Search found 38 matches

by stockmaster
Sun Jan 24, 2021 3:41 pm
Forum: Investing - Theory, News & General
Topic: If an ETF holds another ETF, what is the expense ratio?
Replies: 1
Views: 240

If an ETF holds another ETF, what is the expense ratio?

For example, EWY has an ER of 0.59%. KORU is a 3x leveraged ETF holding only EWY, with an ER of 1.29%.

Is KORU's total expense ratio relative to the underlying stocks 1.29% or 1.88%?
by stockmaster
Fri Jan 22, 2021 3:12 pm
Forum: Non-US Investing
Topic: [India] Portfolio advice
Replies: 2
Views: 758

Re: [India] Portfolio advice

Remember that the amount of risk someone should take on inversely correlates with their age. If you're a college student then putting your pocket change in 100% stocks is a great idea. But if you're 50 years old this is a terrible idea. At your age, assuming you're in your 20s-30s, stocks are a grea...
by stockmaster
Wed Jan 13, 2021 9:32 pm
Forum: Investing - Theory, News & General
Topic: IVOL<== best TIPS ETF?
Replies: 24
Views: 2908

Re: IVOL<== best TIPS ETF?

IVOL is not simply a TIPS ETF. Its own homepage calls it "The Quadratic Interest Rate Volatility and Inflation Hedge ETF (IVOL)". There is a lot in thus fund other than TIPS, search the forum for more. Yeah that's the main reason I made this thread, I've seen previous posts about IVOL and...
by stockmaster
Wed Jan 13, 2021 2:31 am
Forum: Investing - Theory, News & General
Topic: IVOL<== best TIPS ETF?
Replies: 24
Views: 2908

Re: IVOL<== best TIPS ETF?

IVOL is not simply a TIPS ETF. Its own homepage calls it "The Quadratic Interest Rate Volatility and Inflation Hedge ETF (IVOL)". There is a lot in thus fund other than TIPS, search the forum for more. Yeah that's the main reason I made this thread, I've seen previous posts about IVOL and...
by stockmaster
Mon Jan 11, 2021 10:19 pm
Forum: Investing - Theory, News & General
Topic: IVOL<== best TIPS ETF?
Replies: 24
Views: 2908

IVOL<== best TIPS ETF?

IVOL is: 1. The best-performing TIPS ETF over the past year (15.6%) (https://etfdb.com/etf/IVOL/#performance) 2. The highest-dividend TIPS ETF available (3.47%/monthly) (https://etfdb.com/etf/IVOL/#etf-ticker-valuation-dividend) 3. The 7th-biggest TIPS ETF by AUM (https://etfdb.com/screener/#page=1&...
by stockmaster
Wed Nov 25, 2020 9:52 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 7901
Views: 773521

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

000 wrote: Mon Nov 23, 2020 11:40 pm So you're just 100% UPRO now?
I'm 25% FNGU and 75% YINN

I'm also in my 20's so I'm willingly taking on a lot of risk.
by stockmaster
Sun Nov 22, 2020 8:42 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 7901
Views: 773521

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

fidream wrote: Sun Nov 22, 2020 7:36 pm Kark Steiner came out with a blog post about the Hedgefundie strategy. tldr, doesn't seem good: https://www.mindfullyinvesting.com/why- ... the-lever/
I personally agree with his criticisms. Got rid of my entire bond allocation a month ago.
by stockmaster
Sun Nov 15, 2020 1:35 am
Forum: Investing - Theory, News & General
Topic: DIY Leveraging
Replies: 20
Views: 2080

Re: DIY Leveraging

I suspect you would want to use long dated deep-in-the-money call options. Yes, deeply ITM options is what I was thinking. But I still don't know how many options to buy to get, say, 3x leverage. The way I would do this is to buy an appropriate number of NASDAQ futures contracts. You can understand...
by stockmaster
Wed Nov 11, 2020 5:22 pm
Forum: Investing - Theory, News & General
Topic: DIY Leveraging
Replies: 20
Views: 2080

DIY Leveraging

For example, how would I get x dollars in QQQ to behave like TQQQ? I know options can increase exposure, but how much in options and how much in stocks? Isn't there some mathematical relationship that says "if you want x leverage, spend y% on option calls and z% on the underlying equity"? ...
by stockmaster
Thu Nov 05, 2020 2:30 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 7901
Views: 773521

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

It might not be. Without a more precise statement it's hard to say anything sensible. But, for example, suppose you have a twenty-year period and you believe that the annual returns are independent random samples from a distribution with ρ = 0.0, zero correlation. You calculate the actual correlati...
by stockmaster
Tue Nov 03, 2020 2:39 am
Forum: Investing - Theory, News & General
Topic: Will long-term treasuries remain a useful hedge at current interest rates?
Replies: 89
Views: 8440

Re: Will long-term treasuries remain a useful hedge at current interest rates?

