Search found 35 matches
- Sun Nov 03, 2019 4:59 pm
- Forum: Personal Finance (Not Investing)
- Topic: Share your net worth progression
- Replies: 1147
- Views: 320970
Re: Share your net worth progression
My net worth progress 2012: ~ -$50,000 (student debt) 2013: ~ $50,000 (Sold startup) 2017: ~$500,000 (Researcher at big corp) 2019: ~$2,500,000 (Researcher at big corp) When I did a startup, I earned $50K per year, post tax. As a researcher in industry, I make ~ 30x as much on a yearly basis, with m...
- Thu Oct 17, 2019 8:02 pm
- Forum: Personal Finance (Not Investing)
- Topic: IT compensation comparison
- Replies: 269
- Views: 25362
Re: IT compensation comparison
This is very anecdotal, but a friend of mine works at FAANG with a total comp of ~$2.5M a year, with a technical, non-managing role. The data on website levels.fyi indicates that he "should" make about $350K at his level. He has a fairly exceptional background. I don't know how rare his level of com...
- Wed Oct 02, 2019 12:07 pm
- Forum: Investing - Theory, News & General
- Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
- Replies: 1779
- Views: 128550
Re: HEDGEFUNDIE's excellent adventure Part II: The next journey
In taxable, instead of using futures one could also simply use less than 3x leverage, by using a combination of 1x, 2x and 3x leveraged ETFs. With e.g. 1.5x leverage it's much easier to rebalance in a tax-friendly way (tax loss harvesting etc.).
- Fri Aug 23, 2019 1:50 pm
- Forum: Investing - Theory, News & General
- Topic: We want all-in-one balanced ETFs. Where are they?
- Replies: 34
- Views: 2626
Re: We want all-in-one balanced ETFs. Where are they?
In our current situation, our taxable account holds a balanced portfolio of ETFs where I try to maximize risk-adjusted returns. I try to rebalance through aggressive tax-cost harvesting and through new money, but due to the high tax cost, the extend to which we can rebalance is pretty limited. What...
- Thu Aug 22, 2019 3:54 pm
- Forum: Investing - Theory, News & General
- Topic: We want all-in-one balanced ETFs. Where are they?
- Replies: 34
- Views: 2626
Re: We want all-in-one balanced ETFs. Where are they?
There are definitely pros and cons to all-in-one funds. I personally believe that the potentially most important pro is that they may foster good behavior. I'm slightly skeptical about the good behavior argument for balanced funds. It's entirely psychological -- they don't physically prevent you in...
- Thu Aug 22, 2019 3:35 pm
- Forum: Investing - Theory, News & General
- Topic: We want all-in-one balanced ETFs. Where are they?
- Replies: 34
- Views: 2626
Re: We want all-in-one balanced ETFs. Where are they?
There are definitely pros and cons to all-in-one funds. I personally believe that the potentially most important pro is that they may foster good behavior. I'm slightly skeptical about the good behavior argument for balanced funds. It's entirely psychological -- they don't physically prevent you in...
- Thu Aug 22, 2019 12:20 pm
- Forum: Investing - Theory, News & General
- Topic: We want all-in-one balanced ETFs. Where are they?
- Replies: 34
- Views: 2626
We want all-in-one balanced ETFs. Where are they?
Hi all, In our current situation, our taxable account holds a balanced portfolio of ETFs where I try to maximize risk-adjusted returns. I try to rebalance through aggressive tax-cost harvesting and through new money, but due to the high tax cost, the extend to which we can rebalance is pretty limite...
- Wed Jul 24, 2019 5:39 pm
- Forum: Personal Investments
- Topic: What to do with cash in Schwab?
- Replies: 42
- Views: 2778
Re: What to do with cash in Schwab?
I'm in a very similar situation as OP and what I do is I buy the iShares Short Treasury Bond ETF (SHV). The yield is >2% and virtually tax free, which is very important is our case. As you can see the swings in principle are tiny, since the bonds have such short duration.
