Search found 187 matches

by Hydromod
Tue Sep 10, 2019 9:41 am
Forum: Investing - Theory, News & General
Topic: [Leveraged ETFs vs. Bogleheads Investment Philosophy]
Replies: 113
Views: 4070

Re: [Leveraged ETFs vs. Bogleheads Investment Philosophy]

[Title was "Leveraged ETF messages" --admin LadyGeek] Recently there are many messages posting about the use of 3X leveraged ETFs. They are no longer limited to few theory threads, but can be found in messages asking for portfolio suggestions. Speculative investments such as 3X leveraged ETFs are n...
by Hydromod
Mon Sep 09, 2019 8:37 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 867
Views: 47473

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

To everybody: What's the proposed end game of Hedgefundie's strategy (or its variations) if U.S. rates follow the pattern of Japan and Europe? Would you still play this strategy if 10-year treasuries are at -1% and 30-year at -0.5% nominal, -2.5% and -2% real interest? If not, at what point would y...
by Hydromod
Sun Sep 08, 2019 2:58 pm
Forum: Investing - Theory, News & General
Topic: My trend following strategy and experience
Replies: 921
Views: 61684

Re: My trend following strategy and experience

I've been backtesting using the UER as a signal with Hedgefundie's UPRO/TMF scheme. The twist is to allocate the risk budget in the risk parity scheme according to the UER. I find that it is appealing to only step partway between in and out of the market on the signal. I don't necessarily go 100% in...
by Hydromod
Sat Sep 07, 2019 11:50 pm
Forum: Investing - Theory, News & General
Topic: Refinements to Hedgefundie's excellent approach
Replies: 161
Views: 13589

Re: Refinements to Hedgefundie's excellent approach

All of the examples thus far have weights that are based solely on the historical volatility over various periods. The original Hedgefundie 40/60 weights are based on backfitting over several decades, and the weights are closely tied to a risk parity balance over this period. Other examples have wei...
by Hydromod
Sat Sep 07, 2019 11:16 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 867
Views: 47473

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

What would you call it when you add market timing (swapping assets, changing risk budgets)? Mad scientist?
by Hydromod
Sat Sep 07, 2019 5:02 pm
Forum: Investing - Theory, News & General
Topic: Refinements to Hedgefundie's excellent approach
Replies: 161
Views: 13589

Re: Refinements to Hedgefundie's excellent approach

Volatility limiting is another way to adaptively adjust asset weights. The idea is to define a volatility limit for the risky asset (UPRO in this case). When the lookback volatility of the risky asset is less than the limit, the portfolio is completely set to the risky asset. If the volatility is gr...
by Hydromod
Sat Sep 07, 2019 3:04 pm
Forum: Investing - Theory, News & General
Topic: Refinements to Hedgefundie's excellent approach
Replies: 161
Views: 13589

Re: Refinements to Hedgefundie's excellent approach

Returning to the question of volatility lookback period, I offer a comparison using downward-only variance parity to determine nominal weights on a daily frequency. This is the same scheme displayed in the last figure in the previous entry. Unlike the previous example, rebalancing is performed whene...
by Hydromod
Fri Sep 06, 2019 10:00 pm
Forum: Investing - Theory, News & General
Topic: Refinements to Hedgefundie's excellent approach
Replies: 161
Views: 13589

Re: Refinements to Hedgefundie's excellent approach

In the light of Hedgefundie's switch from 40/60 to 55/45 UPRO/TMF allocation, it's of potential interest to use adaptive risk parity to meet the same overall asset weighting on average while improving the drawdown behavior. The risk budget approach gives a simple knob to turn. I described this earli...
by Hydromod
Fri Sep 06, 2019 9:08 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 867
Views: 47473

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

Well you aren't using the correct funds.... it's TMF, not TLT. And all the strategy relies upon is that long term bonds rally to save you in a bear market.... and that 70s style inflation doesn't return. That was settled in the discussion like 6 months back. If stag-flation returns, the play is toa...
by Hydromod
Wed Sep 04, 2019 11:26 pm
Forum: Investing - Theory, News & General
Topic: Refinements to Hedgefundie's excellent approach
Replies: 161
Views: 13589

