Search found 76 matches

by perplexed
Wed Dec 13, 2023 4:55 pm
Forum: Personal Finance (Not Investing)
Topic: Fidelity free Turbotax 2023
Replies: 435
Views: 157006

Re: Fidelity free Turbotax 2023

Is this only if you have taxable account in Fidelity? I have retirement accounts only there (401s and roth).
by perplexed
Wed Aug 24, 2022 11:09 am
Forum: Investing - Theory, News & General
Topic: Refinements to Hedgefundie's excellent approach
Replies: 389
Views: 86903

Re: Refinements to Hedgefundie's excellent approach

Indeed there is luck! These are heuristic anyway, so what worked in the past may not work in the future. Standard disclaimer, I guess.

I have done some testing just using their daily position download from the CSV file. Then, I will seek the security price for each day (yfinance python). I found that when I use "Adjusted Close" as the transaction price (all buy and sell), it tracks pretty close to composer. By pretty close, I mean 10-20% difference at most.
However, when I use the average of (open, adj close, low, high), my code estimates substantially lower from composer (by more than an order of magnitude). Regardless, returns shown even then are super, with a capital S, LOL!
by perplexed
Tue Aug 23, 2022 3:17 pm
Forum: Investing - Theory, News & General
Topic: Refinements to Hedgefundie's excellent approach
Replies: 389
Views: 86903

Re: Refinements to Hedgefundie's excellent approach

My bad! I am talking about the reddit post based you shared few weeks ago (near the end of page 7). It is a composer algo . Its primary holding is TQQQ, but it switches to one in {UVXY, TECL, SOXL, SQQQ, BSV} based on a combination of RSI and SMA criteria. Here is the link in reddit: https://www.reddit.com/r/LETFs/comments ... _together/
by perplexed
Tue Aug 23, 2022 11:18 am
Forum: Investing - Theory, News & General
Topic: Refinements to Hedgefundie's excellent approach
Replies: 389
Views: 86903

Re: Refinements to Hedgefundie's excellent approach

Are you using "Close" price column? Composer also spits out a csv for your symphony, and just using that one can also verify their returns. I never get perfect agreement with theirs, but I do see pretty astonishing numbers nonetheless! In my experiments, I get many orders higher than 10% CAGR, even for 5 year period. The actual CAGR varies a lot based on pricing model, RSI etc. For example, using 1/4th of daily sum of OHLC cuts the return substantially (crude way to look at slippage?). Specific RSI value has pretty strong dependence, especially when we look 1+ year in the past. I have also done some basic rolling returns (rolling window of 1 year) looking how a given investment period will vary if the starting date is not just 3 y...
by perplexed
Tue Aug 23, 2022 9:46 am
Forum: Investing - Theory, News & General
Topic: Refinements to Hedgefundie's excellent approach
Replies: 389
Views: 86903

Re: Refinements to Hedgefundie's excellent approach

Hope this is interesting for folks. Yes, thanks for the detailed analysis and your thoughts. When I read about this on reddit, I did a rough excel test back to Nov 2011. It showed a ~10% CAGR with TQQQ as the trigger and ~7% for SPY as a trigger. I used the market close price for UVXY, as I assumed I did an after hours trade, which is usually pretty close to the close price if the trade is done within a few minutes of close. That sounds orders of magnitude lower than what the composer site says, as well as, my back tests using python that use yfinance data (close price). Admittedly, there will be slippage etc, but I don't expect to make several orders of magnitude difference. Which data source did you use? I am curious if Hydromod may plea...
by perplexed
Tue Aug 23, 2022 9:41 am
Forum: Investing - Theory, News & General
Topic: Refinements to Hedgefundie's excellent approach
Replies: 389
Views: 86903

Re: Refinements to Hedgefundie's excellent approach

Hydromod wrote: Sun Aug 21, 2022 1:08 pm
Hope this is interesting for folks.
This is really interesting. I wanted to double check that you are using RSI signal only when the stock price is over SMA200?
by perplexed
Sun Aug 14, 2022 4:01 pm
Forum: Investing - Theory, News & General
Topic: Refinements to Hedgefundie's excellent approach
Replies: 389
Views: 86903

Re: Refinements to Hedgefundie's excellent approach

I was checking RSI of all four etfs: SPY, QQQ, UPRO and TQQQ. Could not find anything really solid indicator among those uvxy jumps. Some time large jumps happenned even with RSI in mid 50s or lower. Perhaps brought on by some major events (?)