Long term Treasuries have great strengths especially in decreasing rate/inflation scenario we have been in for almost 4 decades. Rates are now at or very close to all time lows and don't have much further to go to reach zero. During this long bull market for bonds LTT have not only offered maximal ...
by stockmaster
Mon Nov 02, 2020 1:54 pm
Forum: Investing - Theory, News & General
Topic: Will long-term treasuries remain a useful hedge at current interest rates?
Replies: 89
Views: 8440

Re: Will long-term treasuries remain a useful hedge at current interest rates?

Think of long term rates going from 14% to 1% over 40 years. Now think of long term rates going from 1% to .001% forward. Could they also go from 1% to 3%? I don't see the same potential level of equity protection. Falling interest rates helped long and intermediate holders over many years. The abi...
by stockmaster
Mon Nov 02, 2020 10:26 am
Forum: Investing - Theory, News & General
Topic: Will long-term treasuries remain a useful hedge at current interest rates?
Replies: 89
Views: 8440

Will long-term treasuries remain a useful hedge at current interest rates?

The answer outside of this forum is generally yes.

Could someone explain the other side? Why do you think LTTs are no longer a useful hedge against equity risk?
by stockmaster
Sun Nov 01, 2020 5:33 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 7901
Views: 773521

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

A correlation of zero means that there is a 50% chance they will move in unison. If you want to evaluate the correlation of two different funds, then you'll need to review many different events, not just one. There never was solid evidence that TMF was negatively correlated with the stock market, t...
by stockmaster
Sun Nov 01, 2020 2:02 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 7901
Views: 773521

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

A correlation of zero means that there is a 50% chance they will move in unison. If you want to evaluate the correlation of two different funds, then you'll need to review many different events, not just one. There never was solid evidence that TMF was negatively correlated with the stock market, t...
by stockmaster
Sat Oct 31, 2020 2:19 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 7901
Views: 773521

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

Also, could someone explain why TMF is supposed to behave like equity now? Nobody outside of this forum seems to have that opinion.
by stockmaster
Sat Oct 31, 2020 2:17 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 7901
Views: 773521

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

Huh? The correlation between stocks and gold is practically zero. Check out the decrease in standard deviation and max drawdown offered by a 25% allocation to gold. Then why did gold crash back in March, while TMF peaked? If the big issue is TMF having high correlation to the stock market now, then...
by stockmaster
Sat Oct 31, 2020 2:12 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 7901
Views: 773521

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

Given the consensus here recently re the short and medium term likely performance of TMF / UBT, what should we considering moving towards for risk parity with leveraged indicies? Personally I'm going the QLD + UBT route and currently 5% underwater since beginning 2 months ago. Seeing this week's ma...
by stockmaster
Fri Oct 30, 2020 6:31 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 7901
Views: 773521

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

No gold is not cheap. It is fair to slightly rich if you calculate the inflation adjusted bubble highs of 1980 & 2011. Treasuries on the other hand are very expensive. If the 1970s repeat, the strategy in this thread will be moreorless wiped out because the TMF leg will be leveraging losses. Go...
by stockmaster
Fri Oct 30, 2020 6:27 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 7901
Views: 773521

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

Hi, sorry but it uses Yahoo Finance as an external source and those programs don't know how to work with it. MS Office for Windows works fine, no other platforms unfortunately. Regarding the "Simple Leveraged Volatility Targeted Balanced Allocation," I used IEF instead of VFITX (IEF is th...
by stockmaster
Fri Oct 30, 2020 1:20 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 7901
Views: 773521

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

PicassoSparks wrote: Fri Oct 30, 2020 11:49 am Why all this financial engineering around the low treasury rates but not around the CAPE being at 30?

We should have lower expected returns for UPRO and TMF, no?
This is easily fixed by choosing a different equity ETF. All bonds are affected by the FFR but not all stocks have the same PE ratio.
by stockmaster
Thu Oct 29, 2020 9:46 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 7901
Views: 773521

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

From 1/2009 - 10/2015, even though FFR was held around 0, 30 year treasury rates dropped from 4% to 3%. That drop is mostly what drove the returns on TMF during that time. TMF also benefited from the spread between the yield and the borrowing rate (near zero) during that time. The entire yield curv...
by stockmaster
Thu Oct 29, 2020 8:22 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 7901
Views: 773521

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

Here is a detailed description of how HFEA (55/45 UPRO/TMF) portfolio has performed with the protection of a VIX options hedge. The numbers are refined from my prior post which overstated the performance. The reason for the overstatement was due to the fact that I did not derive the current monthly...
by stockmaster
Thu Oct 29, 2020 8:10 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 7901
Views: 773521

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

TMF will no longer provide risk parity. Many pundits have been saying bonds no longer provide diversification to stocks. Yes bonds provide a ballast, but won't necessarily move in the opposite direction as stocks. It seems like that Fed is trying to push the 10Y and 30Y rates higher, to avoid bubbl...
by stockmaster
Wed Oct 28, 2020 4:44 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 7901
Views: 773521

