Would a bond fund with a 3 year duration work in this case? Thanks Probably better way do this is to use the bullet bond ETF's, which matches your duration. In this case you buy $1k of bullet bond etf's in the be...
by long_gamma
Sat Apr 20, 2019 4:50 pm
Forum: Investing - Theory, News & General
Topic: Market timers thread
Replies: 223
Views: 17281

Re: Market timers thread

"Stay the course. No matter what happens, stick to our program. I've said "Stay the course" a thousand times, and I meant it every time. It is the most important single piece of investment wisdom I can give to you." -- page 42 in Common Sense on Mutual Funds by John C. Bogle (underline mine) Best w...
by long_gamma
Sat Apr 20, 2019 3:27 pm
Forum: Investing - Theory, News & General
Topic: Market timers thread
Replies: 223
Views: 17281

Re: Market timers thread

corn18 wrote:
Sat Apr 20, 2019 3:23 pm
We sure spend a lot of time on bogleheads.org talking about how to not be a boglehead.
I want to be greatest market timer like Mr. Bogle himself. (/s).

(Magic words: 3 funds, nobody knows nuthin)
by long_gamma
Sat Apr 20, 2019 3:21 pm
Forum: Investing - Theory, News & General
Topic: Market timers thread
Replies: 223
Views: 17281

Re: Market timers thread

Here is another one: https://www.bogleheads.org/forum/viewtopic.php?f=10&t=267862&p=4285083#p4285083 Vanguard Founder Jack Bogle Says It’s Time to Play It Safe" In case you’re thinking that it’s safe to dive back into the stock market, think again. Jack Bogle, the father of the index fund, is advoca...
by long_gamma
Sat Apr 20, 2019 3:08 pm
Forum: Investing - Theory, News & General
Topic: Market timers thread
Replies: 223
Views: 17281

Re: Market timers thread

corn18 wrote:
Sat Apr 20, 2019 2:33 pm
5 Never try to time the market
viewtopic.php?f=10&t=174938&p=2646668#p2646668

Image

Greatest markettimer of all time, Mr. Bogle himself
by long_gamma
Sat Apr 20, 2019 1:24 pm
Forum: Investing - Theory, News & General
Topic: Market timers thread
Replies: 223
Views: 17281

Re: Market timers thread

It is easy to avoid self appointed guardians here. You just have to mention code words such as "3 funds", "nobody knows nuthin" some where in the message
by long_gamma
Fri Apr 19, 2019 11:21 am
Forum: Personal Investments
Topic: Yieldstreet
Replies: 9
Views: 773

Re: Yieldstreet

That was the first thing I did and I did not receive any related results. I even put it in quotes and did not receive any results. Recent thread regarding this. https://www.bogleheads.org/forum/viewtopic.php?t=274250 They used to advertise $0 default in prinicpal loss. I was planning to complain to...
by long_gamma
Fri Apr 19, 2019 4:02 am
Forum: Investing - Theory, News & General
Topic: Hedging against hyperinflation scenario
Replies: 47
Views: 3540

Re: Hedging against hyperinflation scenario

Best hedge against hyperinflation is to buy call options on the market and commodities assuming counter-party is viable. It is perfect trifecta because price increases, volatility increases and skew flips to call side from put side (for equities) all beneficial for call option. Add to this increase ...
by long_gamma
Thu Apr 18, 2019 6:38 am
Forum: Investing - Theory, News & General
Topic: That's enough for me in 2019
Replies: 849
Views: 108781

Re: That's enough for me in 2019

5. React more than you predict. Wait for fat pitches when opportunity is obvious. Know the limitations of your ability to predict something as complex as asset price movements. Appreciate the disruptive potential of technology and politics. Aren't you predicting now that market will go down? If it ...
by long_gamma
Thu Apr 18, 2019 5:24 am
Forum: Investing - Theory, News & General
Topic: That's enough for me in 2019
Replies: 849
Views: 108781

