Search found 163 matches

by physixfan
Thu Jul 09, 2020 6:04 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 5431
Views: 488001

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

7th_Diagram wrote:
Thu Jul 09, 2020 4:43 pm
nisiprius wrote:
Thu Jul 09, 2020 4:28 pm
Any chance of a quarterly update of the performance chart in the initial posting?
HedgeFundie left bogleheads on June 21st...

viewtopic.php?f=1&t=318155&p=5326882#p5326882
Ahhh that's sad...
by physixfan
Sun Jul 05, 2020 12:24 am
Forum: Investing - Theory, News & General
Topic: Beat the market by doing (almost) nothing
Replies: 61
Views: 7333

Re: Beat the market by doing (almost) nothing

Everyone’s risk tolerance is different. No need to argue about that. The issue I have with what OP is espousing is even if you had the maximum level of risk tolerance (shoving your entire net worth into UPRO and doggedly not logging into your account for 30 years), you can still end up worse off th...
by physixfan
Sat Jul 04, 2020 8:14 pm
Forum: Investing - Theory, News & General
Topic: Beat the market by doing (almost) nothing
Replies: 61
Views: 7333

Re: Beat the market by doing (almost) nothing

This post is intended for the few free solo dreamers who never feel intellectually intimidated by geek letters or financial theories taught by cargo cult experts and dare to attempt the impossible vertical ascending (1000X return over lifetime). If you're satisfied with the performance of your curr...
by physixfan
Sat Jul 04, 2020 1:54 am
Forum: Investing - Theory, News & General
Topic: Beat the market by doing (almost) nothing
Replies: 61
Views: 7333

Re: Beat the market by doing (almost) nothing

A friend of mine introduced this forum to me about a decade ago. I've been following market timer's famous thread ever since. A recent post on UPRO/TMF risk parity strategy by HEDGEFUNDIE caught my attention again. I practiced something similar for a while and I would like to share my experience on...
by physixfan
Fri Jul 03, 2020 10:59 pm
Forum: Personal Investments
Topic: What to do with significant index changes, e.g., S&P 500 adding Tesla
Replies: 49
Views: 6043

Re: What to do with significant index changes, e.g., S&P 500 adding Tesla

Interesting question. This article is quite informative on this topic: https://seekingalpha.com/article/4009991-index-front-running-what-happens-when-stock-is-added-to-index Let's wait and see what happens. I guess there will be a severe short squeeze when it is announced to be listed SP500. It shou...
by physixfan
Tue Jun 30, 2020 10:31 pm
Forum: Investing - Theory, News & General
Topic: Will ex-US ever revert to good performance? Or is it just a high-risk, low-reward investment?
Replies: 358
Views: 18987

Re: Will ex-US ever revert to good performance? Or is it just a high-risk, low-reward investment?

As I write this post, Vanguard's total-market ex-US fund VTIAX/VXUS is trading below its price of 9.5 years ago. In the same timeframe, Vanguard's total US market VTSAX/VTI nearly tripled in price, even after the recent hit of COVID-19. Somebody pointed this out already, but worth emphasizing: you ...
by physixfan
Sun Jun 21, 2020 2:43 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 5431
Views: 488001

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

For all those people who are interested in VIX derivatives... Have you ever seen the performance of VIIX over the last decade? Do you expect to outperform it significantly by rolling call options by yourself, or you think it is acceptable to hold something that’s destined to lose 99% of value over ...
by physixfan
Sun Jun 21, 2020 12:37 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 5431
Views: 488001

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

For all those people who are interested in VIX derivatives... Have you ever seen the performance of VIIX over the last decade? Do you expect to outperform it significantly by rolling call options by yourself, or you think it is acceptable to hold something that’s destined to lose 99% of value over ...
by physixfan
Sat Jun 20, 2020 10:15 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 5431
Views: 488001

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

For all those people who are interested in VIX derivatives... Have you ever seen the performance of VIIX over the last decade? Do you expect to outperform it significantly by rolling call options by yourself, or you think it is acceptable to hold something that’s destined to lose 99% of value over 1...
by physixfan
Sat Jun 20, 2020 12:21 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 5431
Views: 488001

