Search found 73 matches

by rhe
Fri Dec 06, 2019 10:21 pm
Forum: Investing - Theory, News & General
Topic: A gentle alternative to HEDGEFUNDIE's excellent adventure with 2-Year Treasury Futures
Replies: 93
Views: 9486

Re: A gentle alternative to HEDGEFUNDIE's excellent adventure with 2-Year Treasury Futures

Could someone explain the cost of rolling T-notes? If there a calculator/ formula that I can use to roll these Futures? I looked and wasn't able to find anything. There are two fundamental problems. First, the cheapest to deliver is usually going to be different for the two contracts, because it wi...
by rhe
Thu Dec 05, 2019 3:02 am
Forum: Investing - Theory, News & General
Topic: Treasury bond futures pricing
Replies: 3
Views: 304

Re: Treasury bond futures pricing

Buying a contract will put you long a hypothetical $100k treasury at a specified coupon - I think it might be 6%. Since current interest rates are lower than this, the hypothetical treasury would trade at a premium. If I remember correctly, the $180k figure you cite should be the cost of the cheapes...
by rhe
Wed Nov 06, 2019 9:25 pm
Forum: Non-US Investing
Topic: Japan - Inhabitance tax on interest/dividends taxed as ordinary income
Replies: 5
Views: 383

Re: Japan - Inhabitance tax on interest/dividends taxed as ordinary income

Any chance you mind sharing the keywords you used to find that info? My reading level is pretty weak, so I'll be using OCR and google translate, but it would be a helpful starting place. You could try something like "配当 税金". Note that the top result (from mizuho) is contradicted further down the pa...
by rhe
Wed Nov 06, 2019 8:31 am
Forum: Non-US Investing
Topic: Japan - Inhabitance tax on interest/dividends taxed as ordinary income
Replies: 5
Views: 383

Re: Japan - Inhabitance tax on interest/dividends taxed as ordinary income

I don't know the details here, but the top japanese language google result suggests that there's no way of escaping the inhabitant tax on dividends. It also suggests that below 9 million yen total income you may be better off combining dividends and regular income. On the other hand, another website...
by rhe
Sat Oct 26, 2019 10:03 pm
Forum: Non-US Investing
Topic: U.S. expat in Japan with Japanese spouse - pre/post retirement taxation
Replies: 7
Views: 1247

Re: U.S. expat in Japan with Japanese spouse - pre/post retirement taxation

You bring up a good point here and so I took a look at the technical explanation for the tax treaty. From the paragraphs quoted below, I conclude that actually a "pension fund" as defined in the treaty includes almost all (if not all) of the typical U.S. retirement accounts. In my situation it full...
by rhe
Thu Oct 24, 2019 10:58 pm
Forum: Non-US Investing
Topic: U.S. expat in Japan with Japanese spouse - pre/post retirement taxation
Replies: 7
Views: 1247

Re: U.S. expat in Japan with Japanese spouse - pre/post retirement taxation

I haven't consulted a lawyer or accountant, but did a fair amount of reading about this. It looks like two important points are 1. How accessible the money in the overseas "tax free" account is, if you were to try to withdraw it. 2. How much the overseas "tax free" account looks like an insurance p...
by rhe
Thu Oct 24, 2019 10:28 pm
Forum: Investing - Theory, News & General
Topic: SPXX -- Nuveen S&P 500 Dynamic Overwrite
Replies: 16
Views: 1205

Re: SPXX -- Nuveen S&P 500 Dynamic Overwrite

At one point I looked at a very similar Nuveen fund that was based on QQQ rather than the S&P index. It looked like the number of options they actually traded was very low and the fund's NAV would basically track QQQ over time.
by rhe
Fri Oct 18, 2019 8:50 pm
Forum: Investing - Theory, News & General
Topic: A gentle alternative to HEDGEFUNDIE's excellent adventure with 2-Year Treasury Futures
Replies: 93
Views: 9486

Re: A gentle alternative to HEDGEFUNDIE's excellent adventure with 2-Year Treasury Futures