I will do a bit more check up tomorrow to understand. In the composer algo you shared from reddit, I did backtest that some and found UVXY giving solid gains (with a few not much gain, and on rare occasion large loss). I have been also doing some rolling return simulation for that, and will happily share my results if you are interested. It may be good to cross-validate some data :-)
by perplexed
Sun Aug 14, 2022 12:07 pm
Forum: Investing - Theory, News & General
Topic: Refinements to Hedgefundie's excellent approach
Replies: 389
Views: 86903

Re: Refinements to Hedgefundie's excellent approach

I used yfinance python package to get vixy data. It goes back to 2733 trading days (12ish years?).

Using a 10 day lookahead, and a threshold of 100% gains in uvxy, I am yet to see a consistent pattern using RSI , SMA 200, SMA 50. Of course, this is hot of the press code, so easily possible that it is bug infested. There are indeed a few instances where RSI are above 70 in 4 etfs I am considering (SPY, QQQ, UPRO and TQQQ), but there are many others where RSI values are well below. I have not yet analyzed false positives yet (i.e., when RSI was over 75+ and there was no jump in UVXY). A lower jump (50% say instead of 100%) furthers muddies the water.

Will love to hear more as you analyze ..
by perplexed
Sat Aug 13, 2022 4:12 pm
Forum: Investing - Theory, News & General
Topic: Refinements to Hedgefundie's excellent approach
Replies: 389
Views: 86903

Re: Refinements to Hedgefundie's excellent approach

Got it. Looking at the charts, it looks like it is approaching/already_there (?) a time to hold vixy/uvxy.
by perplexed
Sat Aug 13, 2022 12:05 pm
Forum: Investing - Theory, News & General
Topic: Refinements to Hedgefundie's excellent approach
Replies: 389
Views: 86903

Re: Refinements to Hedgefundie's excellent approach

I got back a reply from composer. They were nice enough to modify the spreadsheet that I gave them to show what they were doing. Indeed it seems like composer is implementing the RSI according to the definition. My main mistake was to omit a smoothing step. Usually the values are fairly similar, but occasionally they are quite far apart (e.g., a difference of 25 in a 0 to 100 range). There's another little subtlety, insofar as the RSI definition is using returns in dollars while I was using returns as a relative change. This usually has a negligible effect. Now that I use the consistent result, the VIXY trigger is doing much better, especially starting in 2018. It seems that a threshold value between 70 and 74, with RSI based on SPY, does ...
by perplexed
Fri Aug 12, 2022 4:56 pm
Forum: Investing - Theory, News & General
Topic: Refinements to Hedgefundie's excellent approach
Replies: 389
Views: 86903

Re: Refinements to Hedgefundie's excellent approach

Interesting observation about vixy role and correct levels for RSI. I simulated a bit of these, and found vixy to give sudden leaps in net asset. I will check with your lower RSI for SPY when simulating with UPRO. Getting in and out at the right time vixy/inverse (SQQQ) is critical looks like. What are your thoughts on how well it is doing with inverse funds entry/exit?
by perplexed
Sun Aug 07, 2022 3:55 pm
Forum: Investing - Theory, News & General
Topic: Refinements to Hedgefundie's excellent approach
Replies: 389
Views: 86903

Re: Refinements to Hedgefundie's excellent approach

Is there a way I can replicate your data? Your analysis has been always very insightful and data driven, and I read your posts with a lot of interest.
by perplexed
Sun Jan 12, 2020 8:37 pm
Forum: Personal Finance (Not Investing)
Topic: Spouse diagnosed with cancer. Financial steps?
Replies: 38
Views: 7100

Re: Spouse diagnosed with cancer. Financial steps?

