Search found 169 matches

by AHTFY
Tue Apr 28, 2020 9:50 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 4902
Views: 422689

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

I have been thinking about SPY/TLT more recently because I'm not a big fan of the UPRO management fee (part of it is understandable given they need to roll their futures, but that's a smaller holding as they mostly hold return swaps so it is still high). Likewise, ES/TU is harder to do without very...
by AHTFY
Wed Apr 22, 2020 8:29 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 4902
Views: 422689

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

I've got an idea for a refinement on this that I want to share and get feedback on. I think this strategy has a very high expected return. But the risk also extreme. There is a very real risk of losing half or more in a single month, as we've just seen. So I'm not really interested in boosting the ...
by AHTFY
Thu Mar 19, 2020 8:31 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 4902
Views: 422689

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

Mr.Wu wrote:
Thu Mar 19, 2020 4:40 pm
I am thinking to move money from Vanguard to other brokerages for this strategy. I am thinking of TD Ameritrade or Chase Youinvest. Anyone has experiences?
I recently moved money from Vanguard to Schwab. I really like Schwab for trading, at least more than Vanguard or TD Ameritrade.
by AHTFY
Sun Mar 15, 2020 6:00 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 4902
Views: 422689

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

physixfan wrote:
Sun Mar 15, 2020 5:33 pm
In my understanding, QE is basically FED purchasing long term treasuries. So does this mean TMF will rise?
T-bond futures currently up 2.2%. But how often have we seen long bonds start the day higher and drift down from there?
by AHTFY
Fri Mar 13, 2020 1:09 pm
Forum: Investing - Theory, News & General
Topic: CHART: Current Downturn vs. 2008-09 Financial Crisis
Replies: 34
Views: 3830

Re: CHART: Current Downturn vs. 2008-09 Financial Crisis

I think it's a pretty misleading chart though. Starting at ATH is somewhat arbitrary. No doubt, starting at the all time high is arbitrary — but that's just how financial historians normally define the extent of a bear market, from peak-to-trough (for example ). It's also worth noting that most bea...
by AHTFY
Fri Mar 13, 2020 9:12 am
Forum: Investing - Theory, News & General
Topic: CHART: Current Downturn vs. 2008-09 Financial Crisis
Replies: 34
Views: 3830

Re: CHART: Current Downturn vs. 2008-09 Financial Crisis

How does this panic compare to the panics of the 19th century and early 20th century?
by AHTFY
Wed Mar 11, 2020 7:22 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 4902
Views: 422689

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

and also is the explanation for today's movement on this portfolio that (a) stimulus package increases rates, but (b) stimulus is insufficient to resolve panic & potentially previously overbought markets? And also, nobody is like, flying on Delta to stay in a Hyatt to go to some concert just becaus...
by AHTFY
Wed Mar 11, 2020 6:31 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 4902
Views: 422689

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

and also is the explanation for today's movement on this portfolio that (a) stimulus package increases rates, but (b) stimulus is insufficient to resolve panic & potentially previously overbought markets? And also, nobody is like, flying on Delta to stay in a Hyatt to go to some concert just becaus...
by AHTFY
Wed Mar 11, 2020 6:29 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 4902
Views: 422689

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

DaveG75 wrote:
Wed Mar 11, 2020 6:27 pm
AHTFY wrote:
Wed Mar 11, 2020 1:06 pm
Forester wrote:
Wed Mar 11, 2020 1:04 pm
UPRO & TMF looking ugly. Peter Schiff called the end of the bond bull yesterday :?
Peter Schiff? Time to buy!!!
Absolutely. That guy is a very good contrary indicator.
Been that way for 20 years now. Didn't know he was still out there giving advice.
by AHTFY
Wed Mar 11, 2020 4:55 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 4902
Views: 422689

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

Yes, that is going to really, uh, be bad, for TMF holders. The NAV of TMF today is correct since it tracks TLT. TLT will probably rebound tomorrow, but today's daily loss reset TMF's NAV & the bump up tomorrow will not get you back to where you're 'supposed to be'. I don't think that's right. TMF i...
by AHTFY
Wed Mar 11, 2020 4:17 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 4902
Views: 422689

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

If you wonder why long bonds went down the last few days, it's all your fault (and probably some big hedge funds).