Re: Refinements to Hedgefundie's excellent approach

One more for tonight. This one considers weighting based on variance rather than volatility. Overall the variance weighting approach tends to reduce the UPRO fraction relative to the volatility weighting, but occasionally the weighting goes up substantially. The variance approach tended to outperfor...
by Hydromod
Wed Sep 04, 2019 11:07 pm
Forum: Investing - Theory, News & General
Topic: Refinements to Hedgefundie's excellent approach
Replies: 161
Views: 13589

Re: Refinements to Hedgefundie's excellent approach

The adaptive risk parity case with rebalancing bands is generally consistent with the previous analyses. The risk parity gives a noticeable increase in expected CAGR, at least with the tighter bands, and the coarser bands allow for less frequent rebalances overall. The benefit from adaptive risk par...
by Hydromod
Wed Sep 04, 2019 10:43 pm
Forum: Investing - Theory, News & General
Topic: Refinements to Hedgefundie's excellent approach
Replies: 161
Views: 13589

Re: Refinements to Hedgefundie's excellent approach

The next figure shows portfolio trajectories assuming a fixed 40/60 UPRO/TMF ratio reset whenever the UPRO fraction moves outside a fixed band. The bands are 5, 10, 15, and 20 percent. https://i.imgur.com/3IOmlxJ.png The important takeaway from this case is that the band approach gives comparable or...
by Hydromod
Wed Sep 04, 2019 6:18 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 867
Views: 47473

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

Hate to break it to you but the return is far worse than monthly X 3. You have borrowing costs (significant at 3x leverage), 1% ER, and then daily rebalance volatility decay. It isn't really the massive drawdown that'll hurt you; UPRO had a >97% drawdown during the GFC which might as well be a tota...
by Hydromod
Wed Sep 04, 2019 5:53 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 867
Views: 47473

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

Why are you selecting straight risk parity? I would be tempted to do a two-part risk parity: (i) TQQQ with UPRO and (ii) (TQQQ/UPRO) with TMF. This would be more like 40/60 equity/LTT. I think this balances risks better, especially in light of the very high correlation between TQQQ and UPRO. Not th...
by Hydromod
Wed Sep 04, 2019 4:03 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 867
Views: 47473

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

TQQQ, huh. If one is going all in on what has been proposed here with UPRO, why not? Historically the # of times NDX has not outperformed SPX in a bull market is zero. The biggest problem I've seen brought up is the volatility decay is much more on TQQQ because it moves up and down much more. Thoug...
by Hydromod
Wed Sep 04, 2019 1:07 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 867
Views: 47473

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

Comparing in portfoliovisualizer from 1/2012 - present, using adaptive allocation, the CAGR was 34% TQQQ versus 27.8% UPRO. The TQQQ weighting tended to be smaller, roughly 2% to 10%. So yeah, pretty good in a bull. I'd like to see a source for total returns on NASDAQ-100 over that period. It would ...
by Hydromod
Tue Sep 03, 2019 11:08 pm
Forum: Investing - Theory, News & General
Topic: Refinements to Hedgefundie's excellent approach
Replies: 161
Views: 13589

Re: Refinements to Hedgefundie's excellent approach

It is more difficult to generate a representative band scheme comparison, because after awhile the different realizations end up in lock step. https://i.imgur.com/mxn132O.png In the top left plot, the swath around the total price/nominal line equal to 1 is actually a number of realizations that are ...
by Hydromod
Tue Sep 03, 2019 10:45 pm
Forum: Investing - Theory, News & General
Topic: Refinements to Hedgefundie's excellent approach
Replies: 161
Views: 13589

Re: Refinements to Hedgefundie's excellent approach

The following figure considers combinations of the rebalancing period (1 and 3 months) and volatility lookback period (1 and 3 months) for a standard risk parity model with symmetric volatility, compared to the reference 40/60 scheme with quarterly rebalancing. https://i.imgur.com/UAsOvtU.png Three ...
by Hydromod
Tue Sep 03, 2019 12:07 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 867
Views: 47473

