Search found 23 matches

by physixfan
Fri Sep 06, 2019 8:05 pm
Forum: Investing - Theory, News & General
Topic: Index Funds Bubble? [Michael Burry article]
Replies: 235
Views: 25220

Re: Index Funds Bubble? [Michael Burry article]

I think Dr. Burry's opinion deserves some more discussion in depth. I think index fund indeed can possibly be a bubble. Why? What bogleheads is always do is: keeping buying index funds no matter what. Even if the price is already high (whatever this means), people still contribute money into it. If ...
by physixfan
Thu Aug 22, 2019 12:44 pm
Forum: Investing - Theory, News & General
Topic: Chinese property bubble?
Replies: 59
Views: 2871

Re: Chinese property bubble?

It's so sad. It is clearly a bubble in my opinion, but I understand why Chinese people believe in real estate market. The housing price has been stronger and stronger for more than 20 years, that's basically many people's whole life, entire memory. Another aspect is the income growth in China during...
by physixfan
Tue Aug 13, 2019 9:18 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 1266
Views: 77221

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

The apparently counter-intuitive thing here is that TMF has generated great returns... during 1987-2018. That's the most important part of what makes the backtest with a full TMF allocation so amazing. The "stock market tanks" anti -correlation-based rebalancing effects are also a factor, but a sec...
by physixfan
Tue Aug 13, 2019 11:03 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 1266
Views: 77221

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

Anyone who changed their allocation yesterday with me was rewarded for it today. UPRO up 5% with TMF flat. I'm using Inverse Volatility with a 60 trading day lookback, exponentially weighted, and rebalance monthly. I rebalanced on Aug 1st to 54% UPRO / 46% TMF. Both the pullback yesterday as well a...
by physixfan
Mon Aug 12, 2019 3:12 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 1266
Views: 77221

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

I really don't get the reason why OP changed the strategy from risk parity 40/60 to 55/45 which seems random to me. https://i.imgur.com/oYJ6jUr.png This is a comparison for the time period Jun 2003 to Nov 2009. I choose this time period because of the same SP500 P/E and the same 20-year rate as men...
by physixfan
Mon Aug 12, 2019 2:58 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 1266
Views: 77221

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

I really don't get the reason why OP changed the strategy from risk parity 40/60 to 55/45 which seems random to me. https://i.imgur.com/oYJ6jUr.png This is a comparison for the time period Jun 2003 to Nov 2009. I choose this time period because of the same SP500 P/E and the same 20-year rate as ment...
by physixfan
Mon Aug 12, 2019 12:18 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 1266
Views: 77221

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

Therefore, at these rates today, and with the three comparable historical periods I backtested above, I am hereby making the following change to the OG strategy: 55% UPRO / 45% TMF This is not risk parity any more correct? I have a hard time believing that a dollar in 30 year treasuries is riskier ...
by physixfan
Sun Aug 11, 2019 12:57 pm
Forum: Investing - Theory, News & General
Topic: A Danish bank is offering mortgages at a 0.5% negative interest rate
Replies: 6
Views: 1782

A Danish bank is offering mortgages at a 0.5% negative interest rate

News from Business Insider: https://www.businessinsider.com/danish- ... tes-2019-8

I really think this is crazy. Why would the bank do such a thing...? Why not just lock their cash in their vault?
by physixfan
Fri Aug 09, 2019 11:05 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 285478

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

What's the CAGR of 60/40 TMF/UPRO during the period of 1982 to 1998 when the correlation between 10 year Treasury and SP500 is positive? 30% 🤑 I only have data since 1986 (from you). It seems the performance of this strategy is just so so during the period of 1986-2000. Note the Sharpe ratio compar...
by physixfan
Fri Aug 09, 2019 8:01 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 285478

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

https://www.physixfan.com/wp-content/uploads/Screen-Shot-2019-08-06-at-21.26.06--1024x466.png This is an interesting read: https://www.deshaw.com/assets/articles/DESCO_Market_Insights_20190208_1.pdf The most important assumption of HEDGEFUNDIE's strategy is that SP500 and Long Term Treasury has neg...
by physixfan
Tue Aug 06, 2019 6:39 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 285478

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

With 3x leverage, OP chose UPRO/TMF. What about the situation for lower leverage with the same philosophy? 1x leverage: VOO/TLT? or VOO/EDV? 2x leverage: SSO/UBT? Easiest way to get started with these ideas is to go back to page 49 and read from there: https://www.bogleheads.org/forum/viewtopic.php...
by physixfan
Tue Aug 06, 2019 6:01 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 285478

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

With 3x leverage, OP chose UPRO/TMF.