In regards to Eurodollars, this is the response I got from Eric Hickman at Kessler: "I have done a lot of back-testing work with these shorter instruments, not trying to eliminate the negative carry, but to possibly capture more movement. The negative carry cannot be eliminated because what you don...
by rhe
Mon Oct 14, 2019 7:55 am
Forum: Non-US Investing
Topic: U.S. expat in Japan with Japanese spouse - pre/post retirement taxation
Replies: 7
Views: 1247

Re: U.S. expat in Japan with Japanese spouse - pre/post retirement taxation

I haven't consulted a lawyer or accountant, but did a fair amount of reading about this. It looks like two important points are 1. How accessible the money in the overseas "tax free" account is, if you were to try to withdraw it. 2. How much the overseas "tax free" account looks like an insurance po...
by rhe
Fri Oct 11, 2019 9:48 am
Forum: Personal Finance (Not Investing)
Topic: Need help !!! US or Canadian universities?
Replies: 56
Views: 3558

Re: Need help !!! US or Canadian universities?

I think the intended major is very important here. Fancy private schools in the US tend to have similar standards for admission regardless of whether you're planning on studying comparative literature or astrophysics. This is not the case in Canada. "Arts" (as opposed to "science") programs often ha...
by rhe
Thu Oct 10, 2019 5:46 am
Forum: Investing - Theory, News & General
Topic: A gentle alternative to HEDGEFUNDIE's excellent adventure with 2-Year Treasury Futures
Replies: 93
Views: 9486

Re: A gentle alternative to HEDGEFUNDIE's excellent adventure with 2-Year Treasury Futures

I'd like to echo again that for this strategy, 2-year treasuries are better to hold than eurodollars in the case of another financial crisis as eurodollars are tied to the LIBOR bank interest rate, which can skyrocket during a panic. If holding eurodollars, this could have the horrible effect of ca...
by rhe
Tue Sep 24, 2019 8:48 pm
Forum: Investing - Theory, News & General
Topic: A gentle alternative to HEDGEFUNDIE's excellent adventure with 2-Year Treasury Futures
Replies: 93
Views: 9486

Re: A gentle alternative to HEDGEFUNDIE's excellent adventure with 2-Year Treasury Futures

In the 2008 great recession, the T-bill rate dropped to nearly zero due to government intervention while the LIBOR rate shot up to 5% as the financial market tightened and banks stopped lending. I recognize that this plot only compares 3-mo rates, but it suggests that holding treasuries would be si...
by rhe
Mon Sep 23, 2019 9:22 pm
Forum: Investing - Theory, News & General
Topic: A gentle alternative to HEDGEFUNDIE's excellent adventure with 2-Year Treasury Futures
Replies: 93
Views: 9486

Re: A gentle alternative to HEDGEFUNDIE's excellent adventure with 2-Year Treasury Futures

Can you go into detail on the cost savings for eurodollars vs treasury futures? Because it doesn't seem like it should be very much. Assuming you're trading the front contract, you should be able to pay just one tick on the spread, so 1/256 * 2000, or slightly less than $8. Call it $10 per contract...
by rhe
Mon Sep 23, 2019 3:30 am
Forum: Investing - Theory, News & General
Topic: A gentle alternative to HEDGEFUNDIE's excellent adventure with 2-Year Treasury Futures
Replies: 93
Views: 9486

Re: A gentle alternative to HEDGEFUNDIE's excellent adventure with 2-Year Treasury Futures

@rhe Have you found any disadvantages to trading eurodollar future as compared to US treasuries? As far as I can see, eurodollar futures are perfect if your plan is just to hold the first eight contracts. My strategy was actually slightly more complex, because I would try to hold the part of the yi...
by rhe
Sun Sep 22, 2019 7:17 am
Forum: Investing - Theory, News & General
Topic: A gentle alternative to HEDGEFUNDIE's excellent adventure with 2-Year Treasury Futures
Replies: 93
Views: 9486

Re: A gentle alternative to HEDGEFUNDIE's excellent adventure with 2-Year Treasury Futures

I held a portfolio quite similar to this for the past two years, but toned it down a couple of weeks ago because I was getting worried. Over those two years my bond positions contributed about 6% growth to my total account value, so I disagree with those people who think the proposed bond position i...
by rhe
Sat Sep 14, 2019 2:17 am
Forum: Investing - Theory, News & General
Topic: How would one go about shorting Eurozone bonds?
Replies: 22
Views: 1265

Re: How would one go about shorting Eurozone bonds?