So very sorry for you. I am in my early 40, and personally going through this for the last 3 years. We also have an (almost) 9 year old, making matters worse but at the same time gives me strength and reason to go on. We both work, and lucky to have a very stable jobs, but were not prudent to have a significant life insurance. Many of the suggestions have been really useful. I am curious, if there are specific documents that the SSA office accepts as spouse. For example, does a marriage certificate count!? I know it may sound dumb, but still asking if I need to do more than that.
by perplexed
Thu Nov 07, 2019 2:31 pm
Forum: Personal Consumer Issues
Topic: When to buy Car extended warranty ?
Replies: 56
Views: 4570

Re: When to buy Car extended warranty ?

I used to be one of those "never buy an extended warranty" person. That was until I bought a 2019 CPO Volvo XC60 plug-in electric hybrid that is loaded with all kinds of electronics. I extended my warranty through Volvo but a different dealer from where I bought the car. 10 years/unlimited milage warranty gives me peace of mind that I can keep this car as long as I want to, or sell it if I feel the technology is too outdated in a few years. The warranty I bought is OEM so if I do sell the car, I can transfer the warranty to the new owner, or receive a pro-rated return on the unused period. May I ask how much did the 10 year warranty cost on the Volvo? Also, is it bumber to bumper? Since you mentioned electronics, I would assume s...
by perplexed
Thu Nov 07, 2019 7:20 am
Forum: Personal Consumer Issues
Topic: When to buy Car extended warranty ?
Replies: 56
Views: 4570

Re: When to buy Car extended warranty ?

I used to be one of those "never buy an extended warranty" person. That was until I bought a 2019 CPO Volvo XC60 plug-in electric hybrid that is loaded with all kinds of electronics. I extended my warranty through Volvo but a different dealer from where I bought the car. 10 years/unlimited milage warranty gives me peace of mind that I can keep this car as long as I want to, or sell it if I feel the technology is too outdated in a few years. The warranty I bought is OEM so if I do sell the car, I can transfer the warranty to the new owner, or receive a pro-rated return on the unused period. May I ask how much did the 10 year warranty cost on the Volvo? Also, is it bumber to bumper? Since you mentioned electronics, I would assume s...
by perplexed
Tue Nov 05, 2019 3:06 pm
Forum: Investing - Theory, News & General
Topic: An Alternate to HEDGEFUNDIE's Adventure
Replies: 19
Views: 4314

Re: An Alternate to HEDGEFUNDIE's Adventure

Interesting analysis. There were many different variants discussed over those 2 threads. I am curious to see compelling advantages of your strategy, using ITT. Can you elaborate on drawdowns and sortino? Would using TMF (or EDV) be worse than ITT, while using the same 200 day SMA signals?

Thanks.
by perplexed
Tue Nov 05, 2019 9:41 am
Forum: Investing - Theory, News & General
Topic: Anyone use “baskets”at fidelity?
Replies: 19
Views: 9968

Re: Anyone use “baskets”at fidelity?

Cash wrote: Tue Nov 05, 2019 9:29 am OK I created and purchased a basket. Things I’ve learned:

1. Automatic allocation is nice, but appears to work only when creating the basket. You can input specific dollar amounts for future purchases, but you have to do so for each position.


-- Are you saying we can't add directly to the basket? I have not tried this myself.

2. As I noted above, no fractional shares.

3. Basket trading is not supported on the app.

#3 is a dealbreaker for me, so I will probably not use this feature going forward. But I would use it if they add it to the app just to save me the few seconds to calculate the number of shares to purchase for a given position.

Thank you so much..
by perplexed
Mon Nov 04, 2019 3:05 pm
Forum: Personal Investments
Topic: Creating M1 like pie in Fidelity
Replies: 8
Views: 2961

Re: Creating M1 like pie in Fidelity

Perfect. Thank you.
by perplexed
Mon Nov 04, 2019 7:12 am
Forum: Personal Investments
Topic: Creating M1 like pie in Fidelity
Replies: 8
Views: 2961

Creating M1 like pie in Fidelity

Hello,

I wanted to see if anyone had experience in creating a pie like M1 in fidelity. I realize one can do this manually, but I curious if it can be done as:

--- designate securities and their percentage allocations
--- allocate funds in the pie
---- fido does the trading

Thanks.
by perplexed
Mon Sep 09, 2019 10:44 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 14360
Views: 1989964