Re: That's enough for me in 2019

Also - are you intending to cash out of the investment grade bonds at some point to go into stocks? If so, there could be a problem because when stocks tank so, too, could the investment grade bonds. BBB grade bonds aren't that far from junk. Look at how intermediate corporate bonds performed in th...
by long_gamma
Mon Apr 15, 2019 6:17 pm
Forum: Investing - Theory, News & General
Topic: Understanding using treasury futures for leverage to implement risk parity
Replies: 163
Views: 14453

Re: Understanding using treasury futures for leverage to implement risk parity

I do not agree with some posters claiming IRA is highly restricted for leverage instruments. There are self directed IRA where in one can trade any instrument they are comfortable with. They even link it to broker who requires only CME margins, not inflated margin requirements like IB. Fees are high...
by long_gamma
Tue Apr 09, 2019 8:18 pm
Forum: Investing - Theory, News & General
Topic: Leveraged TIPS?
Replies: 15
Views: 1123

Re: Leveraged TIPS?

You're comparing different amounts of interest rate risk, and I thought you were talking about using less long-dated TIPS in lieu of more short-dated TIPS, while keeping exposure to real interest rate changes relatively constant. I was. Another way to compare is to check the performance of STIP vs ...
by long_gamma
Tue Apr 09, 2019 7:29 pm
Forum: Investing - Theory, News & General
Topic: Leveraged TIPS?
Replies: 15
Views: 1123

Re: Leveraged TIPS?

Best way to do this is by using long dated TIPS like LTPZ. Theoretically you can lever up easily 10 times in Portfolio Margin account at Interactive Brokers. But the margin rates costs more than the expected return of TIPs TIPS are a combination of duration risk and inflation risk: if there's unexp...
by long_gamma
Tue Apr 09, 2019 5:22 pm
Forum: Investing - Theory, News & General
Topic: Leveraged TIPS?
Replies: 15
Views: 1123

Re: Leveraged TIPS?

Best way to do this is by using long dated TIPS like LTPZ.

Theoretically you can lever up easily 10 times in Portfolio Margin account at Interactive Brokers. But the margin rates costs more than the expected return of TIPs
by long_gamma
Fri Apr 05, 2019 5:13 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 308288

Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]

Exactly. Any of the leveraged PIMCO funds implement a total return swap (primarily) with large trading banks to create leverage. https://www.pimco.com/en-us/insights/investment-strategies/strategy-spotlight/building-diversified-equity-allocations-pimco-stocksplus Where do you think those trading ba...
by long_gamma
Fri Apr 05, 2019 10:08 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 308288

Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]

This is pretty much irrelevant bogleheads trading couple of contracts. I am an active trader in derivative markets from past two decades and don't see this as a big issue atleast for emini s&p's. I didn't read WSJ article and refuse to click anything fox related. Just took a snapshot of ladder of em...
by long_gamma
Mon Apr 01, 2019 8:01 am
Forum: Investing - Theory, News & General
Topic: Robotic Trading > Irrational Retail investors?
Replies: 27
Views: 1804

Re: Robotic Trading > Irrational Retail investors?

You need to define Robotic trading. Answers getting here is for High Frequency Trading (HFT). Robotic trading can be Automated trading, algorthimic trading or HFT. First two is rational for retail, HFT is not. The OP is referring to “Robo Advisers”, like Betterment and Wealth Front. You input you g...
by long_gamma
Mon Apr 01, 2019 7:11 am
Forum: Investing - Theory, News & General
Topic: Robotic Trading > Irrational Retail investors?
Replies: 27
Views: 1804

Re: Robotic Trading > Irrational Retail investors?

You need to define Robotic trading.

Answers getting here is for High Frequency Trading (HFT). Robotic trading can be Automated trading, algorthimic trading or HFT. First two is rational for retail, HFT is not.
by long_gamma
Sun Mar 31, 2019 1:44 pm
Forum: Personal Investments
Topic: Safe way to "bet" against LYFT?
Replies: 36
Views: 4161

Re: Safe way to "bet" against LYFT?

goodenyou wrote:
Sun Mar 31, 2019 9:50 am

I have personally asked him to participate in this forum (Bogleheads).

