Search found 81 matches

by interestediniras
Fri Jul 26, 2019 10:35 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 341714

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

Even if StDev isn't a perfect measure or risk, it is a good measure of volatility, no? I have personal definitions for those concepts but in general, they're open to interpretation. My point doesn't hinge on that at all though. It's as follows: Daily market returns are nowhere near normally distrib...
by interestediniras
Mon Apr 08, 2019 6:11 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 341714

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

Lest anyone claim I have been willfully ignorant of the arguments against the strategy, here is a backtest that is rather disappointing: https://www.portfoliovisualizer.com/backtest-portfolio?s=y&timePeriod=2&startYear=2015&firstMonth=3&endYear=2019&lastMonth=12&calendarAligned=false&endDate=04%2F0...
by interestediniras
Tue Mar 26, 2019 12:57 am
Forum: Investing - Theory, News & General
Topic: Long term treasuries as stock insurance
Replies: 65
Views: 4959

Re: Long term treasuries as stock insurance

305pelusa: the correlation ("R12") is also a function of the standard deviations of the individual variables (i.e., a function of "S2"), hence your derivative is incorrect

(this should not be interpreted as a claim about the validity of your overall conclusion)
by interestediniras
Fri Mar 15, 2019 10:58 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 341714

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

I'll bite by giving as many details as I feel comfortable divulging. My original post from 2/15 stated that I would open a 10% UPRO, 45% TMF, and 45% TQQQ portfolio. After more research, I've decided to switch it up... I will build 2 mini-portfolios, which will total 5% of my total portfolio when c...
by interestediniras
Thu Mar 14, 2019 10:10 pm
Forum: Personal Consumer Issues
Topic: How do you confirm that bills are successfully paid?
Replies: 38
Views: 2746

Re: How do you confirm that bills are successfully paid?

Amusingly, I profited $50 from this, as my landlord declined to charge me the late fee, but prior to that Schwab had already agreed to refund me $50.
by interestediniras
Thu Mar 14, 2019 7:58 pm
Forum: Personal Consumer Issues
Topic: How do you confirm that bills are successfully paid?
Replies: 38
Views: 2746

How do you confirm that bills are successfully paid?

I set up automatic bill pay with Schwab to pay my rent. It worked for half a year, and then suddenly a check simply failed to make its way to my landlord. Of course Schwab says they sent it, and my landlord says they didn't receive it. Who knows what happened? They were kind enough to waive the late...
by interestediniras
Tue Mar 12, 2019 12:10 am
Forum: Personal Investments
Topic: Review of investment strategy (leverage+factors)
Replies: 21
Views: 1293

Re: Review of investment strategy (leverage+factors)

I agree with siamond’s suggestion to carve out a portion of your assets for a more “traditional” approach. The way I look at it is this. If all of this talk about leverage works out, your leveraged bet will far outstrip everything else you own. And if it doesn’t, you at least have something to fall...
by interestediniras
Mon Mar 11, 2019 11:01 pm
Forum: Personal Investments
Topic: Review of investment strategy (leverage+factors)
Replies: 21
Views: 1293

Re: Review of investment strategy (leverage+factors)

Thank you for the comments, I will really take them to heart. Yes, I agree more hedging would likely be beneficial -- the exact form that would take, though, is less clear to me. Concretely, one option is to substitute in some EDV instead of the levered LTTs. Another option is gold/commodities, but ...
by interestediniras
Mon Mar 11, 2019 10:46 pm
Forum: Personal Investments
Topic: Review of investment strategy (leverage+factors)
Replies: 21
Views: 1293

Re: Review of investment strategy (leverage+factors)

whodidntante wrote:
Mon Mar 11, 2019 10:39 pm
You need a catchier title. I recommend the "party time! excellent! strategy."
As far as titles go, I like the idea of minting my investment strategy "Long-Term Capital Management" :D
by interestediniras
Mon Mar 11, 2019 10:36 pm
Forum: Personal Investments
Topic: Review of investment strategy (leverage+factors)
Replies: 21
Views: 1293

Re: Review of investment strategy (leverage+factors)

On reflection, adjusted to 2x overall exposure, as my overall financial position is strong enough that further return/risk on this frontier is probably not warranted from the standpoint of diminishing marginal utility of money.
by interestediniras
Mon Mar 11, 2019 10:24 pm
Forum: Investing - Theory, News & General
Topic: Is there any downside to investing in bond futures?
Replies: 89
Views: 7167

Re: Is there any downside to investing in bond futures?