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

I saw a related strategy someplace recently that looked intriguing. Basically one creates a set of fictitious portfolios, each with a different duration for the moving average. Each fictitious portfolio is either in or out. However, the overall balance is usually somewhere between the two. The diffe...
by Hydromod
Tue Sep 03, 2019 9:19 am
Forum: Investing - Theory, News & General
Topic: Refinements to Hedgefundie's excellent approach
Replies: 161
Views: 13589

Re: Refinements to Hedgefundie's excellent approach

In Excel, would you calculate a 63-day lookback with more weight applied to recent data? I haven't yet explicitly looked at the specific question of variable weighting of data. At this point, I personally would keep it simple to minimize the chance of coding errors. I don't think variable weighting...
by Hydromod
Mon Sep 02, 2019 11:59 pm
Forum: Investing - Theory, News & General
Topic: Refinements to Hedgefundie's excellent approach
Replies: 161
Views: 13589

Re: Refinements to Hedgefundie's excellent approach

The final plot for tonight compares three risk-parity schemes based on volatility (the standard deviation of returns), all with 63-day lookback to calculate volatility and 21-day rebalancing. https://i.imgur.com/kgAfCp4.png SD-down calculates volatility with only downward returns (asymmetric calcula...
by Hydromod
Mon Sep 02, 2019 11:40 pm
Forum: Investing - Theory, News & General
Topic: Refinements to Hedgefundie's excellent approach
Replies: 161
Views: 13589

Re: Refinements to Hedgefundie's excellent approach

The next plot compares four weighting schemes: 30/70, 40/60, 50/50, and 60/40. All have the same 21-day rebalance, and the same quarterly rebalance 40/60 reference scheme is used. The UPRO and TMF traces are shown for reference. https://i.imgur.com/AyAiCyE.png I find it striking that all of these ha...
by Hydromod
Mon Sep 02, 2019 11:20 pm
Forum: Investing - Theory, News & General
Topic: Refinements to Hedgefundie's excellent approach
Replies: 161
Views: 13589

Re: Refinements to Hedgefundie's excellent approach

The next image compares realizations with 21-day rebalancing versus the nominal 63-day rebalancing. https://i.imgur.com/MdMZcD2.png This figure differs in how the delta CAGR is calculated. Instead of comparing to the 1st realization of the reference, the comparison is between the 21-day and 63-day s...
by Hydromod
Mon Sep 02, 2019 10:58 pm
Forum: Investing - Theory, News & General
Topic: Refinements to Hedgefundie's excellent approach
Replies: 161
Views: 13589

Re: Refinements to Hedgefundie's excellent approach

I’ve been working on fleshing out my MATLAB software to be a bit more flexible and general. So far I’ve been concentrating on working out ways of comparing strategies in a fair way, without delving into the details of the strategies in too great of detail yet. To this point I’ve still been focusing ...
by Hydromod
Fri Aug 30, 2019 2:54 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 867
Views: 47473

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

Can someone outline the mechanics of these two allocations? 3) 20 day lookback for risk parity 41/59 UPRO/TMF Monthly 4) 20 volatility 30/70 UPRO/TMF Monthly I would like to know how the two allocations were made? Read the posts near the end of the Part I thread, this has been discussed significant...
by Hydromod
Wed Aug 28, 2019 2:06 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 867
Views: 47473

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

Time to rebalance? On March 22 (inside my Roth account FWIW) i bought two parts UPRO and three parts TMF for a 40:60 ratio Today its more like 2 part / 5 parts, or a 28:72 ratio This chart starts with March 22, 2019 https://i.postimg.cc/GmnQWnrt/image.png Mid May, early July, early August (wherever...
by Hydromod
Tue Aug 27, 2019 10:40 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 867
Views: 47473

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

The following figure illustrates my point about the bands. The figure considers different rebalance strategies for the 40/60 UPROSIM/TMFSIM series, compared to quarterly rebalancing (Hedgefundie's OP strategy). This case starts with the first day of the series, and looks at moving 10-year periods st...
by Hydromod
Tue Aug 27, 2019 8:40 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 867
Views: 47473