What about the situation for lower leverage with the same philosophy?

1x leverage: VOO/TLT? or VOO/EDV?

2x leverage: SSO/UBT?
by physixfan
Tue Aug 06, 2019 11:58 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 285478

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

With recent huge volatility, I am tempted to rebalance more frequently based on 20-day look back risk parity strategy. For example, monthly->weekly? Is there any study done about whether frequent rebalance is a bad thing?
by physixfan
Mon Aug 05, 2019 6:51 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 285478

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

How much UPRO does the vol-lookback strategy dictate right now? Is it actually 80%? I’m getting 55% UPRO, 45% TMF using the inverse vol 20day look back. Not sure if that’s correct though. For a 20 day look back risk-parity I am seeing 56/44 UPRO/TMF (rounded to nearest) so looks about right. Yep, I...
by physixfan
Sun Aug 04, 2019 1:20 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 285478

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

PV will do this for you with one bond fund but it’s simple math. Allocation of UPRO = (1/upro_vol)/((1/upro_vol)+(1/bond_vol)). For me the bond vol is simply the average of both funds since their correlation is essentially 1. I trade last day of month but that’s arbitrary. Vol comes from past 20 tr...
by physixfan
Mon Jul 29, 2019 6:40 pm
Forum: Forum Issues and Administration
Topic: Bogleheads in other languages?
Replies: 12
Views: 959

Re: Bogleheads in other languages?

I am considering to build a separate website to do the translations, but I am not sure whether this move is a violation of copyright or not... Have you considered approaching the admins of this site to see if they are interested in hosting the translation? Or are you planning to make it a separate ...
by physixfan
Mon Jul 29, 2019 11:20 am
Forum: Forum Issues and Administration
Topic: Bogleheads in other languages?
Replies: 12
Views: 959

Re: Bogleheads in other languages?

I am considering to build a separate website to do the translations, but I am not sure whether this move is a violation of copyright or not... I believe it might be, depending on whether your intent is to translate the wiki or the forum. (Disclaimer: I am not a lawer, especially not a copyright law...
by physixfan
Mon Jul 29, 2019 12:50 am
Forum: Forum Issues and Administration
Topic: Bogleheads in other languages?
Replies: 12
Views: 959

Re: Bogleheads in other languages?

I am considering to build a separate website to do the translations, but I am not sure whether this move is a violation of copyright or not...
by physixfan
Mon Jul 29, 2019 12:48 am
Forum: Forum Issues and Administration
Topic: Bogleheads in other languages?
Replies: 12
Views: 959

Re: Bogleheads in other languages?

flyingaway wrote: ↑
Sun Jul 28, 2019 10:30 pm
The problem is that many of the good ideas, e.g., low cost index funds, buy and hold, etc., we have here are not applicable to people in China.
At least Chinese-speaking people that live in the US can benefit from these translations.
by physixfan
Sun Jul 28, 2019 9:34 pm
Forum: Forum Issues and Administration
Topic: Bogleheads in other languages?
Replies: 12
Views: 959

Bogleheads in other languages?

Bogleheads wiki pages are very useful. But I don't see the wiki translated in other languages. Is there any place that we can contribute translation, for example, into Chinese?
by physixfan
Fri Jul 05, 2019 10:49 pm
Forum: Personal Investments
Topic: Pick one: $135,000 rental property or $110,000 in REITs
Replies: 89
Views: 11082

Re: Pick one: $135,000 rental property or $110,000 in REITs

I think the only reason why one should actually purchase a rental property rather than invest in REIT is, you can use leverage (via mortgage) when you purchase a house. I assume a 3x leverage is typical. So I believe it is only fair to compare purchasing rental properties with $330k value in total ...
by physixfan
Fri Jul 05, 2019 9:21 pm
Forum: Personal Investments
Topic: Pick one: $135,000 rental property or $110,000 in REITs
Replies: 89
Views: 11082

Re: Pick one: $135,000 rental property or $110,000 in REITs

I think the only reason why one should actually purchase a rental property rather than invest in REIT is, you can use leverage (via mortgage) when you purchase a house. I assume a 3x leverage is typical. So I believe it is only fair to compare purchasing rental properties with $330k value in total v...