Search found 502 matches

by robertmcd
Fri Sep 13, 2019 10:33 am
Forum: Investing - Theory, News & General
Topic: Multifactor vs specialized factor funds
Replies: 15
Views: 871

Re: Multifactor vs specialized factor funds

If I was going to buy a US factor fund. VFMF would be my top choice. Low ER, only ETF with daily rebalancing, solid # of stocks across market cap, positive momentum loading. Would be comfortable holding it as my sole US holding.
by robertmcd
Fri Sep 13, 2019 9:32 am
Forum: Investing - Theory, News & General
Topic: What does "Yankee/Foreign" mean?
Replies: 12
Views: 1434

Re: What does "Yankee/Foreign" mean?

It is a foreign bond issued by a bank or company that is denominated in US dollars.
by robertmcd
Thu Sep 12, 2019 11:40 am
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 252
Views: 25493

Re: Small Cap Value heads Rejoice !!!

IMO the reason for the value rally was simply due to the duration unwind and some lagging inflation. I see no rebound in growth/higher interest rates that should help value in the long run. Even lower growth in the next business cycle, with even lower interest rates. The inflation we are seeing is n...
by robertmcd
Thu Sep 12, 2019 11:30 am
Forum: Investing - Theory, News & General
Topic: Long duration is the "Sharpe" choice for aggressively positioned portfolios
Replies: 39
Views: 1351

Re: Long duration is the "Sharpe" choice for aggressively positioned portfolios

There's an article on Morningstar.com this morning that articulates the rationale for investors with equity-heavy portfolios to be using long-duration bonds as diversifiers. How to Diversify Assets Like a Pro When You Own a Lot of Equities Some excerpts: Clearly, long duration has been as hot as th...
by robertmcd
Thu Sep 12, 2019 10:19 am
Forum: Investing - Theory, News & General
Topic: Long duration is the "Sharpe" choice for aggressively positioned portfolios
Replies: 39
Views: 1351

Re: Long duration is the "Sharpe" choice for aggressively positioned portfolios

Those of us who are serious about this use Extended Duration funds. Substitute PEDIX for VUSUX and the drawdown decreases to -31%. Leveraged short term treasuries have been even sharper since 1991: And are the "top allocation teams" at Fidelity, T. Rowe Price, and elsewhere using STRIPS and leverag...
by robertmcd
Wed Sep 11, 2019 4:03 pm
Forum: Personal Investments
Topic: Too Late To Get Back Into Stocks?
Replies: 114
Views: 8562

Re: Too Late To Get Back Into Stocks?

Eliminate cash as an asset class. 10% US stocks 90% short term treasuries 25% US stocks 75% intermediate treasuries Personally the 25% stocks, 75% intermediate treasuries portfolio is the lowest risk portfolio I would probably ever want to hold. Only other option I would consider is a bunch of CD's ...
by robertmcd
Wed Sep 11, 2019 3:36 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 859
Views: 45651

Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Can some explain to me what the corresponding VTI/EDV ratio would be to match the 55/45 upro/tmf 60/40 VTI/EDV is risk parity 40/60 UPRO/TMF is risk parity New allocation based on historical data : 55/45 UPRO/TMF ?/? VTI/EDV To answer your original question though it looks like 70% S&P500 (VTI shou...
by robertmcd
Wed Sep 11, 2019 3:21 pm
Forum: Investing - Theory, News & General
Topic: How would one go about shorting Eurozone bonds?
Replies: 22
Views: 1086

Re: How would one go about shorting Eurozone bonds?

Shorting sovereign bonds is a great way to lose money. Or you could go long and just guarantee to lose money, since they are negative yield? If I short them, do I get paid implied coupons? Head spinning? :sharebeer Losing money in nominal terms, but not real terms due to deflation. That was my cent...
by robertmcd
Wed Sep 11, 2019 2:46 pm
Forum: Investing - Theory, News & General
Topic: How would one go about shorting Eurozone bonds?
Replies: 22
Views: 1086

Re: How would one go about shorting Eurozone bonds?

