Search found 619 matches

by samsdad
Tue Mar 26, 2019 9:54 am
Forum: Personal Finance (Not Investing)
Topic: Help with law school decision
Replies: 41
Views: 2065

Re: Help with law school decision

Is she trying for biglaw, with $160k-ish starting salaries? Does she like working about 2200 hours + per year? For years on end? Thats only 42.5 hours a week? Doesn't sound to demanding. From a 2012 post at Above The Law: Typical associate chargeable hours in mega firms and large firms are 2,000-2,...
by samsdad
Mon Mar 25, 2019 9:18 pm
Forum: Personal Finance (Not Investing)
Topic: Help with law school decision
Replies: 41
Views: 2065

Re: Help with law school decision

She needs to think of where she wants to practice, what she wants to practice, and who she wants to practice with before thinking about where she wants to go to school. Is she trying for biglaw, with $160k-ish starting salaries? Does she like working about 2200 hours+ per year? For years on end? Or ...
by samsdad
Sat Mar 23, 2019 6:04 am
Forum: Investing - Theory, News & General
Topic: The 17th Century Bond That’s Still Paying Interest
Replies: 14
Views: 3044

Re: The 17th Century Bond That’s Still Paying Interest

Fascinating article in the link. Thanks for sharing.
by samsdad
Thu Mar 21, 2019 7:22 pm
Forum: Investing - Theory, News & General
Topic: Simulating Returns of Leveraged ETFs
Replies: 174
Views: 10170

Re: Simulating Returns of Leveraged ETFs

Back to volatility in the early days... I finalized an update of the leveraged model, generating numbers which seem more realistic for the first few decades than the coarse assumptions I made before. For the S&P 500, the net effect is that the intra-month volatility numbers up to 1987 have been upd...
by samsdad
Sun Mar 17, 2019 12:29 pm
Forum: Personal Consumer Issues
Topic: Calling Volvo and Audi owners! Reliabilty questions
Replies: 61
Views: 3510

Re: Calling Volvo and Audi owners! Reliabilty questions

I've owned/leased more Volvos than I care to admit. All have been very reliable.* I briefly had an Audi S4, and I didn't have it long enough to opine upon reliability. I hear the 100k timing chain in the back of the engine by the firewall can be a treat to replace for your wallet (that is to say, yo...
by samsdad
Sat Mar 16, 2019 4:40 pm
Forum: Investing - Theory, News & General
Topic: Simulating Returns of Leveraged ETFs
Replies: 174
Views: 10170

Re: Simulating Returns of Leveraged ETFs

siamond wrote:
Sat Mar 16, 2019 3:24 pm
I am still sitting on this.
Just wanted to thank you again, as well as Kevin M, for your dedication to this project.
by samsdad
Fri Mar 15, 2019 7:55 pm
Forum: Personal Investments
Topic: Most people wish they invested more and sooner. Any of you wish they invested less?
Replies: 38
Views: 4259

Re: Most people wish they invested more and sooner. Any of you wish they invested less?

BogleFanGal wrote:
Fri Mar 15, 2019 6:15 pm
StandingRock wrote:
Fri Mar 15, 2019 10:26 am
Wiggums wrote:
Fri Mar 15, 2019 9:26 am
I do regret not understanding taxes much earlier.
Same here. To all of America, You're welcome.
I'll third that. For every Boglehead who's reaped the rewards of tax efficiency, I've paid extra to make up the lost revenue they saved.
Fourth
by samsdad
Thu Mar 14, 2019 12:46 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 1406
Views: 76085

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

Any idea why there's such a large discrepancy between what data you're looking at, and what I'm getting on PV with the SCV asset class (which is based on Professor Kenneth French's Research Data for 1972-1998, and Vanguard Small Cap Value Index Fund (VISVX) 1999+), and Siamond's simulated data for ...
by samsdad
Thu Mar 14, 2019 11:24 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 1406
Views: 76085

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

. . . looking at periods where rates bounced around but returned to where they started ("flat" markets), I have found mixed data. sometimes, like the last 10 years, the strategy has worked well. other times, like between '86-'96 or '93-'07 it hasn't outperformed 100% small-cap value. if you include...
by samsdad
Tue Mar 12, 2019 3:44 pm
Forum: Personal Investments
Topic: Markel Corp (MKL) anyone?
Replies: 11
Views: 614

Re: Markel Corp (MKL) anyone?

