Search found 387 matches

by robertmcd
Wed Jun 12, 2019 5:00 pm
Forum: Investing - Theory, News & General
Topic: What is wrong with AQR?
Replies: 116
Views: 6227

Re: What is wrong with AQR?

The problem with managed futures is exactly this. They look great on paper and in backtests, but the real world results are so random that I can't even understand how it is possible that these funds are all using the same strategy.
by robertmcd
Fri Jun 07, 2019 10:03 am
Forum: Investing - Theory, News & General
Topic: What is the rationale for cash in your portfolio?
Replies: 36
Views: 2564

Re: What is the rationale for cash in your portfolio?

The recent price action in stocks and treasury bond prices should tell everyone all they need to know about cash. It will continue to be slaughtered in order to increase asset prices indefinitely. What you are seeing now is known as asset price hyperinflation.
by robertmcd
Thu Jun 06, 2019 2:51 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 2017
Views: 147930

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

With the next recession getting closer, I personally prefer to sacrifice annual returns but to be more protected and have more peace of mind. Has anyone considered: 25% UPRO / 25% ZIV/ 45% TMF/ 5% EDZ Any ideas on how I can back-test this combo? In my opinion, the best way to protect yourself would...
by robertmcd
Tue Jun 04, 2019 1:35 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 2017
Views: 147930

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

So something I noticed today. The 2 yr yield is up by 10 basis points or so, while the 1 yr and shorter yields have all dropped. I had been thinking that at this point in the cycle, if you wanted to keep exposure to the short end of the curve while using leverage thru the futures market, you would ...
by robertmcd
Tue Jun 04, 2019 10:56 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 2017
Views: 147930

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

So something I noticed today. The 2 yr yield is up by 10 basis points or so, while the 1 yr and shorter yields have all dropped. I had been thinking that at this point in the cycle, if you wanted to keep exposure to the short end of the curve while using leverage thru the futures market, you would ...
by robertmcd
Tue Jun 04, 2019 10:44 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 2017
Views: 147930

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

So something I noticed today. The 2 yr yield is up by 10 basis points or so, while the 1 yr and shorter yields have all dropped. I had been thinking that at this point in the cycle, if you wanted to keep exposure to the short end of the curve while using leverage thru the futures market, you would b...
by robertmcd
Tue Jun 04, 2019 10:32 am
Forum: Personal Investments
Topic: Buying treasuries other than ultra short term?
Replies: 45
Views: 2963

Re: Buying treasuries other than ultra short term?

Sorry I fat fingered that. 60% EDV, 40% of mostly VTI/VXUS and some private investments. And yes I am market timing, but I believe there are definitely times where treasuries are undervalued relative to stocks. 2018 and 2019 was a great buying opportunity for treasuries. Much less so now, only issue...
by robertmcd
Tue Jun 04, 2019 10:23 am
Forum: Personal Investments
Topic: Buying treasuries other than ultra short term?
Replies: 45
Views: 2963

Re: Buying treasuries other than ultra short term?

I am a 25 yr old investor, and I am currently around 60% EDV in my portfolio. About to be rebalancing into VTI again though. I can't afford to hold cash, and EDV is the highest possible return bond fund I can buy, and it has the best track record of being negatively correlated with stocks. If rates...
by robertmcd
Tue Jun 04, 2019 10:22 am
Forum: Personal Investments
Topic: Buying treasuries other than ultra short term?
Replies: 45
Views: 2963

Re: Buying treasuries other than ultra short term?

I am a 25 yr old investor, and I am currently around 60% EDV in my portfolio. About to be rebalancing into VTI again though. I can't afford to hold cash, and EDV is the highest possible return bond fund I can buy, and it has the best track record of being negatively correlated with stocks. If rates...
by robertmcd
Fri May 31, 2019 10:50 am
Forum: Investing - Theory, News & General
Topic: Bonds - Throw it all on the table!!!
Replies: 276
Views: 48099

Re: Bonds - Throw it all on the table!!!

