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danyboy7

I merged danyboy7's threads into a similar discussion. The combined thread is in the Non-US Investing forum. The Personal Investments forum is for US investors. It's best to keep similar information together. Please use this thread for all of your portfolio discussions. This thread is ALSO for US i...

danyboy7

Are your costs for margin including in the analysis? No futures and no options,I'm using only leveraged ETFs.It's pretty hard to estimate exactly their borrowing costs required but I'm confident that it won't surpass their annual ter by too much.However as long as interest rates stay :arrow: low,th...

danyboy7

According to the compound interest calculator https://www.investor.gov/financial-tools-calculators/calculators/compound-interest-calculator A 20 year average return of 17%,thanks to the compound interest effect,could turn 20k in almost 500k I do realize it will be pretty difficult to achieve those r...

danyboy7

midareff wrote: ↑Mon Sep 07, 2020 10:45 am Good luck..... the pathway to success is littered with failed exotic portfolios.

Thanks a lot my friend,I would need it for sure

danyboy7

Here is a comparison between the behaviour of the real portfolio with real LETFs vs the theorical one done with backtest: https://www.portfoliovisualizer.com/backtest-portfolio?s=y&timePeriod=2&startYear=1985&firstMonth=1&endYear=2020&lastMonth=12&calendarAligned=true&inc...

danyboy7

[Thread merged into here, see below. --admin LadyGeek] So I took my final decision 8-) I'll start with Golden Butterfly x3 version.If FED will show signs of changing his policy regarding interest rates,I'll downgrade GBx3 to the Permanent x3 portfolio by adjusting the asset exposure. I'm pretty sur...

danyboy7

https://www.theoptimizingblog.com/lever ... portfolio/
https://www.theoptimizingblog.com/hedge ... adventure/
For anyone seeking some ispiration here is some interesting content

danyboy7

You can pull daily data from Yahoo finance and paste it into a spreadsheet. It's a slightly manual process, but if you're just pulling two tickers, it's not that much work to do each month. No need to pay for PV if you're only using it for the allocation. It's also how do you get the variables you ...

danyboy7

Why would you leverage a portfolio holding cash? :oops: Leverage is a negative allocation to cash. I've counted cash as positive and leverage as negative in the allocation of CashX.What's the problem ? The leveraged PP has LETFs instead of the original ones and the standard cash 3x on 75% non-cash ...

danyboy7

At a high level, the implied leverage of an option is positively related with how deep out of the money (OTM) it is. To see this, work through an exercise comparing price appreciation as a percent of premium paid of an at the money (ATM) and an OTM option. Note that most options are likely to go to...

danyboy7

I think all of us in this thread understand that if the market goes down 33% and correlation behaves unexpectedly just once, you're wiped out. Dear Glorat,again the market can't go down 33% on a single day,see the circuit breakers.The maximul daily loss on sp500 is -20% And yes, I need to go long i...

danyboy7

The leveraged Permanent Portfolio is the best of your proposed portfolios. Not having access to TMF is a good thing right now because long bonds are due for a beating when rates rise. So just hold more intermediate bonds. Allright,thank you very much for your opinion.You're right,it's well know tha...

danyboy7

While noting that it appears you plan to utilize LETFs, it's worth pointing out that had you implemented this using reg-t margin for the period of your PV backtest all 3 of your options would have blown up. Portfolio margin is a little harder to look back and figure out but my guess is you also wou...

danyboy7

Here's my advice: 1. Develop a workable plan 2. Invest early and often 3. Never bear too much or too little risk 4. Diversify 5. Never try to time the market 6. Use index funds when possible 7. Keep costs low 8. Minimize taxes 9. Invest with simplicity 10. Stay the course http://www.bogleheads.org/...

danyboy7

What are you actually trying to do, danyboy7? Are you planning to devote 20% of your portfolio, 5% each to each of four different risky but high potential "fun money" strategies? You've been asking about the RPAR risk parity ETF; implementing HEDGEFUNDIE's leveraged ETF strategy but not d...

danyboy7

Did you use PV to simulate your main portfolio and leveraged one or did you just used intuition ? I used Siamond's Simba work https://www.bogleheads.org/forum/viewtopic.php?p=4427163#p4427163 There is no data on international funds, so there I looked at PV. Results are not great but in recent years...

danyboy7

Sure,risk management is essential.I'm trying to figure out a way to set long vertical spread options,not willing to use naked options for sure. But then you are veering into real options strategy and trading, not replicating the 3X ETF exposure you're looking for. Here's the logic that you'll need ...