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

+1 to ChrisBenn. If you're going to buy SWAN on margin , might as well as just buy SPY options yourself. A huge risk of buying SWAN on margin is that market makers might bite the dust one day (for one reason or another), ETF goes way down, and you get liquidated. The "reward" of buying SWAN is you....
by physixfan
Sat Jun 13, 2020 12:45 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 5431
Views: 488001

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

Yeah that's true. It's still quite shocking, because intuitively I thought daily rebalanced leveraged ETF would suffer more from volatility decay. However, in reality, in a bear market daily rebalancing resulted in less drawdown, and in a bull market it has similar performance compared with monthly...
by physixfan
Fri Jun 12, 2020 10:22 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 5431
Views: 488001

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

About volatility decay. I recently realized that there is a monthly rebalanced S&P 500 2x fund called DXSLX. And here's the comparison between DXSLX v.s. daily rebalanced 2x fund SSO: https://www.portfoliovisualizer.com/backtest-portfolio?s=y&timePeriod=4&startYear=1985&firstMonth=1&endYear=2020&la...
by physixfan
Fri Jun 12, 2020 2:25 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 5431
Views: 488001

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

About volatility decay. I recently realized that there is a monthly rebalanced S&P 500 2x fund called DXSLX. And here's the comparison between DXSLX v.s. daily rebalanced 2x fund SSO: https://www.portfoliovisualizer.com/backtest-portfolio?s=y&timePeriod=4&startYear=1985&firstMonth=1&endYear=2020&la...
by physixfan
Fri Jun 12, 2020 1:13 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 5431
Views: 488001

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

About volatility decay. I recently realized that there is a monthly rebalanced S&P 500 2x fund called DXSLX. And here's the comparison between DXSLX v.s. daily rebalanced 2x fund SSO: https://www.portfoliovisualizer.com/backtest-portfolio?s=y&timePeriod=4&startYear=1985&firstMonth=1&endYear=2020&las...
by physixfan
Sat Jun 06, 2020 2:12 pm
Forum: Investing - Theory, News & General
Topic: Anybody do any GOOD timing the market?
Replies: 123
Views: 7934

Re: Anybody do any GOOD timing the market?

anon_investor wrote:
Sat Jun 06, 2020 8:38 am
physixfan wrote:
Sat Jun 06, 2020 1:16 am
I increased my allocation from 60%/40% to 90%/60% during Mar and Apr.
NTSX?
Yes
by physixfan
Sat Jun 06, 2020 1:16 am
Forum: Investing - Theory, News & General
Topic: Anybody do any GOOD timing the market?
Replies: 123
Views: 7934

Re: Anybody do any GOOD timing the market?

I increased my allocation from 60%/40% to 90%/60% during Mar and Apr.
by physixfan
Fri Jun 05, 2020 9:40 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 5431
Views: 488001

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

SPY is 5.5% down from all time highs, and UPRO is 38% down from all time highs Worth noting that the daily leverage reset is still dramatically better than *no* leverage reset over the past 10 years. https://www.portfoliovisualizer.com/backtest-portfolio?s=y&timePeriod=4&startYear=1985&firstMonth=1...
by physixfan
Sun May 17, 2020 1:26 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 5431
Views: 488001

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

i've started to play around w/ adding the VIX to this strategy and it certainly is appealing. However, the only way to invest in the VIX that I can find is through an ETN like VXX or VIXY, or use the leveraged version TVIX. all these options seem to drastically underperform the VIX index itself. Is...
by physixfan
Fri May 15, 2020 1:11 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 5431
Views: 488001

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

I don't know why you're always going on about rebalancing, I have only ever talked about TMF standalone. The TMF ETF's performance itself is clearly completely uncorrelated to how much or little you do rebalancing in your account. It’s simply absurd to ignore that removing (adding) money to a 3X ET...
by physixfan
Fri May 15, 2020 12:05 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 5431
Views: 488001

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

Anyone try to do this strategy with LEAPs instead of LETFs? I feel the expected return vs volatility for TLT is not quite well, so TMF which will suffer from volatility decay may not be a wise thing to hold. Then what about TLT LEAPs options? It seems quite normal to use LEAPs to leverage up SPY. B...
by physixfan
Thu May 14, 2020 12:46 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 5431
Views: 488001

