Search found 11 matches

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: 1502
Views: 108915

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: 1502
Views: 108915

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: 1502
Views: 108915

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: 1502
Views: 108915

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: 1502
Views: 108915

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: 1502
Views: 108915

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: 1502
Views: 108915

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: 1502
Views: 108915

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 leverage a...
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: 1502
Views: 108915

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: 1502
Views: 108915

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.