He is the leading expert in Valuation. He will be run out of here with highly intelligent comments like "Nobody knows nuthin" & "Market timer"
by long_gamma
Sat Mar 30, 2019 10:39 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 308288

Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]

Remember, pretty much everyone is doing this with a very tiny portion of our portfolios. I've lost more than 400% (low 6 figure) of this portion of my portfolio in 1 month last year.... and slept like a baby. How can you loose 400% in long leveraged fund? At the most, you loose the money invested rt?
by long_gamma
Sat Mar 30, 2019 6:40 am
Forum: Investing - Theory, News & General
Topic: Best Fund/ETF for Diversified Commodities Today...
Replies: 15
Views: 1473

Re: Best Fund/ETF for Diversified Commodities Today...

You can add CMDY etf to your list. This is relatively new etf from Ishares with ER of 0.28%. Spread is little wide, but with Blackrock platform support it will improve.

This etf tries to employ +ve carry strategy you are looking for.
by long_gamma
Fri Mar 29, 2019 6:50 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 308288

Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]

The minifutures are some kind of product (such as "LONG SP500 NORDNET F03") from the broker (Nordnet) which are issued by Nordea Bank AB and the documentation (couldn't find any in English) at least says the market maker (documentation uses term "market price guarantor") is also Nordea Bank AB. Doc...
by long_gamma
Thu Mar 28, 2019 9:53 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 308288

Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]

Yes, that’s it. There’s no contradiction though. My chart ends ~Feb 2018. I deliberately picked a period with rising yields for comparative purpose. The thing is German 10Y has been going nothing but down for decades. I think this may have to do with introduction of inflation targeting in the 90s f...
by long_gamma
Thu Mar 28, 2019 7:59 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 308288

Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]

I also saw some interesting mini-futures with leverage which have a stop-loss feature so you cannot lose more than you put in which were very interesting but I do not really understand all the details/implications of futures yet. But they do seem pretty risky in the sense that they are apparently n...
by long_gamma
Thu Mar 28, 2019 7:44 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 308288

Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]

https://i.postimg.cc/mrysNTd3/bund.png Is your data same as this one? SGI Daily Leveraged Bund https://sgi.sgmarkets.com/en/index-details/TICKER:SGIXDLBU/performances/ It is showing cumulative performance of 21% and CAGR of 6.75% for last 3 years, much different than you posted https://i.postimg.cc...
by long_gamma
Wed Mar 27, 2019 5:26 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 308288

Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]

celerity wrote:
Wed Mar 27, 2019 5:00 pm


Would you say buying leveraged 10Y Euro-Bunds is a guaranteed loss today? The yield is literally at the Zero Lower Bound.
Why is it a guaranteed loss? How has the those bonds performed so far, since those rate dipped negative in 2016?
by long_gamma
Wed Mar 27, 2019 12:06 pm
Forum: Investing - Theory, News & General
Topic: I hate bonds
Replies: 116
Views: 14640

Re: I hate bonds

HEDGEFUNDIE wrote:
Tue Mar 26, 2019 10:20 pm

And if you prefer to follow the crowd and not get reprimanded by Taylor, buy Total Bond.
Just mention "Three funds" some where in the message, crowd will say "Hallelujah" and will fall in line.
by long_gamma
Wed Mar 27, 2019 10:08 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 308288

Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]

This is for future spread trading where they trader try to be dollar neutral, but you can apply the same math here. https://www.cmegroup.com/education/courses/understanding-futures-spreads/trading-the-treasury-yield-curve.html Current 30 year future DV01 is approximately 185 and 2 year future DV01 i...
by long_gamma
Wed Mar 27, 2019 9:46 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 308288

Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]

You can buy 2 yr treasury futures on margin. By adding leverage you are increasing the volatility with respect to interest rate changes at that point in the yield curve. https://www.advisorperspectives.com/articles/2018/08/13/the-case-for-leveraged-u-s-treasury-bonds Show me how can you get 10 time...
by long_gamma
Tue Mar 26, 2019 7:47 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 308288

Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]

