Search found 22 matches

by guillemot
Sat Jan 02, 2021 11:44 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 7866
Views: 770075

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

PV link for 2020 results - including some common variants
I'm doing 55/45 UPRO/EDV. I am showing 38% return in my account because I am rebalancing by contributions and not quarterly.
Also interesting is the returns for this year are driven by TMF which I guess is not surprising.
by guillemot
Wed Oct 14, 2020 9:13 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 7866
Views: 770075

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

Related question - Are there any brokerages that will allow me to input my asset allocation across these ETFs and do the rebalancing for me automatically (on some schedule)? Preferably without an additional management fee. Look into M1. I don't know if it's completely automatic, but people in this ...
by guillemot
Fri Jan 10, 2020 10:55 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 7866
Views: 770075

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

Has anyone calculated how the expense ratio for UPRO & TMF would affect total earnings over a 30 year period? Would this calculation cause a substantial difference in the improvement of the UPRO/ETF strategy vs. S&P 500 Fund? It's easy to compute yourself. I Googled investment fee calculato...
by guillemot
Mon Jan 06, 2020 6:00 pm
Forum: Investing - Theory, News & General
Topic: What do futures really leverage exposure to?
Replies: 28
Views: 2644

Re: What do futures really leverage exposure to?

futures contract = underlying + cost of carry. For example, one ESA contract gives you exposure to 50 x S&P500 (around $130k). Cost of carry would be forgone dividends and the interest you could earn on the ~$130k. It is similar to owning the underlying, but the financing/taxation/trading instr...
by guillemot
Wed Jan 01, 2020 6:33 pm
Forum: Investing - Theory, News & General
Topic: Why all the angst about RMDs and taxes?
Replies: 177
Views: 13397

Re: Why all the angst about RMDs and taxes?

The plan is to relocate to a no income tax state. That's a savings of 5% right there. I might be getting an inheritance but I have no idea how much. I'll only know 20 years from now so that's not useful for trying to plan right now. My pre-tax retirement funds are $400k right now (age 38) so I'll be...
by guillemot
Mon Dec 16, 2019 2:48 pm
Forum: Investing - Theory, News & General
Topic: WSJ "Economists got the decade all wrong"
Replies: 40
Views: 5676

Re: WSJ "Economists got the decade all wrong"

I have always found it amazing that many people, not only economists, make forecasts and entities publish them with no mention of their historical accuracy. The worthlessness of these predictons has been well documented in serious publications by economists for years. Yet they do not give up. I wen...
by guillemot
Sun Dec 15, 2019 4:52 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 7866
Views: 770075

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

HEDGEFUNDIE, did you or can you share your data? All I have so far is the UPRO/TMF daily data from 1986 which is in the original post of the previous thread here . Thinking about doing this. I was looking at Sharpe ratios using the 1986 data set and it looks like 13% real return for this strategy ve...
by guillemot
Sun Dec 15, 2019 3:47 pm
Forum: Investing - Theory, News & General
Topic: Survey on how the S&P will do in 2020...
Replies: 14
Views: 1107

Re: Survey on how the S&P will do in 2020...

6.5% nominal the market return guessers are saying. Which is a little less than the historical long term return. https://www.cnbc.com/2019/12/14/santoli ... wrong.html
by guillemot
Fri Dec 13, 2019 4:10 pm
Forum: Investing - Theory, News & General
Topic: Recommendations of 100% stock lately
Replies: 246
Views: 18749

Re: Recommendations of 100% stock lately

I was curious how big the next crash has to be to wipe out the excess gains of 100% stock portfolio over, say, a 60/40 portfolio. You can get the time to achieve a return using natural log. For example, the rule of 72 says that dividing 72 by the interest rate gives an approximation of the doubling...
by guillemot
Fri Dec 13, 2019 3:47 pm
Forum: Investing - Theory, News & General
Topic: Recommendations of 100% stock lately
Replies: 246
Views: 18749

Re: Recommendations of 100% stock lately

I think you [Hector] are right that a new investor probably has a very low savings rate.
I think the argument stands. If the emergency fund is in place and debts are under control, dialing up the risk quickly makes sense.
by guillemot
Thu Dec 12, 2019 6:08 pm
Forum: Investing - Theory, News & General
Topic: Recommendations of 100% stock lately
Replies: 246
Views: 18749

Re: Recommendations of 100% stock lately

It's honestly fine for a young investor. You want to up the risk (and return) as fast as possible, since we know market risk has a positive expected return. I think the max drawdown possible for stocks right now is 50%. If you go based on that assumption and a savings rate of 50%, it will take 4 yea...
by guillemot
Thu Dec 12, 2019 5:15 pm
Forum: Investing - Theory, News & General
Topic: Index Funds Bubble? [Michael Burry article]
Replies: 254
Views: 34926

