Search found 6 matches

by sawvp
Tue Aug 13, 2019 7:24 pm
Forum: Investing - Theory, News & General
Topic: Should I use margin to buy a balanced fund?
Replies: 930
Views: 252946

Re: Should I use margin to buy a balanced fund?

Thanks for the links. I've always understood total return to include dividends, which you don't receive on a futures contract. I could very well be wrong though--let me know if I'm mistaken. As you point out, the interest earned in cash is definitely a bonus, though I'm thinking that number could be...
by sawvp
Mon Mar 11, 2019 6:24 pm
Forum: Investing - Theory, News & General
Topic: Is there any downside to investing in bond futures?
Replies: 89
Views: 7008

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

No, knowing that the current price is 106 vs. 109 10 years ago is not enough to tell you if a long position in 2-year note futures, rolled quarterly, had positive returns. You need to compute final_price - initial_price for each contract you would have owned and sum those differences. Two-year Trea...
by sawvp
Mon Mar 11, 2019 5:59 pm
Forum: Investing - Theory, News & General
Topic: Is there any downside to investing in bond futures?
Replies: 89
Views: 7008

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

I do see what you're saying. Now I'm trying to figure out a way to get this kind of data and test it myself...
by sawvp
Mon Mar 11, 2019 2:32 pm
Forum: Investing - Theory, News & General
Topic: Is there any downside to investing in bond futures?
Replies: 89
Views: 7008

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

If that were true, arbitrageurs would make money by buying Treasury bond ETFs and shorting Treasury bond futures. To compare Treasury bond futures returns with returns of Treasury bond ETFs you need to properly adjust for the rolling of futures contracts and add T-bill returns, since margin can be ...
by sawvp
Sat Mar 09, 2019 4:27 pm
Forum: Investing - Theory, News & General
Topic: Is there any downside to investing in bond futures?
Replies: 89
Views: 7008

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

I realize this post is far too old, but for those looking at it for information, it's worth noting that treasury futures behave differently than treasury etfs. They have bigger draw downs and don't perform nearly as well. I'm still trying to figure out why this is, but I'm guessing it has to do with...
by sawvp
Sat Mar 09, 2019 3:16 pm
Forum: Investing - Theory, News & General
Topic: Should I use margin to buy a balanced fund?
Replies: 930
Views: 252946

Re: Should I use margin to buy a balanced fund?

First of all: Kudos to you, Rob for doing this, and opening a thread about it! Lately I have been thinking about doing the same thing (okay not exactly the same, but something similar), using futures to lever up a balanced portfolio. I haven't yet read through the entire 19 pages of this thread, bu...