Search found 106 matches

by celerity
Tue Apr 28, 2020 12:33 am
Forum: Personal Investments
Topic: Are ETFs Really That Safe?
Replies: 61
Views: 7966

Re: Are ETFs Really That Safe?

@alex_686
@grabiner

Thanks for explaining!
by celerity
Mon Apr 27, 2020 2:51 pm
Forum: Personal Investments
Topic: Are ETFs Really That Safe?
Replies: 61
Views: 7966

Re: Are ETFs Really That Safe?

Question here.

What will happen to an ETF if many investors withdraw their money at the same time (for example) if the ETF contains infrequently traded HY corporate bonds? Will the fund manager temporary borrow liquidity to allow withdrawals and sell the assets later? Or suspend trading completely?
by celerity
Sat Feb 22, 2020 2:40 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 7867
Views: 770299

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

physixfan wrote: Sat Feb 22, 2020 2:21 pm
HEDGEFUNDIE wrote: Fri Feb 21, 2020 5:44 pm
considering starting my own hedge fund.
Wow nice
Methinks he was ironic :happy
by celerity
Mon Feb 17, 2020 6:56 pm
Forum: Investing - Theory, News & General
Topic: Portfolio Visualizer - zero return data series
Replies: 7
Views: 640

Re: Portfolio Visualizer - zero return data series

That would be one case but there are other cases as well. Question: Are you planning to subscribe to the Basic plan for $19/mo? If so, I would recommend submitting feedback asking that they consider allowing a limited number of data series to be saved under the Basic plan. I would imagine that ther...
by celerity
Thu Jan 30, 2020 2:34 pm
Forum: Investing - Theory, News & General
Topic: Portfolio Visualizer Going Subscription
Replies: 126
Views: 10607

Re: Portfolio Visualizer Going Subscription

Disappointed. I need the ability to import data series but $39 a MONTH is just too much for me. I suppose I have to learn portfolio opimization in Python now or fork PV from GitHub and host a free version. PortfolioVisualier is public on github? I see a repo under codento but that doesn't appear to...
by celerity
Thu Jan 30, 2020 1:29 pm
Forum: Personal Investments
Topic: SEC Proposing to block leveraged ETF!
Replies: 57
Views: 5667

Re: SEC Proposing to block leveraged ETF!

Appreciate all the anaslysis. About a week ago interactive brokers had me fill out an online form/questionnaire detailing my years of experience trading options etc in order to continue to trade leveraged ETFs. I am hoping that this is all that will be required. That’s the case in the EU. Perfectly...
by celerity
Thu Jan 30, 2020 1:09 pm
Forum: Investing - Theory, News & General
Topic: Portfolio Visualizer Going Subscription
Replies: 126
Views: 10607

Re: Portfolio Visualizer Going Subscription

Disappointed. I need the ability to import data series but $39 a MONTH is just too much for me. I suppose I have to learn portfolio opimization in Python now or fork PV from GitHub and host a free version.
by celerity
Wed Aug 14, 2019 1:14 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 7867
Views: 770299

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

What ETFs are you looking at for your 2 leveraged options? WisdomTree. S&P 500 3x Leverage Daily ETP 3USL US Treasuries 10Y 3x Leverage Daily ETP 3TYL Fellow EU investor here. What’s the difference between ETP and ETF? Is the counterparty risk the same? Too bad 3TYL isn’t traded on Xetra though.
by celerity
Tue Jun 04, 2019 4:50 pm
Forum: Investing - Theory, News & General
Topic: Excellent Larry Swedroe Podcast Interview: Factors For The Long Run
Replies: 337
Views: 21896

Re: Excellent Larry Swedroe Podcast Interview: Factors For The Long Run

Before you try any of this, you need to do some research. Nice summary, although I was wondering about portfolio construction techniques :) A "market portfolio" is usually one that simply holds every marketable security in proportion to its size. So, by this definition, a market portfolio...
by celerity
Tue Jun 04, 2019 10:00 am
Forum: Investing - Theory, News & General
Topic: Excellent Larry Swedroe Podcast Interview: Factors For The Long Run
Replies: 337
Views: 21896

Re: Excellent Larry Swedroe Podcast Interview: Factors For The Long Run

What does a market portfolio look like with factors? I’m a simple man, I don’t understand anything outside CAPM. How much capital do I put in each factor?
by celerity
Wed May 29, 2019 11:10 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Home Country Bias Ubiquitous
Replies: 37
Views: 5014

Re: Larry Swedroe: Home Country Bias Ubiquitous

For those who’d like a serious overview of current home bias research:

Home bias in open economy financial macroeconomics (Coeurdacier, Rey 2013)
by celerity
Tue Apr 23, 2019 8:24 pm
Forum: Investing - Theory, News & General
Topic: Simulating Returns of Leveraged ETFs
Replies: 322
Views: 45762