Is what is acceptable for collateral only determined by the exchange, i.e. CBOE, or does the brokerage determine acceptable collateral? For Tsy Futures would be CME....but yes it’s broker dependent, for instance IB requires 1 mill for using TBills as collateral....however most FCM’s would do it for...
by interestediniras
Mon Mar 11, 2019 10:21 pm
Forum: Personal Investments
Topic: Review of investment strategy (leverage+factors)
Replies: 21
Views: 1293

Re: Review of investment strategy (leverage+factors)

Thanks HEDGEFUNDIE -- I was actually just about to revise this post downward to 2.5x leverage. Let me go ahead and do that before my reputation on this forum is cemented as that of a total lunatic. Yeah, I was also going to suggest no more than 2x leverage, as a first step to bring this strategy cl...
by interestediniras
Mon Mar 11, 2019 10:02 pm
Forum: Personal Investments
Topic: Review of investment strategy (leverage+factors)
Replies: 21
Views: 1293

Re: Review of investment strategy (leverage+factors)

Thanks HEDGEFUNDIE -- I was actually just about to revise this post downward to 2.5x leverage. Let me go ahead and do that before my reputation on this forum is cemented as that of a total lunatic. Risk profile of 100/0 is "fine" considering that right now I hold 100% total US stock market out of la...
by interestediniras
Mon Mar 11, 2019 9:48 pm
Forum: Investing - Theory, News & General
Topic: Is there any downside to investing in bond futures?
Replies: 89
Views: 7167

Re: Is there any downside to investing in bond futures?

Is what is acceptable for collateral only determined by the exchange, i.e. CBOE, or does the brokerage determine acceptable collateral? For Tsy Futures would be CME....but yes it’s broker dependent, for instance IB requires 1 mill for using TBills as collateral....however most FCM’s would do it for...
by interestediniras
Mon Mar 11, 2019 3:02 pm
Forum: Investing - Theory, News & General
Topic: My name is _____, & I am a MARKET TIMER.
Replies: 109
Views: 8293

Re: My name is _____, & I am a MARKET TIMER.

The "perfect market timer" will have effectively infinite money, being able to capitalize exactly on market movements at every timescale. I don't understand how this is even remotely disputable. Taxes? Really? Not sure in general what the value of discussing this idealization is.
by interestediniras
Mon Mar 11, 2019 2:54 pm
Forum: Investing - Theory, News & General
Topic: Sell RSUs when stock is significantly down?
Replies: 20
Views: 1493

Re: Sell RSUs when stock is significantly down?

It is reasonable to attempt to time the market when you have insider information. As you are currently an employee, if you feel the price will go up, then hold.
by interestediniras
Mon Mar 11, 2019 2:49 pm
Forum: Investing - Theory, News & General
Topic: Year's worth of earnings in two months?
Replies: 69
Views: 7695

Re: Year's worth of earnings in two months?

I am currently all cash and will stay that way until I feel the market has adjusted by at least 20%. That may or may not happen but in the meantime I can live very comfortably on my meager mm interest rate and SS. Imo rolling the dice at the 10 year mark of a bull market is not a bet I care to make...
by interestediniras
Mon Mar 11, 2019 1:51 pm
Forum: Investing - Theory, News & General
Topic: Fixed Income Volatility Should Vary Based on % Equity Allocation
Replies: 21
Views: 1552

Re: Fixed Income Volatility Should Vary Based on % Equity Allocation

In any case, from an information theoretic perspective, it feels like adding noise to my portfolio, which intuitively seems undesirable. This is probably an important point: often investors focus so much on expected return that diversification seems like noise and therefore something to be avoided....
by interestediniras
Mon Mar 11, 2019 1:27 pm
Forum: Personal Finance (Not Investing)
Topic: Are academic enrichment courses for school age kids worth it
Replies: 61
Views: 3597

Re: Are academic enrichment courses for school age kids worth it

Lots of good replies and too many to quote. By way of explanation the private tutor arose because my oldest was not reading midway through kindergarten. ..... That's developmentally normal. Not ideal for bragging rights, but perfectly normal for even bright kids. The tutor had success, but if it wa...
by interestediniras
Mon Mar 11, 2019 1:25 pm
Forum: Investing - Theory, News & General
Topic: Fixed Income Volatility Should Vary Based on % Equity Allocation
Replies: 21
Views: 1552