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

The calculations I've done with different rebalance periods show that daily rebalancing mitigates some of the volatility drag, which adds a percentage point or two to the CAGR. This bonus drops off rapidly as the inverse of the number of days between rebalances. I've thought that an ETF would be th...
by Hydromod
Tue Aug 27, 2019 5:44 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 867
Views: 47473

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

Just to say that quarterly is probably about equivalent to monthly, rather than significantly better. How about with regards to drawdown? Annual rebalancing also seems to have merit and really is only adversely impacted in Portfolio Visualizer starting dates at-least by Black Monday. I'd have to ch...
by Hydromod
Tue Aug 27, 2019 5:39 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 867
Views: 47473

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

The calculations I've done with different rebalance periods show that daily rebalancing mitigates some of the volatility drag, which adds a percentage point or two to the CAGR. This bonus drops off rapidly as the inverse of the number of days between rebalances. I've thought that an ETF would be th...
by Hydromod
Tue Aug 27, 2019 4:51 pm
Forum: Investing - Theory, News & General
Topic: Best of Bogleheads - your #1 takeaway
Replies: 151
Views: 13586

Re: Best of Bogleheads - your #1 takeaway

I found this place about 6 months ago with a slightly overcomplicated 403b and knowing nothing. I now have a more adequate 403b that I understand, and a small Roth account inspired by Hedgefundie's adventure. I read "A Random Walk on Wall Street" this week and found that I had already picked up all ...
by Hydromod
Tue Aug 27, 2019 4:23 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 867
Views: 47473

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

This is addressed in the OP of Part I. MoneyMarathon also did an awesome job of showing how rebalancing against an imperfectly correlated asset reduces the volatility decay. Imagine you rebalanced daily to 33.3% UPRO and the rest in cash, that would perfectly match the S&P500 except for the expense...
by Hydromod
Thu Aug 22, 2019 9:26 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 867
Views: 47473

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

I was more thinking along the lines of two clusters, 3x and 1x. These are risk balanced internally, balancing volatility. Then sliding between the two clusters according to the amount of leverage you want. We need to check it out. Interesting approach! Are you planning on backtesting it? It's on my...
by Hydromod
Thu Aug 22, 2019 6:35 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 867
Views: 47473

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

Another possible strategy would be to keep a constant stocks/long term treasuries ratio and adjust the leverage ratio depending on volatility. The range would depend on your chosen stocks/long term treasuries ratio, say between 1x and 1.6x for 80/20. I know people in this thread have talked about a...
by Hydromod
Thu Aug 22, 2019 4:35 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 867
Views: 47473

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

Another possible strategy would be to keep a constant stocks/long term treasuries ratio and adjust the leverage ratio depending on volatility. The range would depend on your chosen stocks/long term treasuries ratio, say between 1x and 1.6x for 80/20. I know people in this thread have talked about a...
by Hydromod
Mon Aug 19, 2019 4:04 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 867
Views: 47473

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

If we having a discussion that moves away from risk parity, and just trying to find a better way to hold equities.....how about this? https://www.portfoliovisualizer.com/test-market-timing-model?s=y&coreSatellite=false&timingModel=5&startYear=1985&endYear=2019&initialAmount=10000&periodicAdjustment...
by Hydromod
Thu Aug 15, 2019 9:26 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 867
Views: 47473

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

However, my original goal wasn't to pin down the precise extent of the "rebalancing bonus" (and, since most people aren't using annual rebalancing, their "rebalancing bonus" may be higher... in the recent past, quarterly rebalancing did better than annual... yet the original post here referred to S...
by Hydromod
Thu Aug 15, 2019 4:24 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 867
Views: 47473

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

Makes sense, but what about the frequency of rebalancing? Without trading costs, my backtests clearly show that daily rebalancing is best. The benefit drops off rapidly with increasing rebalancing frequency. I interpret this consistent daily effect as the rebalancing benefit. It seemed to increase ...
by Hydromod
Thu Aug 15, 2019 3:05 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 867
Views: 47473

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

One of the fundamental underlying assumptions in risk parity is that return is proportional to risk.