Shorting sovereign bonds is a great way to lose money.
by robertmcd
Wed Sep 11, 2019 2:41 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 859
Views: 45651

Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Can some explain to me what the corresponding VTI/EDV ratio would be to match the 55/45 upro/tmf 60/40 VTI/EDV is risk parity 40/60 UPRO/TMF is risk parity New allocation based on historical data : 55/45 UPRO/TMF ?/? VTI/EDV EDV has an average duration of 24 years while I believe TMF is closer to 5...
by robertmcd
Wed Sep 11, 2019 12:09 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 859
Views: 45651

Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Can some explain to me what the corresponding VTI/EDV ratio would be to match the 55/45 upro/tmf

60/40 VTI/EDV is risk parity
40/60 UPRO/TMF is risk parity

New allocation based on historical data :

55/45 UPRO/TMF

?/? VTI/EDV
by robertmcd
Wed Sep 11, 2019 10:30 am
Forum: Personal Investments
Topic: Has the bond bubble finally arrived? If so, is anyone doing anything about it?
Replies: 86
Views: 8992

Re: Has the bond bubble finally arrived? If so, is anyone doing anything about it?

Hector wrote:
Wed Sep 11, 2019 10:10 am
robertmcd wrote:
Tue Sep 10, 2019 2:22 pm
livesoft wrote:
Tue Sep 10, 2019 2:17 pm
Total US Bond Index funds have lost about 1% of their value in the past few days (even accounting for the monthly dividend), so something got pricked.
Buy the dip in bonds just like buy the dip in stocks. They are both going to infinity.
1% down = dip :?:
EDV down like 7%
by robertmcd
Tue Sep 10, 2019 4:18 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 859
Views: 45651

Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

^ shorter end of the curve tends to be steeper. Investors like pensions and insurance have to go out further for liability matching. Short term treasuries don't have a very high return without leverage, and many pensions/endowments/funds are not allowed to use leverage. Short term rates drop more th...
by robertmcd
Tue Sep 10, 2019 2:22 pm
Forum: Personal Investments
Topic: Has the bond bubble finally arrived? If so, is anyone doing anything about it?
Replies: 86
Views: 8992

Re: Has the bond bubble finally arrived? If so, is anyone doing anything about it?

livesoft wrote:
Tue Sep 10, 2019 2:17 pm
Total US Bond Index funds have lost about 1% of their value in the past few days (even accounting for the monthly dividend), so something got pricked.
Buy the dip in bonds just like buy the dip in stocks. They are both going to infinity.
by robertmcd
Mon Sep 09, 2019 6:13 pm
Forum: Personal Investments
Topic: Has the bond bubble finally arrived? If so, is anyone doing anything about it?
Replies: 86
Views: 8992

Re: Has the bond bubble finally arrived? If so, is anyone doing anything about it?

Rebalanced into VTI from EDV mid August. We are set for a blow off top/new all time highs in US stocks along with higher yields in the short term, but don't let this convince you to abandon treasuries. My prediction is recession arrives sometime between November 2019-November 2020 which will see the...
by robertmcd
Thu Sep 05, 2019 3:55 pm
Forum: Investing - Theory, News & General
Topic: Treasury STRIPS Liquidity
Replies: 2
Views: 343

Treasury STRIPS Liquidity

Anyone have any good info on how liquid a fund like EDV as well as its underlying STRIPS will be in the event of a total collapse like the GFC? I'm talking meltdown scenario where long term treasuries go exponential and we see credit spreads blow out and high yield ETFs spreads blow out for example....
by robertmcd
Thu Sep 05, 2019 1:58 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 859
Views: 45651

Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Yeah I can understand going for the gold if it is that small of a slice. I basically use this strategy for my entire net worth but with much less leverage. Do you have more info on your total portfolio somewhere? Always interesting to see. 60% VTI 40% EDV Big rebalance on August 15th from EDV to VT...
by robertmcd
Thu Sep 05, 2019 1:27 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 859
Views: 45651

Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Yeah I can understand going for the gold if it is that small of a slice. I basically use this strategy for my entire net worth but with much less leverage. Do you have more info on your total portfolio somewhere? Always interesting to see. 60% VTI 40% EDV Big rebalance on August 15th from EDV to VT...
by robertmcd
Thu Sep 05, 2019 11:06 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 859
Views: 45651

Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Not mention NASDAQ is not an approximation of the US stock market, whereas S&P 500 is pretty close. I don't want to bet on treasury correlations with anything more specific than S&P 500. Look at value/growth divergence right now. NASDAQ is essentially tech megacap growth, if there is a reversion to...
by robertmcd
Thu Sep 05, 2019 10:02 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 859
Views: 45651

Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Not mention NASDAQ is not an approximation of the US stock market, whereas S&P 500 is pretty close. I don't want to bet on treasury correlations with anything more specific than S&P 500. Look at value/growth divergence right now. NASDAQ is essentially tech megacap growth, if there is a reversion to...
by robertmcd
Wed Sep 04, 2019 11:06 pm
Forum: Investing - Theory, News & General
Topic: this time it's different
Replies: 92
Views: 10106

Re: this time it's different

I can tell you this. Things are getting worse and worse. If things go as most experts say they will, we would be better off investing outside the stock market. What if things go as other experts say they will? And how do we know who is an "expert", anyway? Serious question. Things are getting worse...
by robertmcd
Wed Sep 04, 2019 5:30 pm
Forum: Personal Investments
Topic: Has the bond bubble finally arrived? If so, is anyone doing anything about it?
Replies: 86
Views: 8992

Re: Has the bond bubble finally arrived? If so, is anyone doing anything about it?

