Search found 5 matches

by BTTFutures
Mon Oct 07, 2019 10:32 pm
Forum: Investing - Theory, News & General
Topic: Understanding using treasury futures for leverage to implement risk parity
Replies: 161
Views: 13702

Re: Understanding using treasury futures for leverage to implement risk parity

Thanks this makes sense but now I don't see how futures can help with leverage per the above Kessler article. If you are allocating the same amount of money ($640 margin + $215,360 Cash) how are they creating a 3.3x leveraged portfolio? The 2 yr futures plus excess cash in t bills returns 4% on ave...
by BTTFutures
Mon Oct 07, 2019 10:20 pm
Forum: Investing - Theory, News & General
Topic: Understanding using treasury futures for leverage to implement risk parity
Replies: 161
Views: 13702

Re: Understanding using treasury futures for leverage to implement risk parity

I read through this thread and decided to test the theory using quandl data ( https://www.quandl.com/databases/SCF/documentation ). I used the backwards ratio adjusted open interest switch method with CME TU continuous futures( CME_TU1_OR). I found that open interest switch vs. first day of expire ...
by BTTFutures
Mon Oct 07, 2019 8:50 pm
Forum: Investing - Theory, News & General
Topic: Understanding using treasury futures for leverage to implement risk parity
Replies: 161
Views: 13702

Re: Understanding using treasury futures for leverage to implement risk parity

I read through this thread and decided to test the theory using quandl data ( https://www.quandl.com/databases/SCF/documentation ). I used the backwards ratio adjusted open interest switch method with CME TU continuous futures( CME_TU1_OR). I found that open interest switch vs. first day of expire ...
by BTTFutures
Sat Sep 21, 2019 9:42 am
Forum: Investing - Theory, News & General
Topic: Understanding using treasury futures for leverage to implement risk parity
Replies: 161
Views: 13702

Re: Understanding using treasury futures for leverage to implement risk parity

I read through this thread and decided to test the theory using quandl data ( https://www.quandl.com/databases/SCF/documentation ). I used the backwards ratio adjusted open interest switch method with CME TU continuous futures( CME_TU1_OR). I found that open interest switch vs. first day of expire ...
by BTTFutures
Sat Sep 07, 2019 5:09 pm
Forum: Investing - Theory, News & General
Topic: Understanding using treasury futures for leverage to implement risk parity
Replies: 161
Views: 13702

Re: Understanding using treasury futures for leverage to implement risk parity

I read through this thread and decided to test the theory using quandl data ( https://www.quandl.com/databases/SCF/documentation ). I used the backwards ratio adjusted open interest switch method with CME TU continuous futures( CME_TU1_OR). I found that open interest switch vs. first day of expire m...