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

To everybody: What's the proposed end game of Hedgefundie's strategy (or its variations) if U.S. rates follow the pattern of Japan and Europe? Would you still play this strategy if 10-year treasuries are at -1% and 30-year at -0.5% nominal, -2.5% and -2% real interest? If not, at what point would you pull the plug, or change the strategy? I would not stay in this strategy at that point. I'm still trying to answer the last question. I'm also still trying to answer the last question. I'm mulling over strategies for (i) backing down the leverage for some period of time, and (ii) possibly altering the mix of assets. For me, the key is to use the strategy as a tool to augment my overall portfolio when conditions are likely to be neutral to favo...
by perplexed
Sat Sep 07, 2019 9:26 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 14360
Views: 1989964

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

Hi, why not use futures (instead of leveraged ETFs)? Thank you for your excellent work. This has been discussed widely. Futures require a larger portfolio size, especially if one wants to actually take advantage of any form of rebalancing bonus. They also require more day-to-day attention, unless you have an abundance of cash for margin (and thus a drag). ... I respectfully disagree. I read almost every argument for and against futures in this thread, and I still favor futures. Accurate rebalancing can be easily achieved with a combination of futures and index ETFs, and with a little bit of experience should take no longer than a few minutes. A 20-30% cash cushion would almost never require intervention between quarterly rolls, and Interac...
by perplexed
Tue Sep 03, 2019 10:04 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 14360
Views: 1989964

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

rascott:
Do you have any backtest data for your interesting strategy?
by perplexed
Wed Aug 21, 2019 3:41 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 14360
Views: 1989964

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

HEDGEFUNDIE wrote: Wed Aug 21, 2019 1:38 pm Just hit 50% total return, and it only took 6.5 months. Compare that to 8% for the S&P 500.

So much for volatility decay and low interest rates!
That is really incredible. Congratulations! I am at a more modest 30% (xirr is probably 70+).
Unfortunately, I can't get PSLDX. There has been some discussion at M* forum about barbell approach with leverage.
by perplexed
Mon Aug 19, 2019 6:58 pm
Forum: Investing - Theory, News & General
Topic: Refinements to Hedgefundie's excellent approach
Replies: 389
Views: 86903

Re: Refinements to Hedgefundie's excellent approach

Have you done any work on using alternate approaches to calculating volatility? From the papers I've read, the traditional approach of annualizing the standard deviations of logarithmic returns only preserves around 30% of the information around volatility clusters. I've looked at a couple GARCH variants as well as EWMA but even they only encapsulate around 60%+ of the information. I'm curious if you have done any experimenting with these or other approaches and what kind of improvements you might have seen. Best signal I've found so far is in fact VIX after all. Nice thing about VIX is you get around all the memory-destroying issues of differenced returns by just using the VIX itself since it's reasonably stationary as is.You can get VIX ...
by perplexed
Wed Aug 14, 2019 8:06 am
Forum: Personal Finance (Not Investing)
Topic: Provider choosing to bill as out of network
Replies: 43
Views: 4666

Re: Provider choosing to bill as out of network

From personal experience, unless the insurance goes into a specific contract with your provider for your case, this arrangement is dangerous and fraught with lots of worries. We had our insurance go into such a contract, and most things got cleared as in-network, but not before constant problems with bills escaping in-network arrangements.

If you have a specific reason to only choose this provider, please try to see if your insurance will cover as in-network.

If you live in a state where balance billing is allowed, this can easily snowball into a massive cash drag.
by perplexed
Tue Aug 13, 2019 9:05 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 14360
Views: 1989964

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

Yes, I did so following your footsteps, in one of my pies!
Don't know how to Thank you enough, HedgeFundie. Who knows what future holds, but your post and hard work have made me money in the last 5 months way more than I have anticipated.
by perplexed
Mon Aug 12, 2019 1:36 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 14360
Views: 1989964

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

I don't see what is wrong in it. Changing plans based on new context is a good thing.
Thank you Hedgefundie for this excellent post and lot of toil you have put into it.
by perplexed
Mon Aug 12, 2019 1:27 pm
Forum: Investing - Theory, News & General
Topic: Refinements to Hedgefundie's excellent approach
Replies: 389
Views: 86903

Re: Refinements to Hedgefundie's excellent approach

Hydromod: shamelessly (and greedy) checking if your wonderful scripts are coming!