Re: Fixed Income Volatility Should Vary Based on % Equity Allocation

Also, IMO gold and commodities have expected zero return, i.e. below risk-free rate, which makes it inefficient to hold them above 0%, but happy to be proven wrong. I think most people would assume a 0% real return over the long-term, not a 0% nominal return. Yes, I mean 0% real. 0% real should pre...
by interestediniras
Mon Mar 11, 2019 1:18 pm
Forum: Personal Finance (Not Investing)
Topic: Are academic enrichment courses for school age kids worth it
Replies: 61
Views: 3597

Re: Are academic enrichment courses for school age kids worth it

Not reading the preceding discussion. The answer is simply no, it is not worth it. School is bad enough. Preferably you would reduce the number of hours spent in school, actually. If you want your kids to learn math, then get a copy of Serge Lang's Basic Mathematics and work through it with them. On...
by interestediniras
Mon Mar 11, 2019 1:15 pm
Forum: Investing - Theory, News & General
Topic: Maxing a Roth IRA early in the year
Replies: 15
Views: 1169

Re: Maxing a Roth IRA early in the year

You will realize a higher expected return if you liquidate to fund your Roth. You should actually repurchase a broad index which is slightly different from VTSAX so you can claim the capital loss, and then switch back to VTSAX a month later in your Roth if you prefer. However, even if the wash sale ...
by interestediniras
Mon Mar 11, 2019 1:06 pm
Forum: Investing - Theory, News & General
Topic: Year's worth of earnings in two months?
Replies: 69
Views: 7695

Re: Year's worth of earnings in two months?

Market timing aside, a major issue here is the arbitrary and completely imaginary division of time into "calendar years" and the implied notion that these arbitrary boundaries have any relevance to investment decisions.
by interestediniras
Mon Mar 11, 2019 12:55 pm
Forum: Investing - Theory, News & General
Topic: Fixed Income Volatility Should Vary Based on % Equity Allocation
Replies: 21
Views: 1552

Re: Fixed Income Volatility Should Vary Based on % Equity Allocation

vineviz wrote:
Mon Mar 11, 2019 12:38 pm
interestediniras wrote:
Mon Mar 11, 2019 12:12 pm
Also, IMO gold and commodities have expected zero return, i.e. below risk-free rate, which makes it inefficient to hold them above 0%, but happy to be proven wrong.
I think most people would assume a 0% real return over the long-term, not a 0% nominal return.
Yes, I mean 0% real.
by interestediniras
Mon Mar 11, 2019 12:12 pm
Forum: Investing - Theory, News & General
Topic: Fixed Income Volatility Should Vary Based on % Equity Allocation
Replies: 21
Views: 1552

Re: Fixed Income Volatility Should Vary Based on % Equity Allocation

I generally agree, but desire to apply leverage complicates things. I recall reading that the futures market is very liquid for Treasuries and Eurodollar strips, less so for other fixed income products. Also, IMO gold and commodities have expected zero return, i.e. below risk-free rate, which makes ...
by interestediniras
Mon Mar 11, 2019 1:59 am
Forum: Personal Investments
Topic: Review of investment strategy (leverage+factors)
Replies: 21
Views: 1293

Review of investment strategy (leverage+factors)

Hi all, Thank you to everyone here at the Bogleheads.org forum for the very interesting discussions I have participated in over the last month. They have really helped me clarify my thinking about my overall asset allocation and investment strategy. I would really appreciate it if I could get some c...
by interestediniras
Sat Mar 09, 2019 7:26 pm
Forum: Investing - Theory, News & General
Topic: Simulating Returns of Leveraged ETFs
Replies: 277
Views: 27796

Re: Simulating Returns of Leveraged ETFs

siamond: I would be happy to try to reproduce some of your results and play around with the data myself. Can you write a post or send me a PM with links to all of the raw and simulated data? It would be helpful to have all of that consolidated in one place.
by interestediniras
Sat Mar 09, 2019 7:06 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 341714

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

So with this new data, I think the bottom line for the strategy is this: If you believe we will ever return to the Federal Reserve interest rate regime of pre-1982, then you should probably not pursue this. If, however, you believe that the Fed post-Volcker is a fundamentally different place, relia...
by interestediniras
Sat Mar 09, 2019 12:43 am
Forum: Personal Consumer Issues
Topic: 5 days in Hong Kong - Seeking travel tips
Replies: 23
Views: 2002