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

Anyone try to do this strategy with LEAPs instead of LETFs? I feel the expected return vs volatility for TLT is not quite well, so TMF which will suffer from volatility decay may not be a wise thing to hold. Then what about TLT LEAPs options? It seems quite normal to use LEAPs to leverage up SPY. Bu...
by physixfan
Thu May 14, 2020 12:12 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 5431
Views: 488001

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

Return (Levered ETF) = exp[ -3 * sigma^2] * (1 + r)^3 - 1 Now the second step is figuring out the expected return and volatility of the underlying index of TMF. For this, I will look to TLT as a good approximation. (TMF’s index has an effective duration of 19.09 years, TLT has 18.90 - both invested...
by physixfan
Sat May 09, 2020 2:58 pm
Forum: Investing - Theory, News & General
Topic: Why doesn't everybody replace SP500 with NTSX?
Replies: 70
Views: 7165

Re: Why doesn't everybody replace SP500 with NTSX?

At least I have replaced all my VOO positions with NTSX. Now NTSX is my major holding.
by physixfan
Fri May 08, 2020 1:04 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 5431
Views: 488001

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

It seems most reliable housing price data start from 1980s. What's the actual housing price trend in 70s when inflation is really high? How is that compared to stock?
by physixfan
Wed May 06, 2020 3:36 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 5431
Views: 488001

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

For all those people considering using VIX ETF such as VXX as a hedge, have you guys really looked at how these ETFs performed? It's pretty much guaranteed to lose A LOT OF money every year. If you bought $300+ worth of VXX 5 years ago, those shares are only worth $30+ now, even after the huge decli...
by physixfan
Mon May 04, 2020 3:06 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 5431
Views: 488001

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

Nowadays it seems most people think the LTT yield is too low. 30 yr yield is about ~1.3% last time I checked. However, in my opinion, the yield has nowhere to go but down. I can't imagine in today's environment the 30 yr yield can be above for example 3%, as that is just simply too good to be true a...
by physixfan
Sat May 02, 2020 1:03 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 5431
Views: 488001

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

I’ve been doing 55/45 for about 6 months. In reading some of the recent posts on here, would love to do adaptive allocation once per month. Is there a spreadsheet or something to easily calculate this? Or does it require a bunch of manual steps via portfolio viz? I wrote some python code to calcula...
by physixfan
Wed Apr 29, 2020 12:38 am
Forum: Investing - Theory, News & General
Topic: Leveraged SMA200 Strategy Back-tested 1929 - 2019
Replies: 87
Views: 6137

Re: Leveraged SMA200 Strategy Back-tested 1929 - 2019

Interesting idea. I am wondering how to actually execute it, because it seems there will be days that SPY crosses the SMA200 line back and forth for many times.
by physixfan
Mon Apr 27, 2020 5:49 pm
Forum: Personal Investments
Topic: Lifecycle Investing Leverage Strategy Using LEAPS - How To?
Replies: 140
Views: 18911

Re: Lifecycle Investing Leverage Strategy Using LEAPS - How To?

Is there any way to do backtests on LEAPs?
by physixfan
Mon Apr 27, 2020 3:31 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 5431
Views: 488001

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

Is there any way to backtest this strategy with a rolling LEAPs version?
by physixfan
Mon Apr 27, 2020 12:45 pm
Forum: Investing - Theory, News & General
Topic: Is SWAN good for market timers?
Replies: 3
Views: 556

Re: Is SWAN good for market timers?

If you happen to have the same risk tolerance as the market in aggregate, it is impossible to gain any utility by trading options. But if you have a lower risk tolerance than the market, then it is definitely possible. Yeah this is exactly what I mean. Sometimes some people get panicked and want to...
by physixfan
Mon Apr 27, 2020 1:04 am
Forum: Investing - Theory, News & General
Topic: Is SWAN good for market timers?
Replies: 3
Views: 556

Is SWAN good for market timers?