Re: Simulating Returns of Leveraged ETFs

I don't think this is a European vs US thing. As far as I understand, this is primarily a marketing thing (a real-life fund looks better when comparing to the NR index than when comparing to the GR index!). Even Vanguard US ended up using the same trick if only because Fidelity and the likes did it...
by celerity
Tue Apr 23, 2019 8:00 pm
Forum: Investing - Theory, News & General
Topic: Simulating Returns of Leveraged ETFs
Replies: 322
Views: 45762

Re: Simulating Returns of Leveraged ETFs

I've noticed several of the European indices actually simulate all the way back to the early 1990s. How's that possible when the euro was introduced only in 1999? Germany still had Deutschmark back then. For example: https://sgi.sgmarkets.com/en/index-details/TICKER:SGIXBRX/performances/ https://ww...
by celerity
Tue Apr 23, 2019 2:08 pm
Forum: Investing - Theory, News & General
Topic: Simulating Returns of Leveraged ETFs
Replies: 322
Views: 45762

Re: Simulating Returns of Leveraged ETFs

I've noticed several of the European indices actually simulate all the way back to the early 1990s. How's that possible when the euro was introduced only in 1999? Germany still had Deutschmark back then. For example: https://sgi.sgmarkets.com/en/index-details/TICKER:SGIXBRX/performances/ https://www...
by celerity
Sun Apr 21, 2019 1:17 pm
Forum: Investing - Theory, News & General
Topic: Simulating Returns of Leveraged ETFs
Replies: 322
Views: 45762

Re: Simulating Returns of Leveraged ETFs

I know we changed some PMs, but why do you need Net instead of Gross? In fact, in Europe, since these kind of leveraged ETFs do know distribute any dividends, and surely we should be using the Gross index, right? :confused Pretty much every ETF in Europe uses Net Return as benchmark. The fund still...
by celerity
Sun Apr 21, 2019 11:39 am
Forum: Investing - Theory, News & General
Topic: Simulating Returns of Leveraged ETFs
Replies: 322
Views: 45762

Re: Simulating Returns of Leveraged ETFs

Btw, could someone please confirm:

A leveraged EU domiciled fund which tracks an American index e.g. MSCI USA uses EONIA rate and NOT LIBOR for borrowing, right?
by celerity
Sun Apr 21, 2019 11:33 am
Forum: Investing - Theory, News & General
Topic: Simulating Returns of Leveraged ETFs
Replies: 322
Views: 45762

Re: Simulating Returns of Leveraged ETFs

siamond wrote: Sat Apr 20, 2019 9:22 pmAs to the formula, from a European perspective, this sounds good. Just do not forget to add a 'friction costs' factor, which can easily go in the 1% range as you can see with the various experiments we performed in this thread.
I’ve never heard of friction costs. I need to read about it first.
by celerity
Sun Apr 21, 2019 11:29 am
Forum: Investing - Theory, News & General
Topic: Simulating Returns of Leveraged ETFs
Replies: 322
Views: 45762

Re: Simulating Returns of Leveraged ETFs

About MSCI, you can find corresponding data series here . GR series are the ones of interest, GR means Gross Returns (i.e. Total Returns without any tax nor expense ratio considerations). Now if you could be kind enough to share where to find such a long Stoxx 50 data series (either via a public po...
by celerity
Fri Apr 19, 2019 10:51 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 510380

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

Yes, you need intra-month daily volatility to do any proper modeling of leveraged funds, as was explained in this thread . Having daily (total) returns is obviously the easiest way to get to that. SPDR® EURO STOXX 50 ETF has daily data back to Nov-02. iShares STOXX Europe 50 ETF EUR Dist has daily ...
by celerity
Wed Apr 17, 2019 5:53 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 510380

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

For those wanting to apply a similar strategy in Europe, I have estimated an "albeit-similar" portfolio for us the Europeans. Some caveats: - There is currently no x3 leveraged ETF for stocks, nor for treasuries, in Europe that I could found - There is no leveraged MSCI World ETF, therefo...
by celerity
Mon Apr 08, 2019 2:46 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 510380

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

AFAIK price on bonds is determined mainly by two things: Risk premium (likelihood of default) Inflation expectations I suspect one reason why TMF did badly 1955-1981 is due volatility drag. The period afterwards (1985-) is refereed to as the Great Moderation (improved macroeconomic stability). And i...
by celerity
Sat Apr 06, 2019 2:28 pm
Forum: Investing - Theory, News & General
Topic: Open-source software for portfolio optimization?
Replies: 5
Views: 834

Re: Open-source software for portfolio optimization?