danyboy7

I think you're in the wrong community to be asking these questions. It goes against bogleheads philosophy. That being said, one can use a simple synthetic long strategy on the thing you want to leverage. Not a bad way to get into options tradings as it is one of the simplest strageties and there ar...

danyboy7

Me? Well I use TMF with leveraged global equities and then have a large dose of value funds (which have lower duration and form a third tier inflation hedge along with emerging markets). It wasn’t your question. For you? I am not comfortable with gold (and have no idea where it’s at price wise othe...

danyboy7

Ok I guess if your accumulation corresponds with a low USD. I doubt you’d feel that way after accumulating for some years at high ERs and a high USD, only to see those reverse trend. Anyway, it’s only a part of your portfolio I guess. I guess I am one of the only who leverages global equities. I do...

danyboy7

Just to check, what's your view on the currency risk you are taking? US stocks are pretty pricey. So is the USD. I'm buying in Euros so the more usd drops,the better is for me. Ok I guess if your accumulation corresponds with a low USD. I doubt you’d feel that way after accumulating for some years ...

danyboy7

Hi, I was just wondering if anyone of ex-us investing was considering of doing Hedgefundie portfolio or any leveraged strategies (All weather leveraged ecc) using IB's options I think you're in the wrong community to be asking these questions. It goes against bogleheads philosophy. That being said,...

danyboy7

Between 10-20% of my total capital.I'm pretty aware of the risks :wink: Just to check, what's your view on the currency risk you are taking? US stocks are pretty pricey. So is the USD. I'm buying in Euros so the more usd drops,the better is for me. Ok I guess if your accumulation corresponds with a...

danyboy7

typical.investor wrote: ↑Sun Sep 06, 2020 2:23 am
danyboy7 wrote: ↑Sat Sep 05, 2020 10:01 am Between 10-20% of my total capital.I'm pretty aware of the risks
Just to check, what's your view on the currency risk you are taking?

US stocks are pretty pricey. So is the USD.

I'm buying in Euros so the more usd drops,the better is for me.

danyboy7

000 wrote: ↑Sat Sep 05, 2020 10:02 pm Why would you leverage a portfolio holding cash?

Leverage is a negative allocation to cash.

I've counted cash as positive and leverage as negative in the allocation of CashX.What's the problem ? The leveraged PP has LETFs instead of the original ones and the standard cash

danyboy7

danyboy7 wrote: ↑Sat Sep 05, 2020 10:42 am So a big question here is which one has the best anti-correlation,stocks or gold

I didn't find much about this topic https://www.valuewalk.com/2020/02/gold-vs-treasuries/

danyboy7

So a big question here is which one has the best anti-correlation,stocks or gold

danyboy7

I would suggest Golden Butterfly. That will allow you to flit amongst all the other wildly leveraged strategies. It's the one that has overall the best sharpe and sortino ratio.However,leaving away the leverage, allocating a 40% of bonds doesn't make me feel super comfortable. The permanent x3 is t...

danyboy7

Between 10-20% of my total capital.I'm pretty aware of the risks

danyboy7

Also HFx3 version with TYD proxy instead of TMF could be a forth option HFx3: 60% upro,40% TYD https://www.portfoliovisualizer.com/backtest-portfolio?s=y&timePeriod=2&startYear=1985&firstMonth=1&endYear=2020&lastMonth=12&calendarAligned=true&includeYTD=false&initialAm...

danyboy7

[Thread merged into here, see below (next page). --admin LadyGeek] Here is the PV comparison between those 3: https://www.portfoliovisualizer.com/backtest-portfolio?s=y&timePeriod=2&startYear=1985&firstMonth=1&endYear=2020&lastMonth=12&calendarAligned=true&includeYTD=fal...

danyboy7

Hi, I was just wondering if anyone of ex-us investing was considering of doing Hedgefundie portfolio or any leveraged strategies (All weather leveraged ecc) using IB's options I think you're in the wrong community to be asking these questions. It goes against bogleheads philosophy. That being said,...

danyboy7

If someone is willing to set leveraged portfolios through options,feel free to pm me

danyboy7

Yes,what about this ? I am not an expert, only sharing what I know. YOU need to be responsible with this information. Here is a video I found informative. That channel has several others too. WSB post with some basics It's possible to use some kind of spread on fixed income options to borrow near t...