Which isn't necessarily such a good assumption with something like gold.
by Hydromod
Thu Aug 15, 2019 3:03 pm
Forum: Investing - Theory, News & General
Topic: 2 month SMA calculation in Portfoliovisualizer . . .
Replies: 17
Views: 633

Re: 2 month SMA calculation in Portfoliovisualizer . . .

I've been calculating adaptive risk parity rates and matching them to PV for several weeks using the approach outlined above. So although the intramonth vs end of month calculation is a little inconsistent, they are using daily values for the calculation. Okay, folks shouldn't be very far off then....
by Hydromod
Thu Aug 15, 2019 12:27 pm
Forum: Investing - Theory, News & General
Topic: 2 month SMA calculation in Portfoliovisualizer . . .
Replies: 17
Views: 633

Re: 2 month SMA calculation in Portfoliovisualizer . . .

Is PV granular like this in other calculations? The reason I ask, there were some recommendations made in Hedgefundie's thread to use PV output to determine adaptive risk parity weights using a one-month or three-month volatility look back period. If PV granularity extends to risk parity or other ca...
by Hydromod
Thu Aug 15, 2019 9:58 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 867
Views: 47473

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

What do folks think would be a fair way of representing a detrended TMF? Can you do a Monte Carlo simulation changing the expected returns? Do you mean the expected returns for the entire sequence? In other words, take out the overall measured return and substitute a different one sampled from a di...
by Hydromod
Thu Aug 15, 2019 9:02 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 867
Views: 47473

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

These are not two portfolios held separately then added together, they are means of simulating each assets contribution to the portfolio as a whole. If one of them goes up 10x and the other 3x, then the total growth was 30x, not 13x. Let me try to explain the hand-wavy math I used (but... be warned...
by Hydromod
Wed Aug 14, 2019 8:42 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 867
Views: 47473

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

Was there a consensus on how often/when to re-balance? I made the switch same day as OP to 55/45 and I am already at 51/48! There were two camps, the monthly and the quarterly. Back tests with the original weighting suggested quarterly by a nose, but there is so much noise from different starting d...
by Hydromod
Wed Aug 14, 2019 5:48 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 867
Views: 47473

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

If I knew we were going into a recession I wouldn’t have any UPRO. Does this mean that you plan to implement some sort of risk management into this strategy? I know it isn't very bogle-like but I think it would be smart to include some sort of risk management in this scheme. I know this forum is no...
by Hydromod
Wed Aug 14, 2019 1:27 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 867
Views: 47473

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

Just for grins, I checked out the returns from an asset allocation strategy with downward-only variance parity weights (look-back 60 days) over the last 6 months, assuming daily rebalance. This is the type of scheme I'm favoring (except for daily rebalance). Its weights averaged 22% for UPRO and it...
by Hydromod
Wed Aug 14, 2019 12:45 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 867
Views: 47473

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

Just for grins, I checked out the returns from an asset allocation strategy with downward-only variance parity weights (look-back 60 days) over the last 6 months, assuming daily rebalance. This is the type of scheme I'm favoring (except for daily rebalance). Its weights averaged 22% for UPRO and it ...
by Hydromod
Wed Aug 14, 2019 9:42 am
Forum: Investing - Theory, News & General
Topic: 2 month SMA calculation in Portfoliovisualizer . . .
Replies: 17
Views: 633

Re: 2 month SMA calculation in Portfoliovisualizer . . .

Also, I think I noticed before that you get different results with 20-day versus 1-month.

Maybe specifying in days is the more precise way to go.
by Hydromod
Wed Aug 14, 2019 9:26 am
Forum: Investing - Theory, News & General
Topic: 2 month SMA calculation in Portfoliovisualizer . . .
Replies: 17
Views: 633

Re: 2 month SMA calculation in Portfoliovisualizer . . .

Did you check adjusted closing price or straight closing price?

PV may be including dividends...

Just a thought
by Hydromod
Tue Aug 13, 2019 7:08 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 867
Views: 47473

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

Using your first example, are you saying that the difference between making an initial investment of 55/45 and not rebalancing it in anyway compared to rebalancing it on a periodic basis (like monthly) nets you around 0.5 CAGR in a best case scenario? I think he's saying that doing the 55/45 UPRO/T...