Alan Greenspan conveys that soon negative interest rates will spread to the U.S. Unbelievable, you pay them to hold on to your money. Utter madness. Seems as if everyone is intentionally being cornered to take on more risk in the stock market. For last few years there were multiple posts about inte...
by robertmcd
Wed Sep 04, 2019 4:26 pm
Forum: Personal Investments
Topic: Has the bond bubble finally arrived? If so, is anyone doing anything about it?
Replies: 86
Views: 8992

Re: Has the bond bubble finally arrived? If so, is anyone doing anything about it?

is anyone doing anything about it? First, I would not increase duration or take a new leveraged bond position today. There's several recent posts on this forum from people excited about long bonds or leveraging bond exposure. Much of that may be performance chasing. Agreed. What other explanation c...
by robertmcd
Wed Sep 04, 2019 4:02 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 859
Views: 45651

Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Not mention NASDAQ is not an approximation of the US stock market, whereas S&P 500 is pretty close. I don't want to bet on treasury correlations with anything more specific than S&P 500. Look at value/growth divergence right now. NASDAQ is essentially tech megacap growth, if there is a reversion to ...
by robertmcd
Tue Sep 03, 2019 11:57 am
Forum: Non-US Investing
Topic: The cost of hedging for aggregate bond investors
Replies: 13
Views: 846

Re: The cost of hedging for aggregate bond investors

Hedging does not cost 3% right in international/US bond land right now, it is close to free. Hedging does affect the yield of the bond you are buying in terms of currencies. Right now I would guess it is around 2% between EUR and USD bonds. As a US investor you can buy a -.73% German 10 yr bond, and...
by robertmcd
Tue Sep 03, 2019 11:46 am
Forum: Investing - Theory, News & General
Topic: Uncle Fred’s Second Coin – The Case for Leveraged Bonds
Replies: 126
Views: 6782

Re: Uncle Fred’s Second Coin – The Case for Leveraged Bonds

What gets me about EDV (or PEDIX, which has been around since Sep 2006) is that the sharpe ratio has been substantially lower than that of leverage STT since the inception of PEDIX. Once you decide to play the anti-correlation game, the Sharpe Ratios of individual components are no longer relevant....
by robertmcd
Tue Sep 03, 2019 10:10 am
Forum: Investing - Theory, News & General
Topic: Uncle Fred’s Second Coin – The Case for Leveraged Bonds
Replies: 126
Views: 6782

Re: Uncle Fred’s Second Coin – The Case for Leveraged Bonds

What gets me about EDV (or PEDIX, which has been around since Sep 2006) is that the sharpe ratio has been substantially lower than that of leverage STT since the inception of PEDIX. Once you decide to play the anti-correlation game, the Sharpe Ratios of individual components are no longer relevant....
by robertmcd
Fri Aug 30, 2019 10:48 am
Forum: Investing - Theory, News & General
Topic: Uncle Fred’s Second Coin – The Case for Leveraged Bonds
Replies: 126
Views: 6782

Re: Uncle Fred’s Second Coin – The Case for Leveraged Bonds

Intermediate term treasuries are also very good to leverage. I think as of right now with the recent drop the 5 yr would have been the best place to be. I can definitely see the merit in having exposure across the curve from 2-30 yrs with less leverage vs. just the 2 yr to mitigate behavioral mistak...
by robertmcd
Fri Aug 30, 2019 9:35 am
Forum: Investing - Theory, News & General
Topic: Uncle Fred’s Second Coin – The Case for Leveraged Bonds
Replies: 126
Views: 6782

Re: Uncle Fred’s Second Coin – The Case for Leveraged Bonds

I agree there are more postings about leveraging this year compared to last year. Unsure about the significance of this trend. Appetite for leverage linearly increases based on number of years since the last recession. Leveraged bonds would seem to do well in said recession so kind of counter to th...
by robertmcd
Fri Aug 30, 2019 9:21 am
Forum: Investing - Theory, News & General
Topic: How far out does total international bond hedge currencies?
Replies: 7
Views: 410

Re: How far out does total international bond hedge currencies?