"Treasury Future Crash Sparks Speculation Of Risk Parity Liquidation"

I used the opportunity to buy some VLGSX at the close to rebalance my allocation.
by AHTFY
Wed Mar 11, 2020 3:44 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 4902
Views: 422689

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

My brother was in 100% bonds until yesterday (he has been in 100% bonds since he lost everything trading options in 2009). Yesterday however when 10 year treasury rates went from 0.5 to 0.7, he was spooked and changed his asset allocation to 75% cash and 25% stocks. It could be that nervous investo...
by AHTFY
Wed Mar 11, 2020 1:06 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 4902
Views: 422689

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

Forester wrote:
Wed Mar 11, 2020 1:04 pm
UPRO & TMF looking ugly. Peter Schiff called the end of the bond bull yesterday :?
Peter Schiff? Time to buy!!!
by AHTFY
Wed Mar 11, 2020 11:08 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 4902
Views: 422689

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

Sorry to intrude, but is there a particularly good whitepaper discussing the correlation between these two assets and why this is a reasonable strategy? I've followed a long the last few days and noticed that generally we will see like a +15% day on one coupled with a -14% day with the other which ...
by AHTFY
Sun Mar 08, 2020 9:21 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 4902
Views: 422689

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

willthrill81 wrote:
Sun Mar 08, 2020 9:07 pm
It will be interesting to see what happens to LTT since S&P 500 futures are down 5% today. How low can LTT go? No one knows I suppose.
Long-term (30-year) treasury futures currently up about 4%. Not sure how that translates to the TLT etf.
by AHTFY
Fri Mar 06, 2020 2:54 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 4902
Views: 422689

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

HEDGEFUNDIE wrote:
Fri Mar 06, 2020 2:35 pm

Buy low, sell high.
Has this "experiment" turned into a discretionary mean-reversion strategy?
by AHTFY
Wed Mar 04, 2020 3:10 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: "Leveraged ETFs? No Thanks"
Replies: 30
Views: 2139

Re: Larry Swedroe: "Leveraged ETFs? No Thanks"

Lee_WSP wrote:
Wed Mar 04, 2020 3:07 pm
It has been a long time since the 200dma accurately got any one out. I'm not sure how many more whipsaws it can withstand before we call it unreliable.
A blunt instrument rarely gets the job done.
by AHTFY
Wed Mar 04, 2020 3:01 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 4902
Views: 422689

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

Jags4186 wrote:
Wed Mar 04, 2020 1:50 pm
I am curious -- today both 10yr and 30yr treasury rates have fallen yet TMF also declines. Is there any rhyme or reason to this?
TLT is currently down 0.35% and TMF is down 1.12%, so everything is right in the world.
by AHTFY
Tue Mar 03, 2020 11:01 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 4902
Views: 422689

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

That begs the question (which may have been answered in the thousands of posts prior) - wouldn't a short a term treasuries variant of TMF produce better returns (and less market correlation) in a decreasing interest rate environment? Yes, we could use a 30x 2-year Treasury Note ETF. Or just a 10x t...
by AHTFY
Fri Feb 28, 2020 12:38 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 4902
Views: 422689

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

The speed. Since it is a 3x daily rebalance, large single day drops are extremely stressful on the liquidity of the fund. We have had 3 very large (2.5%+) move days this week alone. That is over 7% cash settlement daily on the swaps worth Billions, 3 days in a week. We have never corrected this fas...
by AHTFY
Fri Feb 28, 2020 12:08 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 4902
Views: 422689

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

pleonasm wrote:
Thu Feb 27, 2020 11:05 pm
I have some bad news on the current management of the UPRO/TQQQ that I want to put in front of you so you can make your own informed decision.
How is the current situation in regard to UPRO/TQQQ any different than the ~20% correction at the end of 2018?
by AHTFY
Thu Feb 27, 2020 4:32 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 1472
Views: 118949

Re: [Small Cap Value heads Rejoice !!!]