The wiki has a list of open-source software, but I'm not sure there's anything that can do what you're looking for. See: Using open source software for portfolio analysis If anyone has a suggestion, I'll be happy to add it to the wiki. Thanks, I've seen the list. It's not exactly what I'm looking f...
by celerity
Sat Apr 06, 2019 2:17 pm
Forum: Investing - Theory, News & General
Topic: Open-source software for portfolio optimization?
Replies: 5
Views: 834

Open-source software for portfolio optimization?

I'm looking for portfolio optimization software for Sharpe, minimum variance, risk parity calculation etc. Stand-alone, Python modules or similar will do. Basically something like Portfolio Visualizer but for offline use.

Any tips?
by celerity
Wed Apr 03, 2019 3:17 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 510380

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

Has the historical return been any better if the portfolio was weighted by low volatility rather than risk parity?
by celerity
Thu Mar 28, 2019 4:25 pm
Forum: Investing - Theory, News & General
Topic: What’s a reasonable bid-ask spread for an ETF?
Replies: 21
Views: 1367

Re: What’s a reasonable bid-ask spread for an ETF?

Thanks for your replies!

<0.05%? ...and I thought 0.20% was a decent spread.

I'll see myself out lol :D
by celerity
Thu Mar 28, 2019 12:50 pm
Forum: Investing - Theory, News & General
Topic: What’s a reasonable bid-ask spread for an ETF?
Replies: 21
Views: 1367

What’s a reasonable bid-ask spread for an ETF?

Suppose you want to save monthly in an ETF but spread is very high. How high is too high for you?
by celerity
Thu Mar 28, 2019 12:19 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 510380

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

long_gamma wrote: Thu Mar 28, 2019 9:53 amRegarding low rates, current German yields are lower than Japan!!. People were predicting Japanese yield to rise for decades, before they gave up. Japanification of Europe is probably the new norm.
I wonder how pwnd I get 10 years from now if I put 80% in German bonds today and yield rises :D
by celerity
Thu Mar 28, 2019 9:30 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 510380

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

Thanks for the suggestions! I am not really interested in investing to the Europe market though but there is at least that Xtrackers fund with 2x S&P500. Do you know of any leveraged funds for US treasuries in the EU? Searching for products in my brokers website is at least abysmal to say the l...
by celerity
Thu Mar 28, 2019 9:23 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 510380

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

Is your data same as this one? SGI Daily Leveraged Bund https://sgi.sgmarkets.com/en/index-details/TICKER:SGIXDLBU/performances/ It is showing cumulative performance of 21% and CAGR of 6.75% for last 3 years, much different than you posted Yes, that’s it. There’s no contradiction though. My chart e...
by celerity
Wed Mar 27, 2019 10:24 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 510380

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

An example of a UCITS-friendly portfolio for EU investors. Unfortunately, leverage is only 2x. 25% ComStage EURO STOXX 50 Daily Leverage UCITS ETF 75% ComStage Commerzbank Bund-Future Leveraged TR UCITS ETF https://i.postimg.cc/QNwdMxvV/risk-parity.png Almost ALL return comes from bonds. Volatility ...
by celerity
Wed Mar 27, 2019 10:09 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 510380

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

Why is it a guaranteed loss? How has the those bonds performed so far, since those rate dipped negative in 2016? I can't predict the future, but it's hard to see how a bond fund with a 0% yield can provide much of hedge against a big drop in stock values. Looks like it can go a little below 0% thou...
by celerity
Wed Mar 27, 2019 5:06 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 510380

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

Is anyone executing a strategy like this but in Europe? I even liquidated some play money positions for this strategy until I noticed I cannot buy UPRO and TMF in the EU. Does anyone know of any suitable substitutes for them that would be available in the EU? Yes, I am. Here’s a list if European LE...
by celerity
Wed Mar 27, 2019 5:00 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 510380

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

Could someone please clarify the consensus on long-term bonds so far? Will rising interest rates be a problem for this strategy? My understanding so far is that it won’t - because what’s important isn’t the return, but covariance with stocks - correct? Rising long-term Treasury yields will definite...
by celerity
Tue Mar 26, 2019 4:21 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 510380

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

It’s also possible it won’t be a problem at all. I posted somewhere wayyy back in this thread several periods where LTT yields GRADUALLY went up (ie <0.5%/yr) and this portfolio would have performed very well. IMO, if rates move gradually this portfolio should survive. If rates shoot up like they d...
by celerity
Tue Mar 26, 2019 12:41 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 510380

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

Could someone please clarify the consensus on long-term bonds so far? Will rising interest rates be a problem for this strategy? My understanding so far is that it won’t - because what’s important isn’t the return, but covariance with stocks - correct?
by celerity
Mon Mar 25, 2019 10:48 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: 2077