- Thu Jul 11, 2019 11:51 am
- Forum: Investing - Theory, News & General
- Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
- Replies: 3353
- Views: 307795
Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Days like today are what worry me for this strategy, granted your stocks did well, but long term yields went up 3 bps while short term went down 10 bps. Somebody please come out with a leveraged 2 yr treasury ETF so I can run a risk parity strategy with it. If you're willing to use futures instead ...
- Sat Jul 06, 2019 10:23 pm
- Forum: Investing - Theory, News & General
- Topic: Was the great bond bull market just plain bull?
- Replies: 47
- Views: 5714
Re: Was the great bond bull market just plain bull?
Awesome, thanks! That was very helpful.
- Sat Jul 06, 2019 9:50 pm
- Forum: Investing - Theory, News & General
- Topic: Was the great bond bull market just plain bull?
- Replies: 47
- Views: 5714
Was the great bond bull market just plain bull?
Hi all, I'm trying to better understand the expected long-term returns on long-term treasury bond funds such as VUSTX (Vanguard's LTT fund), TLT and TMF. I found these blog posts interesting in that respect: https://www.blackrockblog.com/2019/01/16/debunking-great-bond-bull-market/ https://www.black...
- Fri Jul 05, 2019 11:43 am
- Forum: Investing - Theory, News & General
- Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
- Replies: 3353
- Views: 307795
Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Mildly interesting: USMV (min vol ETF) has, so far moved similarly as a 50/50 portfolio of SPY/IEF (S&P500 / intermediate term treasuries) with 1.6x leverage: https://www.portfoliovisualizer.com/backtest-portfolio?s=y&timePeriod=4&startYear=1985&firstMonth=1&endYear=2019&lastMonth=12&calendarAligned...
- Thu Jul 04, 2019 9:08 pm
- Forum: Investing - Theory, News & General
- Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
- Replies: 3353
- Views: 307795
Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
My point is volatility decay precisely. Volatility is a factor in decay but so is return. Flatter assets like bonds will hurt more due to flat or declining trends. Example is how UPRO has returned ~>5x the S&P500’s return while 3x LTT’s did far worse than 3x the 1955-1982 return. You raised an exce...
- Thu Jul 04, 2019 2:59 pm
- Forum: Investing - Theory, News & General
- Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
- Replies: 3353
- Views: 307795
Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
"Close to risk parity" is certainly arbitrary. You're as close to risk parity as a 50/50 stock/ITT portfolio is which, IMO, is far from risk parity. True risk parity would be achieved at around 25/75 stocks/ITTs. I would say your portfolio is significantly far from that. But again, "far" is an arbi...
- Thu Jul 04, 2019 2:26 pm
- Forum: Investing - Theory, News & General
- Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
- Replies: 3353
- Views: 307795
Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
The philosophy of this thread is to achieve the highest risk-adjusted return via risk parity. Your portfolio is very far from risk parity though. I should increase my exposure to ITT, but besides that, I have a close to risk parity portfolio. Risk parity can be combined with any amount of leverage:...
- Thu Jul 04, 2019 12:10 pm
- Forum: Investing - Theory, News & General
- Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
- Replies: 3353
- Views: 307795
Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
The philosophy of this thread is to achieve the highest risk-adjusted return via risk parity. Your portfolio is very far from risk parity though. I should increase my exposure to ITT, but besides that, I have a close to risk parity portfolio. Risk parity can be combined with any amount of leverage:...
- Thu Jul 04, 2019 12:46 am
- Forum: Investing - Theory, News & General
- Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
- Replies: 3353
- Views: 307795
Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
... EDV gives similar exposure as TYD but without the hefty ER or volatility decay issue. This is unsupported by facts, as far as I know. Do you have evidence that supports the hypothesis that a portfolio with EDV results in better risk-adjusted returns than TYD? While EDV and TYD have similar "eff...