Howdy BHers, I'm thinking about investing some money (less than 5% of my total portfolio) in Markel Corporation (MKL) in taxable. I don't necessarily think MKL will beat the SP500 or total US market going forward but I do think it'll produce consistent decent return much like Berkshire (BRK.B). The...
by samsdad
Mon Mar 11, 2019 8:14 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 1406
Views: 76085

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

I'm trying to imagine what the naysayers will come up with 20 years from now when interest rates are still around 4% and I've turned my $100k into $10M. "Man, you got so lucky the Fed didn't inexplicably unlearn the lessons of the Great Inflation and thereby cause another surge in interest rates, i...
by samsdad
Sun Mar 10, 2019 3:35 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 1406
Views: 76085

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

Can you point to a chart, which would simulate the annual total return (nominal and real) for an intermediate treasury fund starting in the 50s? (I’m obviously acknowledging that one didn’t exist for a large portion of the timeframe.) columbia, I don't know if this helps, but here is a chart of the...
by samsdad
Sat Mar 09, 2019 11:40 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 1406
Views: 76085

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

I’m pondering doing this in my tax-deferred IRA at Fidelity (don’t have a Roth). Are these ETFs readily available? Is it as simple as selling current assets and buying UPRO/TMF? Any other hoops to go through? At Fidelity, I had to sign a "Designated Investments Agreement" to indicate that I was an ...
by samsdad
Sat Mar 09, 2019 7:23 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 1406
Views: 76085

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

So with this new data, I think the bottom line for the strategy is this: If you believe we will ever return to the Federal Reserve interest rate regime of pre-1982, then you should probably not pursue this. If, however, you believe that the Fed post-Volcker is a fundamentally different place, relia...
by samsdad
Fri Mar 08, 2019 7:45 pm
Forum: Investing - Theory, News & General
Topic: Simulating Returns of Leveraged ETFs
Replies: 174
Views: 10170

Re: Simulating Returns of Leveraged ETFs

From what I can tell, the great recession wouldn't have killed any of the imaginary 3X funds mentioned. The only thing that can "kill" a 3x leveraged fund is a single-day 33.34% decline in the underlying index. To date, the single largest daily decline in the emerging markets index is about 12%. Be...
by samsdad
Fri Mar 08, 2019 12:33 pm
Forum: Investing - Theory, News & General
Topic: Why diversification is not a viable strategy?
Replies: 192
Views: 9119

Re: Why diversification is not a viable strategy?

Besides the fact that gold is not a good hedge against inflation, diversification is not a magic pill. It will simply tend to reduce the effects of a market downturn. As such, it is a little unclear what the OP means by “viable”. Thesaints, Gold is not a hedge against inflation. It is a hedge again...
by samsdad
Fri Mar 08, 2019 11:07 am
Forum: Investing - Theory, News & General
Topic: Why diversification is not a viable strategy?
Replies: 192
Views: 9119

Re: Why diversification is not a viable strategy?

Q) We may have hyper-inflation. A) Buy some physical gold jewelry or gold coins I would answer that: Buy I-bonds BogleMelon, https://www.investopedia.com/terms/h/hyperinflation.asp <<Hyperinflation occurs when the inflation rate exceeds 50% for a period of a month.>> KlangFool If we have an inflati...
by samsdad
Thu Mar 07, 2019 5:31 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 1406
Views: 76085

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

NOW, it might not return in my lifetime, but I've said from the start, this might be for my daughters and not me. And, we haven't gotten to the other half of the pie yet. If you want to go 100% UPRO, go for it. I am fairly certain neither of us are saying that is as good idea so this is entirely a ...
by samsdad
Thu Mar 07, 2019 4:37 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 1406
Views: 76085