An individual investor managing a 25x leveraged portfolio using futures is a fringe case by any measure. Not saying it wouldn’t be exciting, but I feel confident that far fewer people can do it then think they can do it. Or even think they did it. This is certainly true for the population in genera...
by robertmcd
Fri May 31, 2019 9:34 am
Forum: Personal Investments
Topic: Buying treasuries other than ultra short term?
Replies: 45
Views: 2963

Re: Buying treasuries other than ultra short term?

I am a 25 yr old investor, and I am currently around 60% EDV in my portfolio. About to be rebalancing into VTI again though. I can't afford to hold cash, and EDV is the highest possible return bond fund I can buy, and it has the best track record of being negatively correlated with stocks. If rates ...
by robertmcd
Thu May 30, 2019 1:03 pm
Forum: Investing - Theory, News & General
Topic: Bonds - Throw it all on the table!!!
Replies: 276
Views: 48099

Re: Bonds - Throw it all on the table!!!

Backtesting shows holding a portfolio of 90% 2 yr treasuries and 10% US stocks to have the highest sharpe ratio. Lever it up and it performs significantly better than a portfolio consisting of US stocks and long term treasuries. Right now you would be losing to the 3 mo t bill and 2 yr spread, but ...
by robertmcd
Thu May 30, 2019 11:05 am
Forum: Investing - Theory, News & General
Topic: Bonds - Throw it all on the table!!!
Replies: 276
Views: 48099

Re: Bonds - Throw it all on the table!!!

I’m not ignoring it at all. The practical impact of negative convexity on a bond fund is higher price volatility. When you buy a long term bond fund you have already decided to take on high volatility. And also, if you buy long bonds because of their negative correlation to stocks, higher volatilit...
by robertmcd
Wed May 29, 2019 1:06 pm
Forum: Personal Investments
Topic: Buying treasuries other than ultra short term?
Replies: 45
Views: 2963

Re: Buying treasuries other than ultra short term?

The only bonds I own are 20-30 yr treasury strips thru EDV. I sleep way better than when I held a short term treasury or cash allocation out of interest rate fear. You need to own what balances your stock exposure the best, otherwise you are doing nothing other than market timing/ making active bets.
by robertmcd
Wed May 22, 2019 12:43 pm
Forum: Investing - Theory, News & General
Topic: Vanguard ETFs, ranked by diversification benefit
Replies: 66
Views: 4486

Re: Vanguard ETFs, ranked by diversification benefit

As for the hypothesis that current yield curve and/or yield structure is predictive of future correlations, the evidence I've seen don't support that. It's not the yield curve, it is the monetary policies and one should be blind not to see it. Whenever an extra 0.25% change in interest rate is disc...
by robertmcd
Fri May 10, 2019 4:18 pm
Forum: Investing - Theory, News & General
Topic: Any conservative young investors?
Replies: 68
Views: 6382

Re: Any conservative young investors?

Inflation isn’t the risk for a young investor. Deflation is
by robertmcd
Fri May 10, 2019 3:41 pm
Forum: Investing - Theory, News & General
Topic: Any conservative young investors?
Replies: 68
Views: 6382

Re: Any conservative young investors?

I am 25 and have changed my AA quite a bit since learning on this forum. Currently holding a variable asset allocation of VTI/VXUS and EDV along with some private equity investments. Taking into account my private equity investments I am roughly 50/50 stocks and EDV right now. But I need to rebalanc...
by robertmcd
Fri May 10, 2019 10:21 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 2017
Views: 147930

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

Up to this point haven't thought of a real reason what would cause LTT and Equities to become correlated and move down together, clearly a big risk in this strategy. What if China starts dumping their 1+ trillion in US Treasuries in response to this trade war ? If they do this then somebody (wink w...
by robertmcd
Thu May 09, 2019 11:40 pm
Forum: Investing - Theory, News & General
Topic: Understanding using treasury futures for leverage to implement risk parity
Replies: 120
Views: 7583