danyboy7

I'm not too familiar with futures, but I think (as someone posted upthread), the LETFs are mostly composed of futures. So I think trying to use options for this will require a very close study. I seem to recall back in 2008, the inverse bank ETF named SKF used monthly put options to achieve 2x inve...

danyboy7

I'm not too familiar with futures, but I think (as someone posted upthread), the LETFs are mostly composed of futures. So I think trying to use options for this will require a very close study. I seem to recall back in 2008, the inverse bank ETF named SKF used monthly put options to achieve 2x inve...

danyboy7

Chris Cole of Artemis is one of the brightest guys around. His thoughts may be a turnoff to many on the site but I believe this thread is itching for practical implications of risk parity. These are his comments from a Jan 2019 MacroVoices Podcast. Link to transcripts: https://www.macrovoices.com/p...

danyboy7

is it traditional or modern? i think we found a new oxymoron folks! @LadyGeek which is the policy of this forum for personal insults ? I'm curious to know your opinion This was not an insult directed at any person, including you. An oxymoron is merely "a figure of speech in which apparently co...

danyboy7

It's not necessarily better - it has much higher drawdowns and lower Sharpe than classic HFEA - at 80/20 35% volatility it has a superior CAGR, at least based on 10 year backtests and a few important toggle settings. It also hasn't been backtested beyond 2010, unlike HFEA which was modeled back to ...

danyboy7

The target 25% volatility strategy for UPRO+TMF combo seems to be the best Hedgeundie version right ? Do I have to get the PV pro version to see the signals change allocation,right ? It's not necessarily better - it has much higher drawdowns and lower Sharpe than classic HFEA - at 80/20 35% volatil...

danyboy7

Is there a way to backtest RPAR since 1985 or 1991 ? I would like to see how it would behaved in a greater extent of time :wink: Without digging too much into it, here is my crude attempt: Here it is compared to actual RPAR (pretty close): https://www.portfoliovisualizer.com/backtest-asset-class-al...

danyboy7

Good for him, I know index funds. Buying and holding the sp500/nasdaq no matter happens may be a good choice for someone but for me it is far from being "good".Anyone has its own goals :sharebeer In my opinion the traditional modern portfolio strategy has failed too many times to be taken...

danyboy7

Is there a way to backtest RPAR since 1985 or 1991 ? I would like to see how it would behaved in a greater extent of time :wink: Without digging too much into it, here is my crude attempt: Here it is compared to actual RPAR (pretty close): https://www.portfoliovisualizer.com/backtest-asset-class-al...

danyboy7

Is there a way to backtest RPAR since 1985 or 1991 ? I would like to see how it would behaved in a greater extent of time :wink: Without digging too much into it, here is my crude attempt: Here it is compared to actual RPAR (pretty close): https://www.portfoliovisualizer.com/backtest-asset-class-al...

danyboy7

Here is what is in UPRO: https://www.proshares.com/funds/upro_daily_holdings.html They hold the emini futures, custom swaps we don't have the details on, treasuries, and a dash of the actual stock. So in theory if you wanted to replicate them, getting the right amount of futures would get you close...

danyboy7

At a high level, the implied leverage of an option is positively related with how deep out of the money (OTM) it is. To see this, work through an exercise comparing price appreciation as a percent of premium paid of an at the money (ATM) and an OTM option. Note that most options are likely to go to...

danyboy7

Very interesting,thanks to both of you
Seems to be a very interesting protective and with a bit of growing ETF

danyboy7

What do you think ? I don't always do active management, but when I do, I use my own unpublished strategies. :greedy Why would I give them to others for a few hundred bucks a year? :oops: I think the "give them to others for a few hundred bucks a year" is his strategy . The only money to ...

danyboy7

perfectuncertainty wrote: ↑Mon Aug 31, 2020 12:41 pm
Sushmit wrote: ↑Mon Aug 31, 2020 10:57 am
perfectuncertainty wrote: ↑Mon Aug 31, 2020 10:39 am

I have a spreadsheet that does it.
Can you share it please, I am curious about it too
Link

I havent updated it - since I don't use TV. I use a differrent method using inverse volatility

Thanks a lot,how do we manage to update it ?

danyboy7

The target 25% volatility strategy for UPRO+TMF combo seems to be the best Hedgeundie version right ? Do I have to get the PV pro version to see the signals change allocation,right ? It's not necessarily better - it has much higher drawdowns and lower Sharpe than classic HFEA - at 80/20 35% volatil...

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