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

I have another thought experiment for you kids: let’s say that, in an alternate universe, the S&P500 behaved like UPRO behaves in this universe—we would think that the 16-20% CAGR of the “alternate universe S&P500” and its larger volatility were the norm; the benchmark; how the “market” just natura...
by samsdad
Thu Mar 07, 2019 4:15 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 1406
Views: 76085

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

I have another thought experiment for you kids: let’s say that, in an alternate universe, the S&P500 behaved like UPRO behaves in this universe—we would think that the 16-20% CAGR of the “alternate universe S&P500” and its larger volatility were the norm; the benchmark; how the “market” just natura...
by samsdad
Thu Mar 07, 2019 4:04 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 1406
Views: 76085

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

I have another thought experiment for you kids: let’s say that, in an alternate universe, the S&P500 behaved like UPRO behaves in this universe—we would think that the 16-20% CAGR of the “alternate universe S&P500” and its larger volatility were the norm; the benchmark; how the “market” just natural...
by samsdad
Thu Mar 07, 2019 3:53 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 1406
Views: 76085

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

I would challenge you to find another strategy that has been more dissected on Bogleheads than this one. Oh, I'm sure it will definitely work then. I stand corrected. :oops: Look, I'm NOT saying you're wrong. But it doesn't matter how many intricate backtests you do, they don't prove it will work g...
by samsdad
Thu Mar 07, 2019 3:41 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 1406
Views: 76085

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

I would challenge you to find another strategy that has been more dissected on Bogleheads than this one. Oh, I'm sure it will definitely work then. I stand corrected. :oops: Look, I'm NOT saying you're wrong. But it doesn't matter how many intricate backtests you do, they don't prove it will work g...
by samsdad
Thu Mar 07, 2019 1:59 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 1406
Views: 76085

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

HomerJ wrote:
Thu Mar 07, 2019 1:14 pm
EVERY strategy that failed, at one point, backtested well.
HomerJ, I was waiting for you to re-enter the octagon. I'm genuinely curious: what's your AA? How did you arrive at that AA? Did you ever backtest it?
by samsdad
Wed Mar 06, 2019 6:31 pm
Forum: Personal Investments
Topic: Any reason to avoid a 33% large/mid/small cap portfolio in this scenario?
Replies: 9
Views: 762

Re: Any reason to avoid a 33% large/mid/small cap portfolio in this scenario?

Thank you in advance for your input. My wife and I are both 30 and are at least 30 years away from retirement. We front-load our 401Ks and allocate aggressively. Our accounts are equal in size. Her 401K is 100% allocated in VTSAX. On my side, I am considering a 3-fund portfolio with approximately 3...
by samsdad
Wed Mar 06, 2019 3:45 pm
Forum: Investing - Theory, News & General
Topic: Is a Fidelity VISA 2% cashback contribution to a Roth IRA tax-free?
Replies: 31
Views: 4931

Re: Is a Fidelity VISA 2% cashback contribution to a Roth IRA tax-free?

Ketawa wrote:
Wed Mar 06, 2019 3:42 pm
samsdad wrote:
Wed Mar 06, 2019 3:32 pm
So it’d be a tIRA contribution that counts against my yearly limits, but it would lower my taxable income by that amount; then it would then raise it by the same amount when converted to Roth? So a zero sum w/re to my taxable income?
Yes.
Thanks.
by samsdad
Wed Mar 06, 2019 3:32 pm
Forum: Investing - Theory, News & General
Topic: Is a Fidelity VISA 2% cashback contribution to a Roth IRA tax-free?
Replies: 31
Views: 4931

Re: Is a Fidelity VISA 2% cashback contribution to a Roth IRA tax-free?

Well, crap, I guess I’ll re-ask my question. I had restarted this dead thread yesterday and thought I figured out the answer so I deleted it. But now I’m not sure. If my CC points are deposited into my tIRA are they considered a contribution? What if I then convert that money to my Roth, is that no...
by samsdad
Wed Mar 06, 2019 3:18 pm
Forum: Investing - Theory, News & General
Topic: Is a Fidelity VISA 2% cashback contribution to a Roth IRA tax-free?
Replies: 31
Views: 4931

Re: Is a Fidelity VISA 2% cashback contribution to a Roth IRA tax-free?