I am wondering how long of FX contracts a bond fund like vanguard total international bond hedges with vs. its actual maturity? From what I have gathered they rarely cover the full life of the bonds, so changes in short policy rates are important in the carry trade being put on vs unwound. From the...
by robertmcd
Thu Aug 29, 2019 10:47 am
Forum: Investing - Theory, News & General
Topic: How far out does total international bond hedge currencies?
Replies: 7
Views: 410

Re: How far out does total international bond hedge currencies?

I guess what I am wondering is that if the Fed brings down short term rates, will that make long term US treasury yields even more attractive to international investors and even US investors that were previously earning the currency hedge return. Because they are only hedging out to 1 yr and were no...
by robertmcd
Thu Aug 29, 2019 10:36 am
Forum: Investing - Theory, News & General
Topic: "The Best Diversifiers For Your Equity Portfolio"
Replies: 126
Views: 10291

Re: "The Best Diversifiers For Your Equity Portfolio"

^ 2018 was a horrible year for risk parity vs. the benchmark, but it has done incredible in 2019. That is a common occurrence with the strategy, but over the long term its results have been impressive in minimizing max drawdown and providing high SWR.
by robertmcd
Thu Aug 29, 2019 10:28 am
Forum: Investing - Theory, News & General
Topic: How far out does total international bond hedge currencies?
Replies: 7
Views: 410

How far out does total international bond hedge currencies?

I am wondering how long of FX contracts a bond fund like vanguard total international bond hedges with vs. its actual maturity? From what I have gathered they rarely cover the full life of the bonds, so changes in short policy rates are important in the carry trade being put on vs unwound.
by robertmcd
Thu Aug 29, 2019 10:24 am
Forum: Investing - Theory, News & General
Topic: Bond Investors Making A Killing
Replies: 85
Views: 8804

Re: Bond Investors Making A Killing

My prediction is that we will have a short term increase in the long term yields along with a stock market rally, followed by a large collapse in stocks bringing long term bond yields to new lows. 10 yr treasury down to 0.5% to 1%, 30 yr to 1% to 1.5%. Not the time to load up on long duration treasu...
by robertmcd
Wed Aug 28, 2019 1:46 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 859
Views: 45651

Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Is anyone considering: 1. Lowering the total leverage because you believe it's too high for optimal returns and/or to reduce risk? 2. Adding any assets that would protect against an inflationary environment? I have done #1 with my core holding of 43/57 UPRO/EDV. Also specifically eliminates volatil...
by robertmcd
Wed Aug 28, 2019 1:29 pm
Forum: Investing - Theory, News & General
Topic: Uncle Fred’s Second Coin – The Case for Leveraged Bonds
Replies: 126
Views: 6782

Re: Uncle Fred’s Second Coin – The Case for Leveraged Bonds

As for LTTs, I prefer not to use them due to the additional term risk. I prefer to use shorter term treasuries with additional leverage. Can you help me understand this? If you leverage 2yr to have the same effective duration as 20yr, how is your risk/performance vastly different? 2 yr has higher s...
by robertmcd
Wed Aug 28, 2019 11:15 am
Forum: Investing - Theory, News & General
Topic: Uncle Fred’s Second Coin – The Case for Leveraged Bonds
Replies: 126
Views: 6782

Re: Uncle Fred’s Second Coin – The Case for Leveraged Bonds

As for LTTs, I prefer not to use them due to the additional term risk. I prefer to use shorter term treasuries with additional leverage. Can you help me understand this? If you leverage 2yr to have the same effective duration as 20yr, how is your risk/performance vastly different? 2 yr has higher s...
by robertmcd
Wed Aug 28, 2019 10:46 am
Forum: Personal Consumer Issues
Topic: Diesel Chevy Equinox a good idea?
Replies: 36
Views: 1455

Re: Diesel Chevy Equinox a good idea?

Nope. New diesel's that don't cheat just don't get good enough enough mileage to compensate for the increased upfront cost, and increased fuel cost. The economic ones also can be very slow at higher speeds when it comes to passing. Get a car with a small turbo 4 cylinder and it will be a great all a...
by robertmcd
Wed Aug 28, 2019 10:00 am
Forum: Personal Consumer Issues
Topic: Purchasing a truck - thoughts?
Replies: 105
Views: 6332

Re: Purchasing a truck - thoughts?