FYI, most small-cap value ETFs are back to where they were in Nov-Dec 2016. http://schrts.co/IRPMMmhi

VTI is up about 37% over that timeframe. http://schrts.co/SZGDEGbn
by AHTFY
Tue Feb 25, 2020 4:33 pm
Forum: Investing - Theory, News & General
Topic: Novice high income invester- leveraged ETFs
Replies: 56
Views: 3864

Re: Novice high income invester- leveraged ETFs

If you don't understand the strategy, you should not trade it.
by AHTFY
Thu Feb 13, 2020 5:53 pm
Forum: Investing - Theory, News & General
Topic: Challenge: Fastest way to lose money in the market?
Replies: 85
Views: 5219

Re: Challenge: Fastest way to lose money in the market?

nisiprius wrote:
Thu Feb 13, 2020 4:44 pm

source

Image
TVIX (VelocityShares Daily 2x VIX Short-Term ETN) is worse, much much worse. Down 88.46% over the last year. Rounding to the nearest one-hundredth, it's down 100.00% since inception.

https://www.morningstar.com/etfs/xnas/tvix/performance
by AHTFY
Fri Jan 31, 2020 9:26 am
Forum: Personal Investments
Topic: SEC Proposing to block leveraged ETF!
Replies: 57
Views: 5343

Re: SEC Proposing to block leveraged ETF!

[OT comment removed by admin LadyGeek] it does make sense that the same regulations and requirements should apply to leveraged and inverse ETFs as to margin accounts. Technically, margin accounts have more risk since someone could lose more than 100%, but the risks are close enough. But the solutio...
by AHTFY
Thu Jan 30, 2020 9:44 pm
Forum: Personal Investments
Topic: SEC Proposing to block leveraged ETF!
Replies: 57
Views: 5343

Re: SEC Proposing to block leveraged ETF!

[OT comment removed by admin LadyGeek] it does make sense that the same regulations and requirements should apply to leveraged and inverse ETFs as to margin accounts. Technically, margin accounts have more risk since someone could lose more than 100%, but the risks are close enough. But the solutio...
by AHTFY
Sun Jan 26, 2020 7:54 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 4902
Views: 422689

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

It looks like Direxion has opened up a number of S&P 500 sector specific 3x bull ETF. Has anyone considered using these instead of UPRO? https://i.imgur.com/p0XLG2i.png The weightings above are in the 1x equivalent ETF and have significantly beaten the S&P 500 over this period. The same could be re...
by AHTFY
Wed Jan 22, 2020 3:22 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 4902
Views: 422689

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

Some of these posts are starting to get ridiculous but I'm glad this has worked out for everyone so far. I'm guessing Taylor will only jump in once the returns of TSM are greater and do a I told you so like on the tilting threads. I agree. Seeing all these people 3x the QQQ makes me worry about ove...
by AHTFY
Wed Jan 22, 2020 2:56 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 4902
Views: 422689

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

Some of these posts are starting to get ridiculous but I'm glad this has worked out for everyone so far. I'm guessing Taylor will only jump in once the returns of TSM are greater and do a I told you so like on the tilting threads. I agree. Seeing all these people 3x the QQQ makes me worry about ove...
by AHTFY
Fri Jan 17, 2020 7:58 am
Forum: Investing - Theory, News & General
Topic: U.S. stocks continue to soar!
Replies: 5577
Views: 478082

Re: U.S. stocks continue to soar!