Thanks. That's interesting. So, if I understand this correctly, unless you use another currency this would only potentially work in the case that the yield curve is inverted? (so that short term rates are higher than long term one?) So it would probably work in the US instead at present! :D In prac...
by rhe
Sat Sep 14, 2019 12:33 am
Forum: Investing - Theory, News & General
Topic: 3X leveraged ETFs - where are the gains coming from?
Replies: 40
Views: 3274

Re: 3X leveraged ETFs - where are the gains coming from?

Sorry but I was not looking for the explanation on why portfolio return is good (falling rate and bullish market), but when futures appreciates 3X, who pays for the appreciation in the market. A futures contract always has a long side and a short side, so if you are long 3 contracts someone else mu...
by rhe
Sat Sep 14, 2019 12:18 am
Forum: Investing - Theory, News & General
Topic: How would one go about shorting Eurozone bonds?
Replies: 22
Views: 1265

Re: How would one go about shorting Eurozone bonds?

I'm curious, if you short the Euro, what currency would you be going long ? These things always trade in pairs, you have to put it in something else that you believe the thing being shorted will perform relatively worse against. Would you keep it in shorter term Euro cash? I don't understand your q...
by rhe
Sun Sep 08, 2019 7:32 pm
Forum: Investing - Theory, News & General
Topic: 3X leveraged ETFs - where are the gains coming from?
Replies: 40
Views: 3274

Re: 3X leveraged ETFs - where are the gains coming from?

Sorry but I was not looking for the explanation on why portfolio return is good (falling rate and bullish market), but when futures appreciates 3X, who pays for the appreciation in the market. A futures contract always has a long side and a short side, so if you are long 3 contracts someone else mu...
by rhe
Tue Aug 27, 2019 3:41 am
Forum: Non-US Investing
Topic: One disadvantage of NISA investments in Japan
Replies: 12
Views: 620

Re: One disadvantage of NISA investments in Japan

My understanding is that you are expected to roll over your investments into the next 5 year period, and then the next one, and so effectively the program shields you from taxes indefinitely. De facto you will never pay tax on your investment gains. As I understand it, it shields you from taxes ove...
by rhe
Tue Aug 27, 2019 2:38 am
Forum: Non-US Investing
Topic: One disadvantage of NISA investments in Japan
Replies: 12
Views: 620

Re: One disadvantage of NISA investments in Japan

My understanding is that you are expected to roll over your investments into the next 5 year period, and then the next one, and so effectively the program shields you from taxes indefinitely. De facto you will never pay tax on your investment gains. From the government's perspective setting up a pro...
by rhe
Wed Aug 21, 2019 10:25 am
Forum: Non-US Investing
Topic: Avoid using margin in an Interactive Brokers account
Replies: 4
Views: 664

Re: Avoid using margin in an Interactive Brokers account

I'm not sure about the specific case you've posted, but as a general rule with interactive brokers it's often easier to test transactions that you're not sure about using a paper trading account, rather than trying to decipher their popup messages. In your case you might find that the 1 dollar turns...
by rhe
Wed Aug 14, 2019 2:31 am
Forum: Investing - Theory, News & General
Topic: Should I use margin to buy a balanced fund?
Replies: 930
Views: 252883

Re: Should I use margin to buy a balanced fund?