Re: 5 days in Hong Kong - Seeking travel tips

I like to get off at random MTR stops and wander. IMO a great way to travel in general around Asian metropolises.
by interestediniras
Fri Mar 08, 2019 11:39 pm
Forum: Investing - Theory, News & General
Topic: Improving the Dalio/Robbins All-Seasons Portfolio
Replies: 256
Views: 63271

Re: Improving the Dalio/Robbins All-Seasons Portfolio

DonIce: How do you incrementally increase the size of a leveraged portfolio based on futures by a small number e.g. 5k from your monthly paycheck? One thing really holding me back from jumping on the futures train is the apparent difficulty of handling the large contract sizes. Just add holdings as...
by interestediniras
Fri Mar 08, 2019 7:57 pm
Forum: Investing - Theory, News & General
Topic: Improving the Dalio/Robbins All-Seasons Portfolio
Replies: 256
Views: 63271

Re: Improving the Dalio/Robbins All-Seasons Portfolio

DonIce: How do you incrementally increase the size of a leveraged portfolio based on futures by a small number e.g. 5k from your monthly paycheck? One thing really holding me back from jumping on the futures train is the apparent difficulty of handling the large contract sizes.
by interestediniras
Wed Mar 06, 2019 2:56 am
Forum: Investing - Theory, News & General
Topic: Do you think about volatility drag on your portfolio?
Replies: 246
Views: 25012

Re: Do you think about volatility drag on your portfolio?

Thought I’d give this thread a bump this weekend. I think it’s a substantial issue. Narrowing the SD of a portfolio while keeping average expected return constant will increase the expected geometric return. Volatility drag is a real cost. Dave This seems like an unusual optimization procedure. IMO...
by interestediniras
Tue Mar 05, 2019 7:55 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 341714

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

I had been wondering about the fact that even though our simulated data is daily, we're just seeing end of month results from Portfoliovisualizer. Perhaps the re-balancing, occurring on the last day of every three months would work out very differently if one re-balanced in the middle of the month....
by interestediniras
Tue Mar 05, 2019 3:42 pm
Forum: Investing - Theory, News & General
Topic: Do you think about volatility drag on your portfolio?
Replies: 246
Views: 25012

Re: Do you think about volatility drag on your portfolio?

Thought I’d give this thread a bump this weekend. I think it’s a substantial issue. Narrowing the SD of a portfolio while keeping average expected return constant will increase the expected geometric return. Volatility drag is a real cost. Dave This seems like an unusual optimization procedure. IMO...
by interestediniras
Tue Mar 05, 2019 3:38 pm
Forum: Investing - Theory, News & General
Topic: Uncorrelated Asset Classes
Replies: 89
Views: 7839

Re: Uncorrelated Asset Classes

I don't get why people say diversification is dead. Perhaps from a US-only perspective, and ignoring everything before 2008/9 ? March 2009 to today, US up about 400%, non-US 260% Yes, I think recency bias. You might find this article interesting. http://multifactorworld.com/the-sp-500-goes-supernov...
by interestediniras
Tue Mar 05, 2019 3:35 pm
Forum: Investing - Theory, News & General
Topic: Do you think about volatility drag on your portfolio?
Replies: 246
Views: 25012

Re: Do you think about volatility drag on your portfolio?

Agree with the other posters that volatility drag as presented here is a non-issue. It's simply the observation that averaging annual returns does not actually get you the CAGR, and so bar charts of annual return over a period of years are highly misleading. What is relevant is that volatility is a ...
by interestediniras
Tue Mar 05, 2019 3:10 pm
Forum: Investing - Theory, News & General
Topic: Simulating Returns of Leveraged ETFs
Replies: 277
Views: 27796

Re: Simulating Returns of Leveraged ETFs

Yes, they merely incrementally reposition, which is why capital flow can obviate the need for explicit rebalancing:
https://www.federalreserve.gov/econresd ... 106pap.pdf
by interestediniras
Tue Mar 05, 2019 3:06 pm
Forum: Investing - Theory, News & General
Topic: FORECAST function vs. fund dividends
Replies: 4
Views: 453

Re: FORECAST function vs. fund dividends

In general, if you know a priori that your data are generated by some process, then the choice of statistical model should be made to reflect that process. Since we know a priori that some funds randomly pay large dividends, we should either remove that data or change the statistical model to accoun...
by interestediniras
Tue Mar 05, 2019 1:12 am
Forum: Personal Investments
Topic: H&R Rep says Backdoor Roth closed/changed..now what?
Replies: 25
Views: 2947

Re: H&R Rep says Backdoor ROTH closed/changed..now what?