Thank you for this thread hedgefundie. I have been looking into taking a leveraged 2 yr treasury position recently, and I am mad I missed this recent drop in yields because I was not comfortable enough with futures yet. I would like to see some work done on a portfolio utilizing 2 yr treasuries lev...
by long_gamma
Tue Mar 26, 2019 7:17 pm
Forum: Investing - Theory, News & General
Topic: M.I.T.'s Andrew Lo says Buy and Hold dosen't work
Replies: 116
Views: 20164

Re: M.I.T.'s Andrew Lo says Buy and Hold dosen't work

I see, thank you. But the isn't this based on the notion that the trailing volatility in some sense predicts volatility for the next day (or next leveraging factor adjustment period)? If not, then why the heck would you leverage on something that does not have this association? You are just flippin...
by long_gamma
Tue Mar 26, 2019 8:18 am
Forum: Investing - Theory, News & General
Topic: M.I.T.'s Andrew Lo says Buy and Hold dosen't work
Replies: 116
Views: 20164

Re: M.I.T.'s Andrew Lo says Buy and Hold dosen't work

In the paper, Lo seems to propose (as an example) prediction of volatility to control it, but I don't understand how he predicts volatility: https://alo.mit.edu/wp-content/uploads/2015/10/index_5.pdf He is proposing to actively manage risk by AA changes based on predicted volatility. He is not pred...
by long_gamma
Mon Mar 25, 2019 10:42 am
Forum: Investing - Theory, News & General
Topic: M.I.T.'s Andrew Lo says Buy and Hold dosen't work
Replies: 116
Views: 20164

Re: M.I.T.'s Andrew Lo says Buy and Hold dosen't work

Actually, I was amazed to find for myself, looking at data, something I hadn't known, but apparently it's well-known: volatility was much higher during the 1930s and 1940s than it has ever been since then. http://i64.tinypic.com/f2n42a.jpg These numbers doesn't look right. This is for DJIA, but for...
by long_gamma
Mon Mar 18, 2019 7:00 am
Forum: Non-US Investing
Topic: Index futures instead of etf to avoid withholding tax
Replies: 36
Views: 2432

Re: Index futures instead of etf to avoid withholding tax

Thanks for your feedback! I'll experiement with this in a paper account until I see more how it works. How could we replicate a worldwide etf like VT with futures? emini+eurostxx+ some emerging market future? Futures are lumpy and their main purpose is to provide leverage in efficient manner. There...
by long_gamma
Sat Mar 16, 2019 4:29 pm
Forum: Investing - Theory, News & General
Topic: That's enough for me in 2019
Replies: 849
Views: 108781

Re: That's enough for me in 2019

Good intuition. When do you plan to move back into equities? Possibly never. I don't feel FOMO (fear of missing out) because I don't need equity gains to fund my retirement. Seriously considering buying some single-family rentals with my stash. Let's see what the market offers later this year. Aren...
by long_gamma
Sat Mar 16, 2019 4:01 pm
Forum: Investing - Theory, News & General
Topic: That's enough for me in 2019
Replies: 849
Views: 108781

Re: That's enough for me in 2019

From the bond side, it make perfect sense to move out to short term bills. Here is the 5 year chart of the yield curve (short end). There is no point to extend the maturity. https://i.postimg.cc/wxGHWYQV/Snap59.png From equity perspective, I don't agree with his call. If i am uncomfortable, I would ...
by long_gamma
Sat Mar 16, 2019 7:03 am
Forum: Non-US Investing
Topic: Index futures instead of etf to avoid withholding tax
Replies: 36
Views: 2432

Re: Index futures instead of etf to avoid withholding tax

Ignore lot of bad information in this thread. If you hold emini and rest in t-bills there is no difference than holding etf. In fact you can do better, buy a fraction of the amount in CD and future+ rest in t-bill, then you will do better. Don't know what NRA means, but you have better tax treatment...
by long_gamma
Thu Mar 14, 2019 11:33 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 308288

Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]

But inflation has been low for nearly 40 years and the fed has at times raised rates. This strategy has worked great since the overall trend of the fed rate has been downward. But can they really go much lower? They’ve been raising rates for several years now and there hasn’t been rampant inflation...