I have recently been assessing the need for short-term treasuries in my portfolio mainly for purposes of reducing complexity. I do not have an automatic way to auto-balance, so I mainly log in to roll contracts. Since enjoying life is way more fun than manually entering trades, I am thinking about ...
by rhe
Sun Aug 11, 2019 7:48 am
Forum: Personal Finance (Not Investing)
Topic: Does any bank have a "high net worth" tier that provides forex wires at the interbank rate
Replies: 13
Views: 1396

Re: Does any bank have a "high net worth" tier that provides forex wires at the interbank rate

Fine dozens is an exaggeration. Okay I have a kid who is studying abroad and I need to wire money to his local Euro account (we tried having him use just a credit card but lots of Europe is cash only and his University wants checks for tuition.My wife is helping her parents renovate their house and...
by rhe
Fri Jul 26, 2019 3:17 am
Forum: Non-US Investing
Topic: Why it's cheaper to buy ETF on IB on LSE in USD, than in my home currency EUR?
Replies: 3
Views: 643

Re: I don't understand Interactive Brokers commisions.

I've noticed this too. Perhaps they're listed on a different part of the LSE? "International order book", or the equivalent for ETFs?
by rhe
Tue Jul 23, 2019 4:25 am
Forum: Non-US Investing
Topic: Canadian moving from US to Japan
Replies: 17
Views: 1836

Re: Canadian moving from US to Japan

Is the "international" account with IB Japan domiciled in Japan or is domiciled somewhere else? In other words is it a Japanese domiciled brokerage account that has access to international markets? The "international" account is with IB LLC, and appears to be protected by the SIPC. The "domestic" a...
by rhe
Sun Jul 21, 2019 2:41 am
Forum: Non-US Investing
Topic: Canadian moving from US to Japan
Replies: 17
Views: 1836

Re: Canadian moving from US to Japan

I would think that bringing the assets into any Japanese brokerage account would be considered bringing the assets into Japan. Don't do that. I think we may have a fundamentally different understanding of how the Japanese tax system works with respect to IB accounts. When you open an IB account as ...
by rhe
Fri May 31, 2019 8:09 pm
Forum: Investing - Theory, News & General
Topic: Bonds - Throw it all on the table!!!
Replies: 372
Views: 64767

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

The assumption that all investors can borrow and lend freely at the risk-free rate is one of the most unreasonable assumptions in the CAPM. Certainly unreasonable in general, but government bond futures are a special case. For treasuries, this information is actually available online: look for "CME...
by rhe
Fri May 31, 2019 7:03 am
Forum: Investing - Theory, News & General
Topic: Bonds - Throw it all on the table!!!
Replies: 372
Views: 64767

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 rhe
Fri May 31, 2019 3:02 am
Forum: Investing - Theory, News & General
Topic: How to short Deutsch Bund with current low rate?
Replies: 9
Views: 956

Re: How to short Deutsch Bund with current low rate?

On IB it is cheap to short the future, but likely expensive to short the cash bond. Look at GBL for the bund future, and I for the all the short term euro interest rate futures. When you use futures you are not exposed to the currency: if you are long GBL, you are effectively long a bund, and short ...
by rhe
Sun Mar 24, 2019 8:22 pm
Forum: Investing - Theory, News & General
Topic: Leveraged Multi-Asset Risk Parity funds [J.P. Morgan Nordnet Multi-Asset 15] – good or bad?
Replies: 14
Views: 1580

Re: Leveraged Multi-Asset Risk Parity funds [J.P. Morgan Nordnet Multi-Asset 15] – good or bad?

It looks to me like the equity and bonds are mostly standard things that you could do yourself. The commodities position is probably more difficult for DIY.

Why not just roll your own for equity and bonds, and then choose a commodity fund separately if you want commodities? 1% fees is expensive.
by rhe
Thu Mar 21, 2019 4:47 pm
Forum: Non-US Investing
Topic: Anyone has experience with Vanguard Hong Kong ETFs?
Replies: 11
Views: 1561

Re: Anyone has experience with Vanguard Hong Kong ETFs?

