Search found 23 matches

by butricksaid
Tue Nov 05, 2019 2:36 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 1486
Views: 105786

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

How do I learn more about what happens in the treasury/bond markets?

Clearly I'm very un-informed because I don't understand why LTT prices just went below what they were Wednesday before the Fed rate cut. TMF and EDV are both down even though in theory prices should be going up as rates go down.
by butricksaid
Thu Oct 31, 2019 3:43 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 1486
Views: 105786

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

What was the aberrant part of 2000-2009? My understanding is the 2 biggest macro risks to this strategy are rising interest rates and volatility. There's been lengthy discussion on how inflation is controlled and ultimately we're unlikely to repeat the high interest rate environment during the grea...
by butricksaid
Thu Aug 29, 2019 4:35 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 1486
Views: 105786

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

Or you may be able to share sells at a loss and not incur capital gains. No. The thirty day before and after rule sinks that idea. It's probably easier come tax time to sell lots with ltcg or zero stcg. No it wouldn't... assuming that you're rebalancing quarterly (not monthly) AND not making additi...
by butricksaid
Tue Aug 27, 2019 2:52 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 1486
Views: 105786

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

So I'm going to be joining this excellent adventure, but applying it a little differently: 1) I am not placing these funds in a separate "fun money" account, but it will be a part of my overall portfolio. This means that my rebalancing occurs with my entire portfolio. 2) I'll be making contribution...
by butricksaid
Mon Aug 26, 2019 6:21 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 1486
Views: 105786

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

305pelusa wrote:
Mon Aug 26, 2019 5:41 pm
What about futures? Would those be OK in your book or are they also just counterparty bets and a zero-sum game?
https://lmgtfy.com/?q=are+future+contracts+zero+sum
by butricksaid
Fri Aug 23, 2019 11:09 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 1486
Views: 105786

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

On the topic of using EDV vs. TMF: while TMF has a high expense ratio, doesn't the fact that it provide 3x of TLT (not quite 3x of EDV) offsetting that cost? wouldn't holding UPRO/EDV means you have to lower your exposure to UPRO to maintain the same amount of risk given that you are now using lever...
by butricksaid
Wed Aug 14, 2019 4:45 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 1486
Views: 105786

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

Same. All of these traders were celebrating a one day victory yesterday by moving over to 55/45 and today they got crushed more than 40/60. We're coming up on the end of a long economic cycle with volatility spikes every other day and now you want to tilt heavier into equity? Are you a pig? Because...
by butricksaid
Wed Aug 14, 2019 10:52 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 1486
Views: 105786

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

I'm still at the original 40/60 with quarterly rebalance. I'm doing this mainly in taxable, so as this thing grows (using new contributions to top up the underperforming asset [UPRO!] to avoid ST gains), I will have the added "lock-in" factor to help me stay the course. Same. All of these traders w...
by butricksaid
Mon Aug 12, 2019 1:40 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 1486
Views: 105786

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

I don't see what is wrong in it. Changing plans based on new context is a good thing. Thank you Hedgefundie for this excellent post and lot of toil you have put into it. This comment is so broad and simplified that it is meaningless. "Changing strategies based on new context (recent data)" is known...
by butricksaid
Mon Aug 12, 2019 1:29 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 1486
Views: 105786

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

HEDGEFUNDIE wrote:
Sun Aug 11, 2019 9:41 pm
Therefore, at these rates today, and with the three comparable historical periods I backtested above, I am hereby making the following change to the OG strategy:

55% UPRO / 45% TMF
You're straying from the original strategy <1 year into it after months of testing and discussion. 8-)
by butricksaid
Mon Aug 12, 2019 12:46 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 1486
Views: 105786

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

In the long run ('82-'18) the strategy returns 20% CAGR at 28% annual volatility. If you had to pay tax cost, let's just assume that cuts the CAGR down to 15%, still with 28% volatility. The S&P returned 11% over the same time period, at 15% volatility. At that point the risk-reward just isn't wort...
by butricksaid
Thu Aug 08, 2019 10:22 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 298390

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

Since I'm already asking dumb questions... how do I get PortfolioVisualizer to allow me to backtest on UPRO given that it did not exist before Jul 2009? I tried to enter in UPROSIM and some other entries but it did not register. https://www.portfoliovisualizer.com/backtest-portfolio?s=y&timePeriod=4...
by butricksaid
Thu Aug 08, 2019 10:00 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 298390

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

If this is a lottery ticket, why not any of the following (or even more granular to 5% or 1%)? You would still have enough to rebalance into the losing asset.