Well, crap, I guess I’ll re-ask my question. I had restarted this dead thread yesterday and thought I figured out the answer so I deleted it. But now I’m not sure. If my CC points are deposited into my tIRA are they considered a contribution? What if I then convert that money to my Roth, is that now...
by samsdad
Wed Mar 06, 2019 10:42 am
Forum: Personal Consumer Issues
Topic: Objective news source?
Replies: 69
Views: 1549

Re: Objective news source?

There is no objective news source today. None. I’d wager there never has been.
by samsdad
Wed Mar 06, 2019 10:39 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 1406
Views: 76085

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

I apologize if this has already been answered, I believe that the fact borrowing rates were higher in the past the simulated data has been adjusted to account for the higher costs? How exactly was that calculated? And how frequently was it adjusted (ie each year was it adjusted to that years averag...
by samsdad
Wed Mar 06, 2019 10:02 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 1406
Views: 76085

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

I apologize if this has already been answered, I believe that the fact borrowing rates were higher in the past the simulated data has been adjusted to account for the higher costs? How exactly was that calculated? And how frequently was it adjusted (ie each year was it adjusted to that years averag...
by samsdad
Wed Mar 06, 2019 9:11 am
Forum: Personal Consumer Issues
Topic: Anyone have a strategy for buying a higher end, low mile used car (especially in remote area)?
Replies: 14
Views: 1152

Re: Anyone have a strategy for buying a higher end, low mile used car (especially in remote area)?

My dad who lives in California bought a CPO 2016 Lexus LS 460 L from a dealer in Oklahoma about six months ago. Never saw but a few external pictures of it before buying. It was shipped to his doorstep on the back of a car carrier. He sent a check, they shipped the car. The paperwork with California...
by samsdad
Wed Mar 06, 2019 8:47 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 1406
Views: 76085

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

I apologize if this has already been answered, I believe that the fact borrowing rates were higher in the past the simulated data has been adjusted to account for the higher costs? How exactly was that calculated? And how frequently was it adjusted (ie each year was it adjusted to that years averag...
by samsdad
Wed Mar 06, 2019 8:39 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 1406
Views: 76085

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

Exploding -- Begins trailing a simple 100% S&P strategy for an extended period of time (say 5+ years, though I'd like to look for cases of 3 or 4 years as well). I was kind of hoping to run the data myself and examine the pXX drawdowns, CAGR's and periods where it trailed the S&P etc. How did pezbl...
by samsdad
Wed Mar 06, 2019 6:02 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 1406
Views: 76085

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

Does anyone have a good mechanism to do firecalc style Monte Carlo sims? I'd like to simulate the portfolio over every possible starting point for days which we have data and see how often it explodes. PV has this feature but they don't let you do it on an arbitrary dataset :/ . I didn’t have any p...
by samsdad
Tue Mar 05, 2019 8:06 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 1406
Views: 76085

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

Gonna do some cutting and pasting of some relevant stuff so hold on, it's gonna be big! This might be a stupid question but if interest rates go up and you are in a long term bond fund do the rate for them go up ? I am not as familiar with bond funds and just wanted to know. No, the bond fund won't ...
by samsdad
Tue Mar 05, 2019 6:28 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 1406
Views: 76085

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

What does it look like if you just naively use this data to backtest the 40/60 3x portfolio, i.e. 120 vfinx analogue, 180 this data, -200 cashx, rebalanced quarterly? I don't think that's been posted yet? Well, how about if I did 300 for the LTT data and -200 CASHX? If there are children or small a...
by samsdad
Tue Mar 05, 2019 5:58 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 1406
Views: 76085