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

Hi everyone, I updated my file ( v5.0 now) to include some new features: 🎈 Made the data refresh check throw an error only if any of the tickers chosen by the user are affected. 🎈 Added vanilla 60:40 and 55:45 strategies, easy way to calculate how many shares to buy by simply providing your portfol...
by stockmaster
Wed Oct 28, 2020 4:42 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 7901
Views: 773521

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

Baseline - If we use 55/45 UPRO / TMF from 10/2011 till now the CAGR is 31.25%. If we use 48/44/8 UPRO/TMF/XVZ the CAGR is 27.89%. So the hedge is costing us 3.36% CAGR. In dollar terms on a 100k account, the cost of allocating 8% to UVX since 10/2011 is $248k. That's a significant cost but if it s...
by stockmaster
Sun Oct 25, 2020 1:41 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 7901
Views: 773521

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

You will stopped out with the 20% stop loss. I'd consider a laddered VIX call hedge. I'd hedge my portfolios with VIX 10 delta calls, usually 25-40 basis points of net liquid account worth (0.0025 - 0.0034 x NLW) depending on where the VIX is when I am buying them. Purchase them every third Wednesd...
by stockmaster
Fri Oct 23, 2020 12:30 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 7901
Views: 773521

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

You will stopped out with the 20% stop loss. I'd consider a laddered VIX call hedge. I'd hedge my portfolios with VIX 10 delta calls, usually 25-40 basis points of net liquid account worth (0.0025 - 0.0034 x NLW) depending on where the VIX is when I am buying them. Purchase them every third Wednesd...
by stockmaster
Fri Oct 23, 2020 3:54 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 7901
Views: 773521

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

You invest to meet your financial goals. Meeting your financial goals is a function of the probability distribution of total portfolio outcomes. By bucketing your portfolio, the optimization processes is compromised and you are guaranteed not to select the portfolio that is best to meet your financ...
by stockmaster
Fri Oct 23, 2020 2:23 am
Forum: Investing - Theory, News & General
Topic: Riding HEDGEFUNDIE’s excellent adventure
Replies: 64
Views: 13904

Re: Riding HEDGEFUNDIE’s excellent adventure

You should look at the total portfolio, not the individual parts. TYD is roughly comparable with 40% TMF. If you want to compare these ETF's directly, it would be better to compare TYD with 40% TMF. I'm fairly certain I did some calculations on TMF/TYD somewhere, but I can't find it. If I remember ...
by stockmaster
Fri Oct 23, 2020 2:14 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 7901
Views: 773521

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

If TYD is your only holding, then yes, it's absolutely better, but then why are you leveraging intermediate-term US Treasuries? There are far more profitable investments with the same amount of risk (and less leverage and associated costs). The purpose of TMF in this strategy is to offset precipito...
by stockmaster
Thu Oct 22, 2020 10:10 pm
Forum: Investing - Theory, News & General
Topic: Riding HEDGEFUNDIE’s excellent adventure
Replies: 64
Views: 13904

Re: Riding HEDGEFUNDIE’s excellent adventure

Why would anybody use TMF when TYD has fewer drawdowns and similar market correlation? https://i.imgur.com/3NPv20w.png You should look at the total portfolio, not the individual parts. TYD is roughly comparable with 40% TMF. If you want to compare these ETF's directly, it would be better to compare...
by stockmaster
Thu Oct 22, 2020 1:06 pm
Forum: Investing - Theory, News & General
Topic: Riding HEDGEFUNDIE’s excellent adventure
Replies: 64
Views: 13904

Re: Riding HEDGEFUNDIE’s excellent adventure

Why would anybody use TMF when TYD has fewer drawdowns and similar market correlation?

Image
by stockmaster
Thu Oct 22, 2020 12:32 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 7901
Views: 773521

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

I have a question... Why TMF instead of TYD?

TYD has similar correlation to the US market but its drawdowns and ratios are way better.

Image
by stockmaster
Tue Oct 20, 2020 9:12 pm
Forum: Investing - Theory, News & General
Topic: HFEA Mods Thread
Replies: 4
Views: 534

Re: HFEA Mods Thread

I would say this thread already covers what you're looking for: https://www.bogleheads.org/forum/viewtopic.php?f=10&t=326588 Similar, but not quite. I meant for the emphasis to be on modifications ... meaning, outside of the two-fund HFEA mold. Sorry if that wasn't clear. Here's my current port...
by stockmaster
Tue Oct 20, 2020 6:27 pm
Forum: Investing - Theory, News & General
Topic: HFEA Mods Thread
Replies: 4
Views: 534

HFEA Mods Thread

Just a thread for Hedgefundie's Excellent Adventure portfolio modifications. The main HFEA thread is so long it's hard to track down good ideas.

Please include your portfolio's purpose and percentage allocations.
by stockmaster
Wed Oct 14, 2020 12:56 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 7901
Views: 773521

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

I modified the HFEA portfolio to be 2.5x leveraged with more tech focus and Chinese equity and bond exposure. Backtests give undue weighting to the trade war and Covid outbreak so I'm not too interested in them. As the only major economy that has successfully handled Covid ATM, notwithstanding good ...