The biggest concern for market timing is, the expected crash may not happen and we will miss out the price appreciation during the time period. So what if we buy SWAN instead of holding cash when we get panicked? By design, SWAN should have ~70% of performance of SP500 during normal time, and it can...
by physixfan
Sun Apr 26, 2020 11:08 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 5431
Views: 488001

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

I deleveraged today, switched from UPRO/TMF to UPRO/EDV. I believe the performance of UPRO can overcome the volatility drag, but I don't believe TMF can do so. It turns out that I deleveraged at almost the exact worst time. Today I ran some little code and verified that (from 2000 to today) delever...
by physixfan
Sun Apr 26, 2020 11:02 pm
Forum: Personal Investments
Topic: Why am I even saving for retirement?
Replies: 223
Views: 20278

Re: Why am I even saving for retirement?

I was rooting for your until your said yacht, now I know you need more money :D I don't know about you. But, if you quit working today, how are you going to cover your health insurance. Especially today, when pandemic cloud is blooming, when you need insurance more than ever as the coronavirus does...
by physixfan
Fri Apr 24, 2020 12:55 pm
Forum: Investing - Theory, News & General
Topic: Long bonds are for fools
Replies: 19
Views: 1603

Re: Long bonds are for fools

Some day, when all the treasury bonds have negative yields, you may regret you have not bought more long term treasury when the yield is still positive 😂
by physixfan
Thu Apr 23, 2020 9:20 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 5431
Views: 488001

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

Wow, this is really interesting. You can historically get higher Sortino, high returns, and lower dependence on long term treasuries if you add in a dash of a long volatility ETF. We've been missing it, I think, since the VIIX was started in 2010. https://www.portfoliovisualizer.com/backtest-portfo...
by physixfan
Wed Apr 22, 2020 8:29 pm
Forum: Personal Investments
Topic: AAPL MSFT GOOG AMZN ???
Replies: 85
Views: 6779

Re: AAPL MSFT GOOG AMZN ???

I plan to retire in one year, and have the following savings invested: $1/2 Mil distributed as... ~$200,000 AMZN ~$100,000 AAPL ~$100,000 MSFT ~$100,000 GOOG I plan to let it ride through the current down market. How might you reallocate these balances to maximize return? So you really like MAGA 😂...
by physixfan
Mon Apr 20, 2020 4:58 pm
Forum: Investing - Theory, News & General
Topic: [Oil futures price plummets, Bogleheads react]
Replies: 154
Views: 8362

Re: [Oil futures price plummets, Bogleheads react]

Can we say "this time it's different" today? Who would have thought that WTI crude oil price can be negative before this year 😂 Now we can't even use a log plot any more to show the crude oil price 😂
by physixfan
Sun Apr 19, 2020 1:47 pm
Forum: Investing - Theory, News & General
Topic: Does "Quantitative Easing" Lead to Higher Inflation?
Replies: 87
Views: 6066

Re: Does "Quantitative Easing" Lead to Higher Inflation?

I'll bite: The central bank certainly plays an important role for the observation, but there is something larger at work here if you remember central bankers have been perplexed by the lack of inflation. I believe foundamentally we are seeing a disconnect using the traditional model: monetary and f...
by physixfan
Thu Apr 16, 2020 11:45 pm
Forum: Investing - Theory, News & General
Topic: Benefits of NTSX Exhausted due to Low Treasury Yields?
Replies: 4
Views: 485

Re: Benefits of NTSX Exhausted due to Low Treasury Yields?

I don’t think there is any room for interest rate to rise in the near future. Instead, it is likely that those treasury yields could go to negative regime, like some other developed countries.
by physixfan
Thu Apr 16, 2020 2:15 pm
Forum: Investing - Theory, News & General
Topic: Ray Dalio: ‘you’d be pretty crazy to hold bonds’ right now
Replies: 128
Views: 13416

Re: Ray Dalio: ‘you’d be pretty crazy to hold bonds’ right now

Interest rate has nowhere to go but DOWN in the near future (~10 years) in my opinion. Some other parts of the world are already in the negative interest rate regime, and the US will follow. I can't imagine the FED dare to raise the interest in the current environment, because the interest payments ...
by physixfan
Wed Apr 15, 2020 12:48 am
Forum: Investing - Theory, News & General
Topic: SWAN ETF - 10% Leaps / 90% Treasuries
Replies: 167
Views: 16853