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

^ this is what the Kessler articles on using treasury futures suggest. Basically during a hiking cycle while the economy is doing well, use long term. But when the long term yields starts to drop while short term rise, you know the short term will follow so move to levered 2 yr position. Basically t...
by robertmcd
Wed May 08, 2019 2:29 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 2017
Views: 147930

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

Is it possible to hold even shorter term futures than the 2 yr with higher leverage in order to avoid this negative spread? For example right now the 6 month yield is slightly higher than the 3 month. Nope. No future contracts on anything shorter. You have to push your average duration out a bit by...
by robertmcd
Wed May 08, 2019 2:16 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 2017
Views: 147930

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

So essentially you can have a max margin of 434x of 2 yr futures. Crazy. But also good I suppose since you are nowhere close to margin call on a 18x leveraged position I think the actual max leverage is around 88. Not sure on where the disconnect is between the $400 and 88. Either way, yes, one is ...
by robertmcd
Wed May 08, 2019 2:10 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 2017
Views: 147930

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

So essentially you can have a max margin of 434x of 2 yr futures. Crazy. But also good I suppose since you are nowhere close to margin call on a 18x leveraged position I think the actual max leverage is around 88. Not sure on where the disconnect is between the $400 and 88. Either way, yes, one is ...
by robertmcd
Wed May 08, 2019 1:43 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 2017
Views: 147930

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

Soooo who wants to step up and use a 12x leveraged portfolio? Is this even possible/sustainable? Oh it is possible. Rob Bertram has a 10/80 (S%P 500/2YRs) levered 25 times. https://www.bogleheads.org/forum/viewtopic.php?t=143037 He ends up with an equity exposure of about 250% and 2YRs of 2500%. Ye...
by robertmcd
Wed May 08, 2019 1:02 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 2017
Views: 147930

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

Sorry that was from portfolio visualizer's tab that only goes back to 04/06/2009 So the performance would be absolutely remarkable if you were willing to use a 120% stock, 1080% 2 yr treasury allocation vs. 120% stock vs. 180% 20+ yr treasury portfolio. Soooo who wants to step up and use a 12x lever...
by robertmcd
Wed May 08, 2019 12:43 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 2017
Views: 147930

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

^ That portfolio 3 performance is pretty remarkable. I would like for hedgefundie to chime in on this. I must have made a mistake on my backtest. But when we say the negative correlation to stocks is higher for long term vs. short term treasuries, such as: -.47 for TLT -.3 for SHY Does the negative ...
by robertmcd
Wed May 08, 2019 12:15 pm
Forum: Personal Finance (Not Investing)
Topic: Does You Invest Count for Chase Sapphire Banking 60k UR bonus?
Replies: 5
Views: 1240

Re: Does You Invest Count for Chase Sapphire Banking 60k UR bonus?

Hi, I am considering buying 75k in VMMXX as well in my You Invest account because the Chase banker told me this would count towards the 60K UR points bonus. Did you ever receive the sign-up bonus by going this route? Thanks in advance for sharing your experience. Yes I did this exactly. Remember yo...
by robertmcd
Wed May 08, 2019 9:26 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 2017
Views: 147930

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

The idea with using 2 years isn't so much that they have less correlation with stocks over the long run than long term notes/bonds. It's that they are specifically during a recession. During a recession the feds push the overnight rate lower and the 2 years are much more reactive to this then long ...
by robertmcd
Tue May 07, 2019 10:28 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 2017
Views: 147930

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

I originally wanted to use 2 yrs as well, due to them having a higher sharpe ratio than 20+ yrs and 2 yr yields falling a larger amount during the past recessions. But you cannot look at them in isolation, and the longest maturities have the most negative correlation to stocks so that is what you ne...
by robertmcd
Tue May 07, 2019 9:44 am
Forum: Investing - Theory, News & General
Topic: International Exposure — A Fresh Look at Your Stock Portfolio
Replies: 104
Views: 6725

Re: International Exposure — A Fresh Look at Your Stock Portfolio

That description of the US fiscal situation applies to every developed market in the world unfortunately. Demographics and less growth per dollar of new debt are weighing in the global economy with deflationary effects. Global monetary policy has been trying to counter this for quite some time, deca...
by robertmcd
Tue May 07, 2019 8:37 am
Forum: Investing - Theory, News & General
Topic: U.S. stocks in free fall
Replies: 11008
Views: 1917312