Don't get a canyon, colorado, ranger, tacoma. These small trucks are very overpriced compared to what you can get a full size for. Of the new full size pickups I would go for a F150. The ecoboost engines are so nice when you don't have to downshift and rev for hills when you are on cruise control. L...
by robertmcd
Tue Aug 27, 2019 2:49 pm
Forum: Personal Finance (Not Investing)
Topic: Paying off 0% car loan early
Replies: 52
Views: 2402

Re: Paying off 0% car loan early

Ride it out, and leave the money set aside in a savings account just like you are doing.
by robertmcd
Tue Aug 27, 2019 11:57 am
Forum: Personal Investments
Topic: Leave BAM for Vanguard or Fidelity?
Replies: 61
Views: 4421

Re: Leave BAM for Vanguard or Fidelity?

If I was gonna use any advisor it would probably be BAM. Unfortunately an advisor that put his clients in 100% nasdaq would have done much better, but he will not be sustainable.
by robertmcd
Tue Aug 27, 2019 11:46 am
Forum: Personal Investments
Topic: VTIAX International fund - should I give up on it?
Replies: 116
Views: 11553

Re: VTIAX International fund - should I give up on it?

We can debate this issue for all eternity. It all comes down to what you are comfortable with. People will argue that international someday will shine once again. And that may be, but I am more interested in emerging markets rather than international developed. I have not seen any compelling reason...
by robertmcd
Tue Aug 27, 2019 11:26 am
Forum: Personal Investments
Topic: VTIAX International fund - should I give up on it?
Replies: 116
Views: 11553

Re: VTIAX International fund - should I give up on it?

We can debate this issue for all eternity. It all comes down to what you are comfortable with. People will argue that international someday will shine once again. And that may be, but I am more interested in emerging markets rather than international developed. I have not seen any compelling reason...
by robertmcd
Tue Aug 27, 2019 10:19 am
Forum: Investing - Theory, News & General
Topic: U.S. stocks in free fall
Replies: 12035
Views: 2047449

Re: U.S. stocks in free fall

This baby is about to melt down
by robertmcd
Tue Aug 27, 2019 9:14 am
Forum: Investing - Theory, News & General
Topic: Uncle Fred’s Second Coin – The Case for Leveraged Bonds
Replies: 126
Views: 6782

Re: Uncle Fred’s Second Coin – The Case for Leveraged Bonds

If you want to avoid this negative spread, you can use Fed funds futures or eurodollar futures to go shorter than 2 yrs. You will need to up the leverage higher than 6x due to the shorter duration. Also think in terms of change in yield, the 3 mo t bill has the longest way to fall as of right now, ...
by robertmcd
Mon Aug 26, 2019 5:39 pm
Forum: Investing - Theory, News & General
Topic: Is the US / Ex-US global cap still around 50/50?
Replies: 5
Views: 551

Re: Is the US / Ex-US global cap still around 50/50?

I usually just look at VT on vanguards website and check the country weights. It is on a slight lag, but usually close enough. As of 7/31/2019 - US 55.7% https://investor.vanguard.com/etf/profile/portfolio/vt I do the same with iShares' ACWI, which tracks the MSCI index of the same name: https://ww...
by robertmcd
Mon Aug 26, 2019 5:09 pm
Forum: Investing - Theory, News & General
Topic: Is the US / Ex-US global cap still around 50/50?
Replies: 5
Views: 551

Re: Is the US / Ex-US global cap still around 50/50?

I usually just look at VT on vanguards website and check the country weights. It is on a slight lag, but usually close enough.

As of 7/31/2019 - US 55.7%

https://investor.vanguard.com/etf/profile/portfolio/vt
by robertmcd
Mon Aug 26, 2019 3:22 pm
Forum: Investing - Theory, News & General
Topic: Uncle Fred’s Second Coin – The Case for Leveraged Bonds
Replies: 126
Views: 6782

Re: Uncle Fred’s Second Coin – The Case for Leveraged Bonds

If you want to avoid this negative spread, you can use Fed funds futures or eurodollar futures to go shorter than 2 yrs. You will need to up the leverage higher than 6x due to the shorter duration. Also think in terms of change in yield, the 3 mo t bill has the longest way to fall as of right now, ...
by robertmcd
Mon Aug 26, 2019 2:14 pm
Forum: Investing - Theory, News & General
Topic: Uncle Fred’s Second Coin – The Case for Leveraged Bonds
Replies: 126
Views: 6782

Re: Uncle Fred’s Second Coin – The Case for Leveraged Bonds

And what does the leverage cost? For those of us who are do it yourself retail investors, I have to presume the cost will be substantial - maybe exceeding 100% of the total return on the leveraged asset in some cases. It depends which products you use. I'm also a DIY retail investor and I'm current...