Re: SWAN ETF - 10% Leaps / 90% Treasuries

SWAN is difficult to model on PV before it’s inception date. Once the 10% LEAPS allocation gets wiped out, there is no more stock exposure and the portfolio is down around 10%. This leaves you with only interest rate risk on the Treasury Bonds. In a given year, I could see it going down maybe 15% b...
by physixfan
Sun Apr 12, 2020 4:19 pm
Forum: Investing - Theory, News & General
Topic: Why does anyone invest in China funds?
Replies: 70
Views: 3807

Re: Why does anyone invest in China funds?

As someone who completely buys in to the notion that we should invest more in China than we do, but is overwhelmed by the complexity of the choices, I would welcome a coherient thread / post presenting some of the key approaches one should consider in such an investment and the pros/cons of each. I...
by physixfan
Sun Apr 12, 2020 12:47 pm
Forum: Investing - Theory, News & General
Topic: Why does anyone invest in China funds?
Replies: 70
Views: 3807

Re: Why does anyone invest in China funds?

I advocated for Bogleheads to include China in their portfolios at the end of 2018 Those who listened were handsomely rewarded: https://www.portfoliovisualizer.com/fund-performance?s=y&symbol=ASHR&benchmark=VTI&startDate=01%2F01%2F2019 I bought a lot of ASHR in the second half of 2018. IMO, timing ...
by physixfan
Tue Apr 07, 2020 7:46 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 5431
Views: 488001

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

What is everyone's de-risking plan when you've reached the goals with your own personal adventure? I think the de-risking plan is quite clear: as we grow older and older, we should gradually deleverage following this path: High leverage (3x): 55/45 UPRO/TMF Mild leverage (1.5x): NTSX No leverage: 6...
by physixfan
Mon Apr 06, 2020 11:18 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 5431
Views: 488001

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

Just want to point out that today S&P is down 21% from its high while UPRO is down 63%, exactly 3x. Where is the volatility decay??? The volatility decay is right there. If the 21% loss comes from a steady and monotonic decrease spread over many days, a 3x daily leveraged strategy should be down ab...
by physixfan
Mon Apr 06, 2020 10:58 pm
Forum: Investing - Theory, News & General
Topic: Why does anyone invest in international funds?
Replies: 306
Views: 18500

Re: Why does anyone invest in international funds?

In my opinion, at least in the next 10 years, there are only two countries that have a bright future: USA and China. Therefore I mainly invest in US stocks as well as ASHR (ETF of largest 300 Chinese stocks). I don't see a good way to invest in China through indexing their stock market. Otherwise, ...
by physixfan
Mon Apr 06, 2020 9:44 pm
Forum: Investing - Theory, News & General
Topic: Why does anyone invest in international funds?
Replies: 306
Views: 18500

Re: Why does anyone invest in international funds?

In my opinion, at least in the next 10 years, there are only two countries that have a bright future: USA and China. Therefore I mainly invest in US stocks as well as ASHR (ETF of largest 300 Chinese stocks). Why do you feel that way? There are too many things to tell, but in short, this is a good ...
by physixfan
Mon Apr 06, 2020 9:42 pm
Forum: Investing - Theory, News & General
Topic: Why does anyone invest in international funds?
Replies: 306
Views: 18500

Re: Why does anyone invest in international funds?

In my opinion, at least in the next 10 years, there are only two countries that have a bright future: USA and China. Therefore I mainly invest in US stocks as well as ASHR (ETF of largest 300 Chinese stocks). I don't see a good way to invest in China through indexing their stock market. Otherwise, ...
by physixfan
Mon Apr 06, 2020 8:21 pm
Forum: Investing - Theory, News & General
Topic: Why does anyone invest in international funds?
Replies: 306
Views: 18500

Re: Why does anyone invest in international funds?

In my opinion, at least in the next 10 years, there are only two countries that have a bright future: USA and China. Therefore I mainly invest in US stocks as well as ASHR (ETF of largest 300 Chinese stocks). Why do you feel that way? There are too many things to tell, but in short, this is a good ...