Re: Index Funds Bubble? [Michael Burry article]

vineviz wrote: Rob Arnott, in a recent Morningstar podcast, that if you subtract all of the index investors’ holdings you are left with the aggregate holdings of active investors. Which looks exactly like the market, obviously. On the other side of any bet made by an active investor there must, the...
by guillemot
Thu Dec 12, 2019 4:46 pm
Forum: Investing - Theory, News & General
Topic: Leveraged Equity - “Bull Markets Die on Euphoria”
Replies: 35
Views: 2269

Re: Leveraged Equity - “Bull Markets Die on Euphoria”

None of the leverage threads have been “100% UPRO YOLO!$&@” All of the strategies that have gotten serious attention have been ones that hedge the downside risk of leverage. This is still Bogleheads after all. For example, on a day when the S&P is up 1%, my Excellent Adventure is down 1%. T...
by guillemot
Wed Dec 11, 2019 8:51 pm
Forum: Investing - Theory, News & General
Topic: SWAN ETF - 10% Leaps / 90% Treasuries
Replies: 170
Views: 20589

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

I got my data from the S-Network website like I said in my post. Try this: https://snetworkglobalindexes.com/Indexes/S-Network%20BlackSwan%20Core%20Index/Data/IndexData To construct the data set for Portfolio Visualizer, I first removed all the zero values, which correspond to non-trading days. Then...
by guillemot
Wed Dec 11, 2019 5:29 pm
Forum: Investing - Theory, News & General
Topic: SWAN ETF - 10% Leaps / 90% Treasuries
Replies: 170
Views: 20589

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

File hosting for data series for use with Portfolio Visualizer? I got SWANXT data from the S-Network website and modified it to work with Portfolio Visualizer. Blue is SWANXT index value. Red is Vanguard intermediate-term bond. Should I have used a different fund here? I know that includes some corp...
by guillemot
Wed Dec 11, 2019 3:32 pm
Forum: Investing - Theory, News & General
Topic: The Index Myth
Replies: 47
Views: 5195

Re: The Index Myth

You can check Morningstar active passive barometer report. I found a pdf of the March 2018 report . You can subscribe for the latest report. For the period ending March 2018, 13% of large blend funds (meaning both growth and value) beat a blend of indexes over the 20-year period and 12% beat indexes...
by guillemot
Wed Dec 11, 2019 3:12 pm
Forum: Investing - Theory, News & General
Topic: Do Mutual Funds (and ETFs) Split?
Replies: 15
Views: 1207

Re: Do Mutual Funds (and ETFs) Split?

ETFs split and reverse split like stocks and mutual funds do as well.
by guillemot
Tue Dec 10, 2019 8:45 pm
Forum: Investing - Theory, News & General
Topic: A gentle alternative to HEDGEFUNDIE's excellent adventure with 2-Year Treasury Futures
Replies: 136
Views: 19162

Re: A gentle alternative to HEDGEFUNDIE's excellent adventure with 2-Year Treasury Futures

How can you study short term treasury correlation versus US stocks? I did this analysis on Portfolio Visualizer, which says the correlation was 0.06 for the period 1977 to the present: Link Is there a way to plot correlation change over time, and how is this done? Where can I learn the basics of bon...
by guillemot
Tue Dec 10, 2019 10:28 am
Forum: Personal Investments
Topic: We talk about AA to sleep at night. What about the opposite, chasing performance?
Replies: 18
Views: 1776

Re: We talk about AA to sleep at night. What about the opposite, chasing performance?

It feels like running away from performance. In general you need to sell the winners and buy the losers; that's why it feels that way.
by guillemot
Mon Dec 09, 2019 1:41 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 7866
Views: 770075

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

If you never reset your leverage and you are using enough you will wipe out. It's always 1 over the leverage factor equals a wipeout if you assume no adjustment. So 3x leverage = 33% decline = wipeout, and 1.5 leverage = 67% decline = wipeout. There is a product PPLC by Direxion that gives 1.35x lev...
by guillemot
Fri Dec 06, 2019 2:21 pm
Forum: Investing - Theory, News & General
Topic: Dave Ramsey says 30 years Roth IRA to 1.3 million?
Replies: 239
Views: 22324

Re: Dave Ramsey says 30 years Roth IRA to 1.3 million?

Insane returns such as those Dave proposes (of 12% and more) are real but they come with insane risk. A tenet of the Bogleheads investing philosophy is not to take on too much risk. I'm not exactly sure what that means, but these kinds of strategies, that involve leverage, are probably too much risk...
by guillemot
Fri Dec 06, 2019 6:40 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 7866
Views: 770075

Useful posts in the threads that I found

I will try to keep this updated as I find more of them. The siamond data: https://www.bogleheads.org/forum/viewtopic.php?p=4426310#p4426310 How to use data with Portfolio Visualizer website: https://www.bogleheads.org/forum/viewtopic.php?p=4578095#p4578095 Backtest of different strategies 1955 to 20...