This might be also the reason why you were an accidental arbitrageur - the fund/market didn’t do it on purpose but rather your volume moved the market. I got in at close to NAV by buying slowly over about a week. Then at the end of the year the market price somehow rose above NAV. The weirdest part...
by rhe
Wed Mar 13, 2019 7:51 pm
Forum: Non-US Investing
Topic: Canadian moving from US to Japan
Replies: 17
Views: 1836

Re: Canadian moving from US to Japan

Yes, move the Vanguard assets to someplace else - I'd recommend Interactive Brokers. Do NOT sell them yet. Take up Japanese residency and do NOT bring the assets into Japan. If you do this then you get a 5 year window in which you don't have to pay Japanese taxes on these assets as long as the proc...
by rhe
Wed Mar 06, 2019 5:57 pm
Forum: Non-US Investing
Topic: Anyone has experience with Vanguard Hong Kong ETFs?
Replies: 11
Views: 1561

Re: Anyone has experience with Vanguard Hong Kong ETFs?

I previously used HK based ETFs for some index investing. I no longer do. At one point someone on twitter called HK "the world's largest joke-ass market," which seems harsh but fair. As an example, at one point I became an accidental arbitrageur, selling 2805.HK at several percent above it's NAV an...
by rhe
Mon Mar 04, 2019 11:16 pm
Forum: Non-US Investing
Topic: Anyone has experience with Vanguard Hong Kong ETFs?
Replies: 11
Views: 1561

Re: Anyone has experience with Vanguard Hong Kong ETFs?

I previously used HK based ETFs for some index investing. I no longer do. At one point someone on twitter called HK "the world's largest joke-ass market," which seems harsh but fair. As an example, at one point I became an accidental arbitrageur, selling 2805.HK at several percent above it's NAV and...
by rhe
Mon Mar 04, 2019 12:25 am
Forum: Investing - Theory, News & General
Topic: Lifecycle Investing - Leveraging when young
Replies: 648
Views: 48545

Re: Lifecycle Investing - Leveraging when young

It seems like the fundamental problem is that positions in a brokerage account (futures, options, leveraged etfs) do not accept your future income stream as collateral, and so will close you out if there are large losses, even if you could actually pay them off from your future income. LETFs are no...
by rhe
Sun Mar 03, 2019 6:43 pm
Forum: Investing - Theory, News & General
Topic: Lifecycle Investing - Leveraging when young
Replies: 648
Views: 48545

Re: Lifecycle Investing - Leveraging when young

I believe that out of the people here who actually hold some sort of leveraged position, mine is among the most conservative. I understand the basic argument that a secure future income stream should be considered when deciding on investments. The problem, as many posters (and paul samuelson) have p...
by rhe
Sun Mar 03, 2019 7:42 am
Forum: Investing - Theory, News & General
Topic: (NEW) WisdomTree 90/60 U.S. Balanced Fund
Replies: 337
Views: 36700

Re: (NEW) WisdomTree 90/60 U.S. Balanced Fund

This fund has still only attracted 5 million dollars. That *seems* low, but I’ll admit that I don’t know what a reasonable expectation would be at this point. My guess would be that anyone who understands why this fund would be useful also understands how to do this themselves at an even lower cost...
by rhe
Sun Mar 03, 2019 6:41 am
Forum: Investing - Theory, News & General
Topic: Understanding using treasury futures for leverage to implement risk parity
Replies: 163
Views: 14363

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

Well, if you have 50k to invest, and you put 49k in stocks, I'd say that's close to a 100% allocation to stocks! It's actually more challenging to put a "percentage allocation" on bonds once you're taking leveraged positions. A 100k position with ten year duration is more or less the same risk as a ...
by rhe
Sun Mar 03, 2019 2:08 am
Forum: Investing - Theory, News & General
Topic: Understanding using treasury futures for leverage to implement risk parity
Replies: 163
Views: 14363

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

One contract of ZF ("five year" treasury futures) would give you 100k of exposure to something like a 4.2 year maturity treasury. Looking at the CME treasury analytics website, it looks like this is a quarter of a ZB contract. If you had 50k, you could hold 49k of some stock ETF, and then one ZF con...
by rhe
Wed Feb 27, 2019 6:08 pm
Forum: Non-US Investing
Topic: Canadian moving from US to Japan
Replies: 17
Views: 1836

Re: Canadian moving from US to Japan

In general the japanese national tax agency takes a dim view of foreign "tax free" accounts. There seem to be some exceptions for accounts where you are prohibited from withdrawing the money, and accounts that look like annuities. You may be better off minimizing the amount you have left in the 401k...
by rhe
Wed Feb 27, 2019 6:18 am
Forum: Investing - Theory, News & General
Topic: Understanding using treasury futures for leverage to implement risk parity
Replies: 163
Views: 14363