- Thu Jul 04, 2019 12:27 am
- Forum: Investing - Theory, News & General
- Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
- Replies: 3353
- Views: 307795
Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Do you have evidence that supports the hypothesis that a portfolio with EDV results in better risk-adjusted returns than TYD?MotoTrojan wrote: ↑Thu Jul 04, 2019 12:13 am...
EDV gives similar exposure as TYD but without the hefty ER or volatility decay issue.
- Thu Jul 04, 2019 12:04 am
- Forum: Investing - Theory, News & General
- Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
- Replies: 3353
- Views: 307795
Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Three more datapoints in support of using ITT instead of LTT, this time in terms of monthly correlations: ... Correlation isn’t the full story. LTT will move further as well which provides a bigger diversification bonus for similar correlations. This is why those that use short term treasuries need...
- Wed Jul 03, 2019 9:17 pm
- Forum: Investing - Theory, News & General
- Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
- Replies: 3353
- Views: 307795
Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Three more datapoints in support of using ITT instead of LTT, this time in terms of monthly correlations: - Since 2000, ITT and LTT have been equally good diversifiers: https://www.portfoliovisualizer.com/asset-correlations?s=y&symbols=VFINX%2CVUSTX%2CVFITX&startDate=01%2F01%2F2000&timePeriod=2&trad...
- Wed Jul 03, 2019 8:12 pm
- Forum: Investing - Theory, News & General
- Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
- Replies: 3353
- Views: 307795
Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
What's a good risk parity strategy for a taxable account? I think it's still somewhat of an open question that I've been trying to answer. To somewhat approximate the limited possibility of rebalancing in a taxable account, I ran simulations withy yearly (instead of quarterly) rebalancing. Specifica...
- Wed Jul 03, 2019 1:26 pm
- Forum: Investing - Theory, News & General
- Topic: Unvested RSU Equity Exposure and AA
- Replies: 14
- Views: 430
- Wed Jul 03, 2019 12:36 am
- Forum: Investing - Theory, News & General
- Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
- Replies: 3353
- Views: 307795
Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
I just started a similar risk parity strategy and now own $220k in TMF, which is more than 0.1% of it's AUM. Strange to own so much, but OK. I wonder how much these forum members have added to its AUM. Care to elaborate on your variation? Good luck! My situation: - I'm young (mid-30's) and willing ...
- Mon Jul 01, 2019 5:42 pm
- Forum: Investing - Theory, News & General
- Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
- Replies: 3353
- Views: 307795
Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
I just started a similar risk parity strategy and now own $220k in TMF, which is more than 0.1% of it's AUM. Strange to own so much, but OK. I wonder how much these forum members have added to its AUM.
- Fri Mar 22, 2019 11:39 pm
- Forum: Investing - Theory, News & General
- Topic: The 17th Century Bond That’s Still Paying Interest
- Replies: 14
- Views: 3383
The 17th Century Bond That’s Still Paying Interest
https://www.amusingplanet.com/2018/08/the-17th-century-bond-thats-still.html?m=1 Interesting article on 370 year old bonds that are still paying interest today. "[...] There are some bonds issued way back in the 17th century that are still paying out interest. These bonds were issued by Hoogheemraa...
- Wed Mar 13, 2019 11:17 am
- Forum: Personal Finance (Not Investing)
- Topic: Bright daughter wants to work for nonprofit
- Replies: 103
- Views: 8760
Re: Bright daughter wants to work for nonprofit
Non-profits can be high-paying, if you're competent and your skill is sought after.
- Tue Mar 12, 2019 10:43 am
- Forum: Investing - Theory, News & General
- Topic: Are Vanguard Mutual Funds dying?
- Replies: 152
- Views: 17627
Re: Are Vanguard Mutual Funds dying?
ETFs can be MUCH more tax efficient than mutual funds: if there is turnover, an ETF can avoid capital gains almost completely through the fund redemption/creation process. For example, I like to invest in minimum volatility funds. Vanguard's VMNVX has about 20% turnover, which results in significant...