Re: U.S. stocks in free fall

wake me up if US stocks go down 20% Wake me up when stocks are down for ten years Stock start dropping, treasury yields start dropping, stocks recover cause of lower treasury yields. Like clockwork. Just own the treasuries that give you risk parity. Cash will continue to lose double digits per year...
by robertmcd
Mon May 06, 2019 10:59 pm
Forum: Investing - Theory, News & General
Topic: U.S. stocks in free fall
Replies: 11008
Views: 1917312

Re: U.S. stocks in free fall

wake me up if US stocks go down 20% Wake me up when stocks are down for ten years Stock start dropping, treasury yields start dropping, stocks recover cause of lower treasury yields. Like clockwork. Just own the treasuries that give you risk parity. Cash will continue to lose double digits per year...
by robertmcd
Mon May 06, 2019 10:46 pm
Forum: Personal Investments
Topic: International Fixed Income
Replies: 11
Views: 1041

Re: International Fixed Income

Lots of threads on this. Use the search. :sharebeer
by robertmcd
Mon May 06, 2019 9:45 pm
Forum: Personal Consumer Issues
Topic: Which US city would you move to?
Replies: 74
Views: 7197

Re: Which US city would you move to?

Midland, TX.

Where there is a pretty girl behind every tree.
by robertmcd
Mon May 06, 2019 9:30 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 2017
Views: 147930

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

As far as assets to add to this portfolio in order to hedge the risk of inflation or rising real rates, has anyone considered adding long VIX exposure?
by robertmcd
Fri May 03, 2019 5:11 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 2017
Views: 147930

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

Interesting move today with such strong correlation/symmetry between equities and treasuries. Seems to me that the current market dynamic is one of great sensitivity to interest rates. If the fed decides to raise rates further, it will have an adverse impact on the stock market which has gotten use...
by robertmcd
Fri May 03, 2019 10:04 am
Forum: Investing - Theory, News & General
Topic: I’m still not a fan of international bond funds
Replies: 307
Views: 38103

Re: I’m still not a fan of international bond funds

My biggest issue with respect to the international bond fund, and bonds in general, is that market cap weighting bonds is very different from market cap weighting equities.
by robertmcd
Fri May 03, 2019 9:57 am
Forum: Personal Investments
Topic: Long or medium bonds
Replies: 113
Views: 9792

Re: Long or medium bonds

It is my opinion that when you are young, you should hold a high equity allocation (between 60% and 100%) and the rest should be in long term treasury bonds (I prefer EDV). This is because in the scenario when this strategy gets killed (inflation) your earnings should hopefully keep up with inflati...
by robertmcd
Thu May 02, 2019 4:33 pm
Forum: Personal Investments
Topic: Long or medium bonds
Replies: 113
Views: 9792

Re: Long or medium bonds

It is my opinion that when you are young, you should hold a high equity allocation (between 60% and 100%) and the rest should be in long term treasury bonds (I prefer EDV). This is because in the scenario when this strategy gets killed (inflation) your earnings should hopefully keep up with inflatio...
by robertmcd
Thu May 02, 2019 11:49 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 2017
Views: 147930

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

I did notice that the correlation flipped back to negative as the S&P was approaching its lows of the day.
by robertmcd
Thu May 02, 2019 11:10 am
Forum: Investing - Theory, News & General
Topic: I’m still not a fan of international bond funds
Replies: 307
Views: 38103

Re: I’m still not a fan of international bond funds

I think what could be interesting is if you backtested international sovereign bonds that were considered "flight to safety" assets. You could see what bonds were negatively correlated with those international markets. For example, if the german bond is most negatively correlated with stocks markets...
by robertmcd
Thu May 02, 2019 9:22 am
Forum: Personal Investments
Topic: Vanguard Free/Zero Funds
Replies: 43
Views: 4186

Re: Vanguard Free/Zero Funds

It is so small that it is not worth worrying about. This about how easy it would be to spend $400 less a year if you are in a position to have a 1 million dollar portfolio. Go live your life.
by robertmcd
Wed May 01, 2019 12:02 pm
Forum: Personal Investments
Topic: Negative/Subtractive Indexes?
Replies: 23
Views: 790

Re: Negative/Subtractive Indexes?