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

Given the current size of my portfolio I think holding a strip of eurodollars would be far too much. But yes, point taken about minimizing trading costs. Well, you could hold only every second or third quarter instead of holding a contract for every quarter like a "real" strip. Adjacent eurodollar ...
by rhe
Tue Feb 26, 2019 11:50 pm
Forum: Investing - Theory, News & General
Topic: Understanding using treasury futures for leverage to implement risk parity
Replies: 163
Views: 14363

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

perhaps the 5 year (ZF) rather than ZB. Keep in mind that although ZN is a "ten year" treasury future, it actually currently behaves like a 6.5 year treasury. I think this is because rates are below the conversion formula rate and so generally the lowest duration treasury is delivered. The cost of ...
by rhe
Tue Feb 26, 2019 8:44 am
Forum: Investing - Theory, News & General
Topic: Understanding using treasury futures for leverage to implement risk parity
Replies: 163
Views: 14363

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

perhaps sell or buy an extra ES or ZB contract Are you sure you want to be using ZB (treasury bond) rather than ZN (treasury note)? Based on what I've read, you're getting really minimal returns on average for the extra duration risk. Also, I believe ZN is the most liquid of these futures, which co...
by rhe
Mon Feb 25, 2019 6:36 pm
Forum: Investing - Theory, News & General
Topic: Understanding using treasury futures for leverage to implement risk parity
Replies: 163
Views: 14363

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

A while back I started out doing basically what is being proposed here. Once you take a position in treasury futures, though, the historical sharpe ratio of short term treasuries has been substantially better than the 10 year treasuries... so if you're going to use leverage anyways, you might as we...
by rhe
Sat Feb 23, 2019 6:52 pm
Forum: Investing - Theory, News & General
Topic: Understanding using treasury futures for leverage to implement risk parity
Replies: 163
Views: 14363

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

Are you still using the strategy? If not, what caused you to stop? I'm currently long 2 year bonds in a variety of currencies. It's a position that I'm reasonably confident will a be a good one to hold long term, based both on academic research and some more practitioner-oriented things I've read. ...
by rhe
Sat Feb 23, 2019 2:32 am
Forum: Investing - Theory, News & General
Topic: Understanding using treasury futures for leverage to implement risk parity
Replies: 163
Views: 14363

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

A while back I started out doing basically what is being proposed here. Once you take a position in treasury futures, though, the historical sharpe ratio of short term treasuries has been substantially better than the 10 year treasuries... so if you're going to use leverage anyways, you might as wel...
by rhe
Fri Dec 28, 2018 10:19 am
Forum: Investing - Theory, News & General
Topic: Buying dips not recommended?
Replies: 52
Views: 4315

Re: Buying dips not recommended?

I suppose one could write out a formal plan to buy the dips, which would include a specific rule--not to be deviated from--that spells out the exact conditions that count as a dip and what you should do. Thus, there could be a "course" that called for "buying the dips," and if it can be spelled out...
by rhe
Tue Dec 11, 2018 6:07 pm
Forum: Personal Consumer Issues
Topic: Teachers, Professors, and others with lots of vacation days: what do you do in the summer?
Replies: 49
Views: 4726

Re: Teachers, Professors, and others with lots of vacation days: what do you do in the summer?

In the winter, the weather in much of east asia is still quite nice, and you may be able to get deals because it is "off season".
by rhe
Thu Dec 06, 2018 7:39 pm
Forum: Investing - Theory, News & General
Topic: (NEW) WisdomTree 90/60 U.S. Balanced Fund
Replies: 337
Views: 36700

Re: (NEW) WisdomTree 90/60 U.S. Balanced Fund

I evaluated investing in Treasury futures directly, since I don't really need a fund to do that for me. My conclusion is that buying Treasury futures provide most of the interest rate risk with only a small yield, with the yield curve as flat as it is right now. I don't think this fund should be ow...