Search found 9 matches

by badapu
Sat Mar 23, 2019 7:46 pm
Forum: Investing - Theory, News & General
Topic: Leveraging Stock/Bond Portfolios and the Kelly Criterion
Replies: 19
Views: 1647

Re: Leveraging Stock/Bond Portfolios and the Kelly Criterion

Hi Pez Thanks for the analysis. I read Fortune Formula but still have not been able to fully grasp the Kelly criterion. Your rolling 10 year dispersion are based on which years? Also how can one use the Kelly criterion to decide what percentage of assets to assign to a leveraged strategy? The remain...
by badapu
Tue Mar 19, 2019 11:15 pm
Forum: Personal Investments
Topic: IPS Crafting for Excellent Adventurers
Replies: 14
Views: 1567

Re: IPS Crafting for Excellent Adventurers

Special considerations for using in taxable account? What would be taxation if I reinvest all dividends? My tax bracket is high. I presume this strategy will lead to a lot of dividend income. Do not have enough money / space in non taxable.
How much should I discount the CAGR on account of taxation?
by badapu
Mon Mar 11, 2019 12:34 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 343112

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

What are the downsides of 40upro/60tmf versus 40upro/30tmf/30tdy?

And could you enlighten me about how changes in fed rates affect long term and intermediate term treasury?
by badapu
Sun Mar 10, 2019 8:48 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 343112

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

I think long term treasury are riskier asset than intermediate term treasuries Following images show the full period. Rebalanced quarterly in all cases. Portfolio 1: 60% TMFSIM, 40% UPROSIM (HEDGEFUNDIE's portfolio) Portfolio 2: 60% TYDSIM, 40% UPROSIM Portfolio 2: 30% TYDSIM, 30% TMFSIM, 40% UPROSI...
by badapu
Sat Mar 09, 2019 7:51 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 343112

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

I suspect we will have to go back to original "All Weather Portfolio" and tinker 30% in U.S. stocks 40% in Long-term U.S. Treasury Bonds 15% in Intermediate-Term U.S. Treasury Bonds 7.50% in Gold 7.50% in broad Commodity basket This was modeled by Dalio to work well through the 1980 environment Ques...
by badapu
Sat Mar 09, 2019 7:27 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 343112

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

Would addition /combination of intermediate term bonds (TYD) or REIT (DRN) have helped ride out the 1980s interest rate changes with less draw down? Also what about the option of using unleveraged long term tax exempt bonds VWLUX with UPRO?
by badapu
Wed Mar 06, 2019 1:11 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 343112

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

Hi I know quite a few of us would like to allocate some portion of the stock portfolio to international (DZK). Is there a way to get similar datasets for UPRO and TMF to portfolio visualizer? I feel that the portfolio should have non US income options for rainy day (approx 10%). Also what is the opi...
by badapu
Tue Feb 12, 2019 12:11 am
Forum: Investing - Theory, News & General
Topic: Simulating Returns of Leveraged ETFs
Replies: 277
Views: 27949

Re: Simulating Returns of Leveraged ETFs

If increasing LIBOR rates create a drag on the model, can adding a bull LIBOR ETN to the portfolio help negate a rising LIBOR?

https://www.velocityshares.com/etns/product/ulbr/

BTW - Spider Network is a fantastic read about the LIBOR rate fixing scandal.
by badapu
Tue Feb 12, 2019 12:06 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 343112

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

Long time stalker, first time poster. Really love this adventure. Thanks a lot Hedgefundie! I do not have room in tax advantaged space. Any suggestions about decreasing taxes in brokerage account? (highest tax bracket) Also from my modeling -> adding small slices of 3x international markets, 3x REIT...