I think something such as VFMF vanguard multifactor fund would be to your liking. Long term evidence for value, quality, momentum, and size is very good. Personally, I think the value and quality factors (size and momentum could still persist) are currently dead/underperforming due the implementatio...
by robertmcd
Wed May 01, 2019 11:36 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 2017
Views: 147930

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

Another quick question.

What equity class has the largest negative correlation to long term treasuries? small cap value, large cap value, etc.
by robertmcd
Mon Apr 29, 2019 4:52 pm
Forum: Investing - Theory, News & General
Topic: Back testing assets: best results with long term treasury yet common advice is aggregated bonds or global bonds. Why?
Replies: 41
Views: 2005

Re: Back testing assets: best results with long term treasury yet common advice is aggregated bonds or global bonds. Why

What was may not be again. We are also diversification fans. Long term Treasuries provide the best diversification for equities of any bond fund. Long term Treasuries PROVIDED the best diversification from 1982 onwards. Past tense. And portfolio visualizer only goes back to 1972. It's really that s...
by robertmcd
Mon Apr 29, 2019 4:45 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 2017
Views: 147930

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

NASDAQ has outperformed S&P due to its heavy tech weighting. US companies have been struggling with anemic growth and tech has been one of the few bright spots. The issue with this is that growth stocks are effectively long duration assets when compared to value stocks. In the event the growth vs. v...
by robertmcd
Mon Apr 29, 2019 4:38 pm
Forum: Investing - Theory, News & General
Topic: Back testing assets: best results with long term treasury yet common advice is aggregated bonds or global bonds. Why?
Replies: 41
Views: 2005

Re: Back testing assets: best results with long term treasury yet common advice is aggregated bonds or global bonds. Why

In my opinion when you are young you should hold the equity bond/portfolio with the highest drawdown you are comfortable with based on backtesting. As you age you should decrease fixed income duration while increasing fixed income allocation and decreasing equity allocation. At a certain equity allo...
by robertmcd
Sat Apr 27, 2019 7:55 pm
Forum: Personal Finance (Not Investing)
Topic: 80% Boglehead / 20% “Crazy”?
Replies: 24
Views: 2419

Re: 80% Boglehead / 20% “Crazy”?

Yeah your assets would be protected, but the problem is that the difference between 2.5 and 3 million could be drastic for your financial independence. No amount of money is a guarantee for financial independence. All we can do is go off historical backtests and have faith in our strategy, and that ...
by robertmcd
Tue Apr 23, 2019 10:17 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 2017
Views: 147930

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

Thanks donice. I understand that my scenario was for an unlevered stock position because I was just trying to make it simpler. I am currently 60/40 VTI/EDV so I was curious as to the most efficient portfolio possible if you were able to target any point in the curve using futures. But you answered m...
by robertmcd
Tue Apr 23, 2019 3:55 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 2017
Views: 147930

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

Hedgefundie, I am curious about whether it is better to apply leverage to the long end of the curve vs. the shorter end. Based on the attached image link, the 2 yr treasury has a higher sharpe ratio than the 30 yr. Obviously this is not mixed with equities though so it would depend on which portion ...
by robertmcd
Fri Apr 05, 2019 3:49 pm
Forum: Investing - Theory, News & General
Topic: Vanguard Announces Plans to Launch Commodities Fund
Replies: 148
Views: 13373

Re: Vanguard Announces Plans to Launch Commodities Fund

I don't see why there is so much hate for this fund. Personally, I'm not going to invest in it when it becomes available, but I will consider it at a later time. I also agree with Day9 in how it should be implemented in a portfolio. Too bad that it includes short term bonds and not intermediate or ...