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

A test of the quick-and-dirty method of 300 TLT (the ETF that underlies TMF) and -200 CASHX provided a CAGR since January 2010 of some 13.73%, whereas TMF only has had a 10.95% CAGR since that date. Good thing we're rebalancing into those equities on a regular basis! On a more serious note, I've loo...
by samsdad
Tue Mar 05, 2019 5:44 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 1406
Views: 76085

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

What does it look like if you just naively use this data to backtest the 40/60 3x portfolio, i.e. 120 vfinx analogue, 180 this data, -200 cashx, rebalanced quarterly? I don't think that's been posted yet? Well, how about if I did 300 for the LTT data and -200 CASHX? If there are children or small a...
by samsdad
Tue Mar 05, 2019 5:30 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 1406
Views: 76085

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

http://i65.tinypic.com/332ozn8.jpg This is the monthly LTT data from '53-'18 that was posted way upthread by AlohaJoe. This is of course the unleveraged returns. I don't recall it being posted in graph form, so I thought I would present this to you for your viewing pleasure, and for those of you wh...
by samsdad
Tue Mar 05, 2019 5:11 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 1406
Views: 76085

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

http://i65.tinypic.com/332ozn8.jpg This is the monthly LTT data from '53-'18 that was posted way upthread by AlohaJoe. This is of course the unleveraged returns. I don't recall it being posted in graph form, so I thought I would present this to you for your viewing pleasure, and for those of you wh...
by samsdad
Tue Mar 05, 2019 1:25 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 1406
Views: 76085

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

As someone who put their entire Roth into this strategy, 10% of assets, I'm skeptical these returns will continue for at least another couple of decades and $80k or $100k will turn into millions. That would be awesome but I'm certainly not counting on that happening. How would this strategy compare...
by samsdad
Tue Mar 05, 2019 10:58 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 1406
Views: 76085

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

Sorry if this has already been asked, but how do we get PV to show us historical data on “UPROSIM” and “TMFSIM”? Is that only available to those who manually entered all the data and saved it as a custom portfolio? Is there a way to download it and “upload” it into our own PV account? Appreciate al...
by samsdad
Mon Mar 04, 2019 12:33 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 1406
Views: 76085

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

MotoTrojan wrote:
Mon Mar 04, 2019 12:15 pm
I am not advocating allocating based on recent past, let alone a portion of a day, but I quite enjoyed the dance TMF and UPRO went on this morning.
You're not supposed to peek until it's time to rebalance. Are you . . . having doubts?
by samsdad
Mon Mar 04, 2019 10:40 am
Forum: Investing - Theory, News & General
Topic: Simulating Returns of Leveraged ETFs
Replies: 174
Views: 10170

Re: Simulating Returns of Leveraged ETFs

Sidetracking from bonds for a few... I stumbled upon the fact that both S&P and MSCI actually maintain indices for 2x leveraged funds: https://us.spindices.com/indices/strategy/sp-500-2x-leverage-daily-index https://us.spindices.com/documents/methodologies/methodology-index-math.pdf (start at page ...
by samsdad
Sun Mar 03, 2019 9:28 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 1406
Views: 76085

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

Interesting. Some of those periods are long and different enough (namely Nov 2007 to Dec 2018) to be worth a deeper dive into which event gave a 3% CAGR improvement; could potentially help inform some better rules-based rebalancing. I suspected that it was just a simple matter of timing and I was r...
by samsdad
Sun Mar 03, 2019 9:18 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 1406
Views: 76085

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

In the back-test you show a CAGR of 16.71%, but elsewhere you mentioned you expected a CAGR in the mid-20s. Can you explain the discrepancy? Thanks, Dan Dan, the first sentence in the OP mentions the update: UPDATE: With the progress that has been made by EfficientInvestor, siamond, JackoC and othe...
by samsdad
Sun Mar 03, 2019 8:49 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 1406
Views: 76085

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

Just a quick PV backtest on my phone shows the 500 investor got a 0.32% CAGR for the Jan. 2000 to Dec. 2010 period whereas the 40/60 3x returned a 6.96% CAGR. Edit: I previously posted a different number due to my error in looking at the wrong window on my phone just now. No more posting from me til...