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

I didn't dig into the index construction methodology very deeply, but at first glance this seems like exactly the kind of product that would be perfect for an accumulating investor. How would you evaluate a risk parity portfolio? Anything in particular you would be looking at? Yes the TER is higher...
by celerity
Mon Mar 25, 2019 10:18 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: 2077

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

How is this a risk parity strategy if 75% of the risk budget is in stocks? Risk parity can actually mean several things: sensu strictissimo: an ERC portfolio on bonds and equities sensu stricto: all the assets have the same risk contribution sensu lato: a risk budgeting portfolio Source: http://thi...
by celerity
Mon Mar 25, 2019 10:17 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: 2077

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

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. I don't think most people will manage to create a better diversified portfolio on their own. Most leveraged ETFs are 3x while the fund can apply leverage up to...
by celerity
Sun Mar 24, 2019 3:42 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: 2077

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

The Swedish broker Nordnet has recently released a leveraged multi-asset fund in cooperation with J.P. Morgan called “Nordnet Smart 15”. This is how it works (as I understand it): The fund tracks the index J.P. Morgan Nordnet Multi-Asset 15, which is basically a leveraged risk parity portfolio (risk...
by celerity
Sat Mar 23, 2019 1:02 pm
Forum: Investing - Theory, News & General
Topic: Here's my portfolio
Replies: 110
Views: 21273

Re: Here's my portfolio

Intellectually the global weight approach seems a little more dangerous. Remember your Japan example: your approach would have increased exposure to Japan right up until the crash just because everyone else was doing it. Using a top-down maximum diversificaiton approach would have at least given th...
by celerity
Sat Mar 23, 2019 12:54 pm
Forum: Investing - Theory, News & General
Topic: Here's my portfolio
Replies: 110
Views: 21273

Re: Here's my portfolio

I wonder if they deprecated the functionality because "Diversification Ratio" is a registered trademark https://www.mackenzieinvestments.com/en/assets/documents/marketingmaterials/wp-diversification-ratio-en.pdf?m=1562c9cbe08 PV was threatened legal action if they didn’t remove Diversific...
by celerity
Fri Mar 22, 2019 11:33 pm
Forum: Investing - Theory, News & General
Topic: Here's my portfolio
Replies: 110
Views: 21273

Re: Here's my portfolio

No, not trying to replicate global weights. 40% international stocks just ended up being within the region of optimal diversification benefit, and the spot that balanced diversification with fund expenses. I think I've read it (I've read a LOT about diversification) but I don't recall much about th...
by celerity
Fri Mar 22, 2019 8:25 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 510380

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

EU-investors: Are any of you trying this strategy? What ETFs did you pick?
by celerity
Fri Mar 22, 2019 8:23 pm
Forum: Investing - Theory, News & General
Topic: Here's my portfolio
Replies: 110
Views: 21273

Re: Here's my portfolio

This will be long, but you asked. . . . Thanks! :) My personal risk tolerance is pretty high, and for planning purposes I'm targeting portfolio volatility of about 13-14% annualized standard deviation. Do you have a volatility targeting strategy? Such as reducing standard deviation by 50 basis poin...
by celerity
Thu Mar 21, 2019 8:38 am
Forum: Investing - Theory, News & General
Topic: Here's my portfolio
Replies: 110
Views: 21273

Re: Here's my portfolio

Thanks for posting! I thought you had a Risk Parity portfolio? 60% USA, 25% EAFE and 15% EM looks market-cap weighted to me (although with various risk factors). Could you tell us a bit more about your portfolio technique?
by celerity
Tue Mar 19, 2019 12:55 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 510380

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

Sure, I see several problems however. First is picking equity assets with high expected return and low correlation. Risk Parity is agnostic about both. It's true that risk parity is return-agnostic, but that's true of any diversification optimizing algorithm. Whatever process we use to build the po...
by celerity
Mon Mar 18, 2019 9:23 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 510380

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

I've intentionally tried to avoid over-optimizing the risk allocation. As you note, risks change over time and can be unpredictable. Over-optimization can lead to false precision. The long run volatility of stocks is 15%; LTT is 10%. So a risk parity portfolio of only these two assets would weight ...
by celerity
Mon Mar 18, 2019 6:06 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 510380

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

I've intentionally tried to avoid over-optimizing the risk allocation. As you note, risks change over time and can be unpredictable. Over-optimization can lead to false precision. The long run volatility of stocks is 15%; LTT is 10%. So a risk parity portfolio of only these two assets would weight ...
by celerity
Mon Mar 18, 2019 5:46 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 510380

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

Hedgefundie, 24% stdev is pretty much. How do you intend to reduce the risk when you’re approaching withdrawal? Volatility targeting? The long run annual volatility of S&P 500 is 15%, and for LTT it’s 10%. So you would expect the 3x funds to deliver 45% and 30% volatility, respectively. The fac...