- Wed Feb 20, 2019 7:52 pm
- Forum: Investing - Theory, News & General
- Topic: [misleading] "The Greatest Investor You’ve Never Heard Of: An Optometrist Who Beat The Odds To Become A Billionaire"
- Replies: 6
- Views: 2042
[misleading] "The Greatest Investor You’ve Never Heard Of: An Optometrist Who Beat The Odds To Become A Billionaire"
https://www.forbes.com/sites/maddieberg/2019/02/19/the-greatest-investor-youve-never-heard-of-an-optometrist-who-beat-the-odds-to-become-a-billionaire/ EDIT: as pointed out below, the article is misleading: besides investor he was also a succesful entrepeneur, which might have been a bigger contribu...
- Wed Feb 20, 2019 7:18 pm
- Forum: Investing - Theory, News & General
- Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
- Replies: 3353
- Views: 307795
Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Pezblanco, I assume your graph shows estimated real returns (i.e. inflation-adjusted), like your previous posts? Yes ... I only have been using real data. Great! Did, with the new formula, the estimated variance also improve? (Or, at least, the probability of negative returns...) In any case, thank...
- Wed Feb 20, 2019 3:05 pm
- Forum: Investing - Theory, News & General
- Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
- Replies: 3353
- Views: 307795
Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Pezblanco, I assume your graph shows estimated real returns (i.e. inflation-adjusted), like your previous posts?
- Sat Feb 16, 2019 8:33 pm
- Forum: Investing - Theory, News & General
- Topic: Leveraging Stock/Bond Portfolios and the Kelly Criterion
- Replies: 19
- Views: 1522
Re: Leveraging Stock/Bond Portfolios and the Kelly Criterion
OK .... let me think about that. What I could do is just delete years from the 50years that have high T-bill rates. That would just take a couple of IF statements in the (bad) Matlab code that I write. Give me some parameters that you might like to see and I'll see if I can get around to it. So, le...
- Sat Feb 16, 2019 7:57 pm
- Forum: Investing - Theory, News & General
- Topic: Leveraging Stock/Bond Portfolios and the Kelly Criterion
- Replies: 19
- Views: 1522
Re: Leveraging Stock/Bond Portfolios and the Kelly Criterion
OK, interesting. One limitation of the model is that you include years with very different T-bill rates. To get a more realistic estimate of returns and dispersion, without changing the model: you could limit the dataset to past years that were similar to the current lending environment. For example...
- Sat Feb 16, 2019 7:24 pm
- Forum: Investing - Theory, News & General
- Topic: Leveraging Stock/Bond Portfolios and the Kelly Criterion
- Replies: 19
- Views: 1522
Re: Leveraging Stock/Bond Portfolios and the Kelly Criterion
1) Does your model take into account the depdencies between returns of the S&P 500, LTT, and short term T-bill rates? Or did you assume independence? (E.g. the negative correlations between stocks and LTT in times of sharp bear markets can obviously positively affect the return of the 40/60 portfoli...
- Sat Feb 16, 2019 6:14 pm
- Forum: Investing - Theory, News & General
- Topic: Leveraging Stock/Bond Portfolios and the Kelly Criterion
- Replies: 19
- Views: 1522
Re: Leveraging Stock/Bond Portfolios and the Kelly Criterion
Interesting... If I understand correctly, you estimate the yearly return based on a 40/60 portfolio at the start of the year? So, the equivalent of yearly rebalancing?
Thanks.
Thanks.
- Fri Feb 15, 2019 3:51 pm
- Forum: Investing - Theory, News & General
- Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
- Replies: 3353
- Views: 307795
Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
First of all, thank you for this thread; I appreciate it. 1) Some people in this thread have expressed fear that if too many people pile on this strategy, it will stop working. How realistic is this fear? The underlying S&P 500 stocks and LTT bonds have enormous market cap, so changing the UPRO and ...