Yes its getting a little is the over brought area short term but it still can go like this for another week or two. https://i.postimg.cc/pXVktWH3/VTSAX.png Long term = Run baby Run! Looking at the chart, one might have thought at the time that the market was ready to top back in October 2017, after...
by AHTFY
Thu Jan 16, 2020 2:48 pm
Forum: Investing - Theory, News & General
Topic: VTI vs BRK
Replies: 3
Views: 433

Re: VTI vs BRK

Warren Buffet and Berkshire employ a value strategy and value has been underperforming. Berkshire also holds a lot of cash, which is a drag when the stock market rallies and interest rates are low.
by AHTFY
Tue Jan 07, 2020 2:42 pm
Forum: Non-US Investing
Topic: Global GDP Growth is highly dependent on three countries. Can you guess what those countries are?
Replies: 14
Views: 1473

Re: "What Does GDP Mean For The Stock Market?"

Bogleheads: Below is a link to a 2018 Schwab study of how Global GDP's may affect the stock market: What Does GDP Mean For The Stock Market Personally, I see little use for these studies unless you are an (anti-boglehead) market-timer. Best wishes. Taylor Jack Bogle's Words of Wisdom: "I do not kno...
by AHTFY
Mon Jan 06, 2020 6:45 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 4902
Views: 422689

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

Yes but why would you ever just hold so much cash earning no interest? Even at a place like Schwab that pays no interest, I would keep close to the minimum collateral (~21% of the collateral) in cash and then the rest (~79%) in a ST bond fund earning the RFR. Even better, you could open a HY FDIC i...
by AHTFY
Mon Jan 06, 2020 6:31 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 4902
Views: 422689

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

Yes but why would you ever just hold so much cash earning no interest? Even at a place like Schwab that pays no interest, I would keep close to the minimum collateral (~21% of the collateral) in cash and then the rest (~79%) in a ST bond fund earning the RFR. Even better, you could open a HY FDIC i...
by AHTFY
Mon Jan 06, 2020 4:27 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 4902
Views: 422689

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

I've read most of this long discussion but I still don't understand why owning UPRO would be better (i.e., cheaper) than buying S&P e-minis or micro e-minis. Can anyone explain the math to me as to the total cost of owning UPRO versus buying futures contracts. Let's ignore the volatility issue and ...
by AHTFY
Mon Jan 06, 2020 4:01 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 4902
Views: 422689

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

I've read most of this long discussion but I still don't understand why owning UPRO would be better (i.e., cheaper) than buying S&P e-minis or micro e-minis. Can anyone explain the math to me as to the total cost of owning UPRO versus buying futures contracts. Let's ignore the volatility issue and ...
by AHTFY
Mon Jan 06, 2020 3:51 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 4902
Views: 422689

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

I've read most of this long discussion but I still don't understand why owning UPRO would be better (i.e., cheaper) than buying S&P e-minis or micro e-minis. Can anyone explain the math to me as to the total cost of owning UPRO versus buying futures contracts. Let's ignore the volatility issue and f...
by AHTFY
Fri Jan 03, 2020 12:40 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 4902
Views: 422689

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

I started my side trend following system with 100% TQQQ in August. Was up roughly 50%+ before today since Aug.... another 5% today. Honestly has run so high so fast has been difficult to keep contributing to it. I prefer UPRO for my trend following system, but to each their own. Good luck to you bo...
by AHTFY
Fri Jan 03, 2020 8:30 am
Forum: Investing - Theory, News & General
Topic: MarketWatch Three-Fund Portfolio Wins Again!
Replies: 73
Views: 5353

Re: MARKETWATCH Three-Fund Portfolio Wins Again!

GaryA505 wrote:
Wed Jan 01, 2020 4:49 pm
That "Second Grader's Portfolio" is 60/30/10 (90% stock). How many people really want to take that much risk?
A second grader might want that much risk.
by AHTFY
Fri Jan 03, 2020 7:43 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 4902
Views: 422689

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

Stef wrote:
Fri Jan 03, 2020 2:28 am
AHTFY wrote:
Fri Jan 03, 2020 12:12 am
I don't lever up to 3x. I use UPRO to get me up to about 140% when all my trend following indicators are positive.
Do you use SMA200?
No. I have my own system.
by AHTFY
Fri Jan 03, 2020 12:12 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 4902
Views: 422689