The new tax law does not permit recharacterization of Roth IRA contributions to Traditional IRA contributions in taxable year 2018. I don't believe that is true. You can not recharacterize CONVERSIONS, but you should still be able to recharacterize CONTRIBUTIONS if you earned too much I think you'r...
by interestediniras
Tue Mar 05, 2019 1:07 am
Forum: Personal Investments
Topic: H&R Rep says Backdoor Roth closed/changed..now what?
Replies: 25
Views: 2947

Re: Tangled & messy...did we just mess up the Backdoor Roth?

The new tax law does not permit recharacterization of Roth IRA contributions to Traditional IRA contributions in taxable year 2018. What should have been done is (1) removal of the Roth IRA contributions, (2) non-tax deferred contribution to a Traditional IRA, and (3) conversion of the Traditional ...
by interestediniras
Tue Mar 05, 2019 12:59 am
Forum: Personal Investments
Topic: H&R Rep says Backdoor Roth closed/changed..now what?
Replies: 25
Views: 2947

Re: Tangled & messy...did we just mess up the Backdoor Roth?

The new tax law does not permit recharacterization of Roth IRA contributions to Traditional IRA contributions in taxable year 2018. What should have been done is (1) removal of the Roth IRA contributions, (2) non-tax deferred contribution to a Traditional IRA, and (3) conversion of the Traditional I...
by interestediniras
Mon Mar 04, 2019 5:05 pm
Forum: Investing - Theory, News & General
Topic: FORECAST function vs. fund dividends
Replies: 4
Views: 453

Re: FORECAST function vs. fund dividends

You should identify and exclude outliers before fitting a statistical model. As for the "least square roots" method you are suggesting, I think you mean that points farther away from the mean should be weighted less in the regression, or something similar to that. I think the resulting optimization ...
by interestediniras
Sun Mar 03, 2019 4:27 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 341714

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

Interestediniras, can I give you some friendly advice? You’re going about this all wrong. Let’s compare TMF (3x LTT) with TYD (3x ITT) since inception: https://www.portfoliovisualizer.com/fund-performance?s=y&symbol=TMF&benchmark=TYD&endDate=03%2F02%2F2019 It is clear that TMF exhibits more volatil...
by interestediniras
Sun Mar 03, 2019 3:12 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 341714

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

Interesting thought from another thread on leverage; daily rebalancing ETFs works far better for equities than treasuries (and especially commodities) since the higher expected equity returns better combat the volatility drag. Seem to recall someone quoting that UPRO since inception has destroyed i...
by interestediniras
Sun Mar 03, 2019 2:31 am
Forum: Investing - Theory, News & General
Topic: Understanding using treasury futures for leverage to implement risk parity
Replies: 166
Views: 16337

Re: Understanding using treasury futures for leverage to implement risk parity

One contract of ZF ("five year" treasury futures) would give you 100k of exposure to something like a 4.2 year maturity treasury. Looking at the CME treasury analytics website, it looks like this is a quarter of a ZB contract. If you had 50k, you could hold 49k of some stock ETF, and then one ZF co...
by interestediniras
Sun Mar 03, 2019 2:05 am
Forum: Investing - Theory, News & General
Topic: Uncorrelated Asset Classes
Replies: 89
Views: 7839

Re: Uncorrelated Asset Classes

Thanks. That all makes sense. Would you generally recommend using futures to implement a leveraged risk parity portfolio? I don't quite understand futures yet, but it seems like the size of each contract is very large, e.g. over 100k for an E-mini S&P 500. Is it accurate to say that this means I wo...
by interestediniras
Sat Mar 02, 2019 3:25 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 341714

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

Yeah, the sequence doesn't really matter, does it? It's just multiplication, so it's the number and magnitude of the down days and up days, in no particular order. $100 +20% -10% + 20% -10% +20% -10% = $125.97 $100 -10% -10% -10% +20% +20% +20% = $125.97 And the "volatility decay" is simply a refle...
by interestediniras
Sat Mar 02, 2019 2:47 pm
Forum: Investing - Theory, News & General
Topic: Uncorrelated Asset Classes
Replies: 89
Views: 7839

Re: Uncorrelated Asset Classes

If you're looking at levering up your portfolio then your argument about a return above the risk free rate is moot, as you can get quite a good return in a leveraged portfolio in gold and/or commodities. You simply need some form of a hard asset if you're going to create a truly uncorrelated portfo...