Search found 20 matches

by Diego_Quant
Sun Feb 02, 2020 11:42 pm
Forum: Investing - Theory, News & General
Topic: Should I use margin to buy a balanced fund?
Replies: 933
Views: 269978

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

Hi Rob, are you still with that way of investing?
by Diego_Quant
Mon Dec 16, 2019 7:18 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 7827
Views: 766462

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

How do you calculate the allocations for target volatility? Portfolio Visualizer has a 2-day data delay I just Google search "UPRO Historical Volatility" and the first result is Alphaquery.com, which displays the 30-day (among others). then, (UPRO Target %) = (UPRO Target Volatility) / (U...
by Diego_Quant
Mon Dec 16, 2019 7:07 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 7827
Views: 766462

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

Do you still think 43/57 UPRO/EDV is the right mix? From the last EDV peak in June-Aug 2012 ($135) - Portfolio Visualizer suggests 52/48 or even 65/35. Suggests it for what criteria? Any optimization that only looks at an equity bull will skew towards equity. I liked it, but there are many options ...
by Diego_Quant
Sun Dec 15, 2019 6:46 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 7827
Views: 766462

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

I'm staying in with MotoTrojan's 43/57 UPRO/EDV. 10% of my portfolio, all in Roth space. Up a nice 12.3% since I got in. The rest of my portfolio is 90/10 with a domestic small-cap value tilt and a mix of ex-US small cap and emerging markets for my intl allocation. Glad it lives on without me :). D...
by Diego_Quant
Tue Dec 10, 2019 7:59 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 7827
Views: 766462

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

Also, there is no way to buy 309,696 of ZN. Yes, I know, but you can buy futures and complete the remaining part with etfs. The numbers cited were only an example True, but I guess in your example for TLT why wouldn't you just buy ZB instead of leveraging up ZN. I'm not saying its better, but seems...
by Diego_Quant
Tue Dec 10, 2019 5:33 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 7827
Views: 766462

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

Hello everyone, mathematical riddle: 1) According to the Ishares website: TLT Weighted Avg. Maturity = 25.55 years IEF Weighted Avg. Maturity = 8.54 years So, 25.55 / 8.54 = 2.9918 So: Buy $ 100,000 of TLT = Buy 299,180 of IEF 2) According to the CME Group website: ZN Deliverable Maturities = 6.50 ...
by Diego_Quant
Tue Dec 10, 2019 3:23 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 7827
Views: 766462

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

Hello everyone, mathematical riddle: 1) According to the Ishares website: TLT Weighted Avg. Maturity = 25.55 years IEF Weighted Avg. Maturity = 8.54 years So, 25.55 / 8.54 = 2.9918 So: Buy $ 100,000 of TLT = Buy 299,180 of IEF 2) According to the CME Group website: ZN Deliverable Maturities = 6.50 ...
by Diego_Quant
Tue Dec 10, 2019 1:55 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 7827
Views: 766462

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

Hello everyone, mathematical riddle: 1) According to the Ishares website: TLT Weighted Avg. Maturity = 25.55 years IEF Weighted Avg. Maturity = 8.54 years So, 25.55 / 8.54 = 2.9918 So: Buy $ 100,000 of TLT = Buy 299,180 of IEF 2) According to the CME Group website: ZN Deliverable Maturities = 6.50 ...
by Diego_Quant
Mon Dec 09, 2019 7:39 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 7827
Views: 766462

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

Hello everyone, mathematical riddle: 1) According to the Ishares website: TLT Weighted Avg. Maturity = 25.55 years IEF Weighted Avg. Maturity = 8.54 years So, 25.55 / 8.54 = 2.9918 So: Buy $ 100,000 of TLT = Buy 299,180 of IEF 2) According to the CME Group website: ZN Deliverable Maturities = 6.50 t...
by Diego_Quant
Fri Oct 18, 2019 5:14 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 7827
Views: 766462

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

Wouldn't 3x Ultra treasury bond future be equivalent to 1x TMF? Yes...... no vol decay and no expense ratio.... of course the current exposure for one Ultra 30 is $195k... so you'd need a portfolio that is roughly $130k in size ($65k bonds 3x at 50/50 equities/bonds.) Not sure how many here have al...
by Diego_Quant
Fri Oct 18, 2019 5:12 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 7827
Views: 766462

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

[/quote]

1) you don't have to use the Ultra 30 to get you duration exposure. You could use higher relative leverage on a lower duration instrument

[/quote]

Could you explain how that would be? Thanks
by Diego_Quant
Fri Oct 11, 2019 3:42 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 7827
Views: 766462

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

Diego_Quant wrote: Fri Oct 11, 2019 11:12 am ES=SPY
ZN=IEF
GC=GLD
UB=TLT

It is right?
Something to add?
Can anyone confirm if it is correct?
by Diego_Quant
Fri Oct 11, 2019 11:12 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 7827
Views: 766462

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

ES=SPY
ZN=IEF
GC=GLD
UB=TLT

It is right?
Something to add?
by Diego_Quant
Fri Oct 11, 2019 11:06 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 7827
Views: 766462

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

Someone has the "CASHZERO" file available, I can't find it. Thank you
by Diego_Quant
Wed Oct 09, 2019 11:17 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 7827
Views: 766462

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

I would say 1.5% would be a reasonable expected return. Right. Let's do the same for the 3 month Treasury (the cash rate). Given our assumption about the random walk nature of rates, then the current 1.7% yield would be our expected return for cash for the upcoming decade as well. Given that our ex...
by Diego_Quant
Sat Sep 14, 2019 11:01 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 7827
Views: 766462

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

So I’m fine with a targeted max DD of 60-70%. I was 100% global SCV before this thread. Since 1987, the 20day risk parity strategy using s/p500/LTTs would've had a max DD of 12%, thus a 4.5x leveraged strategy would’ve fallen 54%. I’m in IBs “portfolio margin” setup where they allow me to borrow up...
by Diego_Quant
Sat Sep 14, 2019 7:24 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 7827
Views: 766462

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

So for those who say allocate 10% of their portfolio to this strategy, you could simply allocate a slightly higher amount during market dips. Thoughts? Where would these "extra" funds come from? Well, in my case, I’m using margin at IB. So I start with 3.5x leverage and then increase the ...
by Diego_Quant
Fri Sep 06, 2019 6:06 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 7827
Views: 766462

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

Would you implement this strategy with 100% of the capital? Would you trust your retirement savings using this strategy? Thanks
by Diego_Quant
Wed Sep 04, 2019 5:54 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 7827
Views: 766462

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

Hi, why not use futures (instead of leveraged ETFs)?
Thank you for your excellent work.