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

I started my side trend following system with 100% TQQQ in August. Was up roughly 50%+ before today since Aug.... another 5% today. Honestly has run so high so fast has been difficult to keep contributing to it. I prefer UPRO for my trend following system, but to each their own. Good luck to you bo...
by AHTFY
Thu Jan 02, 2020 10:12 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 4902
Views: 422689

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

rascott wrote:
Thu Jan 02, 2020 4:08 pm
I started my side trend following system with 100% TQQQ in August. Was up roughly 50%+ before today since Aug.... another 5% today. Honestly has run so high so fast has been difficult to keep contributing to it.
I prefer UPRO for my trend following system, but to each their own.
by AHTFY
Fri Dec 27, 2019 11:14 am
Forum: Investing - Theory, News & General
Topic: I don't have faith in small and value premiums
Replies: 409
Views: 14781

Re: I don't have faith in small and value premiums

Good discussion all. I did some additional analysis, using portfolio visualizer's asset classes, not specific index funds. From 1972-2019, there were 39 rolling 10-year periods, 34 rolling 15-year periods, and 29 rolling 20-year periods. 39 Rolling 10-year periods: SCV outperformed TSM in 34 of 39 ...
by AHTFY
Fri Dec 27, 2019 8:26 am
Forum: Investing - Theory, News & General
Topic: I don't have faith in small and value premiums
Replies: 409
Views: 14781

Re: I don't have faith in small and value premiums

Further, three decades ago the small and value premiums were either not known or not widely known, so we have to consider the possibility that they've been arbitraged away. This very thread reason (again) why I'm not worried about that. 100% SV IMHO, this doesn't make any sense. No one here is bett...
by AHTFY
Thu Dec 26, 2019 7:14 pm
Forum: Investing - Theory, News & General
Topic: I don't have faith in small and value premiums
Replies: 409
Views: 14781

Re: I don't have faith in small and value premiums

The key is that these small and value premia are uncorrelated to the market. This may be true for factors. But not for SCV. The correlation between SCV and TSM > 80%. The correlation between small cap value stocks and TSM is 80%. But the correlation between the SCV premium and TSM is supposedly zer...
by AHTFY
Thu Dec 26, 2019 6:31 pm
Forum: Investing - Theory, News & General
Topic: I don't have faith in small and value premiums
Replies: 409
Views: 14781

Re: I don't have faith in small and value premiums

I would guess that moving forward, a true SV fund (maybe not Vanguard) will beat the market by 1% over most 25 year periods. But I don't have faith that it won't underperform by that amount either. But again, if you tilt to SV by putting 25% into it, you're only getting 0.25% in extra returns. Not ...
by AHTFY
Thu Dec 26, 2019 6:18 pm
Forum: Investing - Theory, News & General
Topic: I don't have faith in small and value premiums
Replies: 409
Views: 14781

Re: I don't have faith in small and value premiums

I want to add that I have less confidence in the small cap premium because there are fewer truly small cap stocks these days. The number of publicly traded companies in the US has fallen in half since 1997. It has become too costly for small companies to go public. So today's small caps are not the ...
by AHTFY
Thu Dec 26, 2019 6:13 pm
Forum: Investing - Theory, News & General
Topic: I don't have faith in small and value premiums
Replies: 409
Views: 14781

Re: I don't have faith in small and value premiums

Here’s why I believe it: Junk bonds have higher yields than treasury bonds. That’s because they’re riskier and need to compensate you. Otherwise they’re an obvious free lunch no? Value stocks literally cost less for a unit of earning/book market/etc. It’s like they yield more right now. Either you ...
by AHTFY
Thu Dec 26, 2019 6:02 pm
Forum: Investing - Theory, News & General
Topic: I don't have faith in small and value premiums
Replies: 409
Views: 14781

Re: I don't have faith in small and value premiums

And here is an interesting 26 year period. Note that I am showing 100% S&P500, 100% SCV, and 50/50. While the SCV outperformed overall, it had the lowest sharpe ratio. By going 50/50 you barely reduce overall return, but greatly reduce volatility and increase sharpe to the highest of all three. htt...