UPRO/TMF
  • 50/50
  • 60/40
  • 70/30
  • 80/20
  • 90/10 - maybe you won't have enough to rebalance on this one
by butricksaid
Thu Aug 08, 2019 7:59 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 298390

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

If this is meant to be a lottery ticket after 30+ years, what is short version of why this strategy should not hold as much as 80/20 UPRO/TMF? 40/60 UPRO/TMF seems like it is meant to keep you from panic selling due to significant drawdown rather than to have enough bonds to rebalance over during a ...
by butricksaid
Wed Aug 07, 2019 6:42 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 298390

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

Risk increase/decrease is still proportional even with the 3x leverage so technically there isn't a risk related reason to have a different T between 1x and 3x leveraged portfolios. There are certainly many reasons to avoid a 5% band with this strategy though. I'm on the fence about whether these t...
by butricksaid
Wed Aug 07, 2019 6:14 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 298390

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

On the topic of rebalancing frequency: Why not follow Vanguard's recommendation based on time AND threshold? With 3x leverage, the trigger threshold (let's call it T) needs to be higher but the same principles should apply. Anyone know how to do the work to find "T"? TLDR: We conclude that for most ...
by butricksaid
Wed Jul 31, 2019 4:37 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 298390

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

Only in IRA's or taxable too? I would not touch any of these strategies in taxable. Let's say I'm dumb enough to do this in taxable. It should have similar performance and a low tax drag as long as I rebalance via monthly paycheck funding instead of trading AND rebalancing quarterly. If ever my mon...
by butricksaid
Wed Jul 31, 2019 4:29 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 298390

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

Only in IRA's or taxable too? I would not touch any of these strategies in taxable. Let's say I'm dumb enough to do this in taxable. It should have similar performance and a low tax drag as long as I rebalance via monthly paycheck funding instead of trading AND rebalancing quarterly. If ever my mon...
by butricksaid
Thu Jul 25, 2019 5:53 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 298390

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

I want to test this strategy out, I really do, but I can't pull the trigger on it right now. This feels like the wrong time to begin taking this strategy given that we are in the "late stages of a long economic growth cycle". Obviously we want to employ this strategy at the bottom of the downturn. A...
by butricksaid
Wed Jul 24, 2019 9:10 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 298390

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

1. There is no intellectual justification for the quarterly rebalance vs other time periods, so there is even less justification for choosing calendar quarterly vs “whenever you start quarterly” 2. Don’t market time. Just don’t. So does this mean I need to wait for my quarterly schedule to make add...
by butricksaid
Tue Jul 23, 2019 7:27 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 298390

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

I will not be adjusting my allocation to any of these new approaches, and here’s why. To me, this strategy is a supercharged bet on the long run outperformance of the US economy. To the extent that the future resembles the past, the original 40/60 UPRO/TMF will outperform any alternative allocation...
by butricksaid
Fri Jul 19, 2019 4:23 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 298390

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

Just discovered saved benchmarks in PV, whichs makes it a lot easier to compare conventional portfolios with market timing strategies. Portfolio 1: 50/50 VEDTX (EDV) & TMF as combined bond component, rebalanced monthly for risk-parity w/ UPRO (20 day look-back) Portfolio 2: TMF & UPRO rebalanced mo...
by butricksaid
Thu Jul 18, 2019 3:40 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 298390

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

HEDGEFUNDIE, I had 2 questions. 1) So would it make more sense for a retail investor with several hundreds of thousands to invest through PSLDX or use M1Finance or some monthly rebalancing feature and setup a 40% UPRO / 60% TMF portfolio? 2) I have never dealt with mutual funds before but the way yo...