Thanks!
by perplexed
Thu Aug 08, 2019 8:01 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 888874

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

Is there any alternative to PSLDX? Apparently my fido retirement account complains it is an advisor fund :annoyed
by perplexed
Thu Aug 08, 2019 11:35 am
Forum: Investing - Theory, News & General
Topic: Refinements to Hedgefundie's excellent approach
Replies: 389
Views: 86903

Re: Refinements to Hedgefundie's excellent approach

One more day before this week is over ...! :moneybag
by perplexed
Thu Aug 08, 2019 11:24 am
Forum: Investing - Theory, News & General
Topic: Refinements to Hedgefundie's excellent approach
Replies: 389
Views: 86903

Re: Refinements to Hedgefundie's excellent approach

Great! Thank you.
Today is a good day for monthly setting from target vol --- going to whole 80% upro :-)
by perplexed
Thu Aug 08, 2019 9:37 am
Forum: Investing - Theory, News & General
Topic: Refinements to Hedgefundie's excellent approach
Replies: 389
Views: 86903

Re: Refinements to Hedgefundie's excellent approach

Thank you so much! You really have no reason to be sorry! :-) Couple of quick pointers back. I may be mistaken in these, so please do correct me if I am wrong. * It looks like 2009 recession, UEI enabled allocation had a greater drawdown (blue line looks to go lower than red). Same I see in 1987ish (?). Is that correct? Is this a technicality from a slight lag of UEI inflection or second derivative impacting the allocation? Or are there more deeper insights? From the formula you gave, it seems more of a linear adjustment to allocation from a UEI. A stronger or step wise adjustment may fix this? * I think you are plotting Sharpe rather than sortino (?), or is just a Y-label thingy. Sortino only looks at downward variance relative to performa...
by perplexed
Tue Aug 06, 2019 5:17 pm
Forum: Investing - Theory, News & General
Topic: Refinements to Hedgefundie's excellent approach
Replies: 389
Views: 86903

Re: Refinements to Hedgefundie's excellent approach

Thank you for your kindness. MATLAB is better!

While looking at target volatility, I saw that some periods (months) when UPRO (or TQQQ) are at a high allocation, the portfolio suddenly goes through a bad month. However, it is not always the case (and hence target vol wins over 4/60)! I wonder, if there are other indicators, such as unemployment index, to withhold high allocation in those months.

Yeah last two days have been interesting. 40/60 hands down better than target vol (end of month transactions) for these two days.
by perplexed
Tue Aug 06, 2019 4:34 pm
Forum: Investing - Theory, News & General
Topic: Refinements to Hedgefundie's excellent approach
Replies: 389
Views: 86903

Re: Refinements to Hedgefundie's excellent approach

Curious, if incorporating unemployment index is a possibility in the PV?
That way I can simply click and get the allocation monthly.

Of course, if you are willing to share your matlab files .... many blessings!

Regards!
by perplexed
Mon Aug 05, 2019 7:36 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 888874

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%? To be clear there is the look-back risk-parity, and then there is the target volatility. Target volatility is driven by the target that you choose, so you could have a variant of that strategy with everything from ~0% to 100% UPRO. Currently the 20% volatility (quick look shows the best backtest in terms of return/sharpe) is suggesting a 79.2% UPRO allocation. I rebalanced to 80/20 on 7/31/19 and am now at only 75.2% UPRO, whoops :). That portion is down 11.2% since 7/31 overall... not a great time to pull 40% of the adventure out to target volatility, but a good test of my will power. Overall this entire thing is still up almost 20% since 3/1/19 so I am no...
by perplexed
Mon Aug 05, 2019 11:25 am
Forum: Investing - Theory, News & General
Topic: Refinements to Hedgefundie's excellent approach
Replies: 389
Views: 86903

Re: Refinements to Hedgefundie's excellent approach

Excellent post. Thank you.
In principle, I like incorporating macro indicators into the allocation formula, thus going away from the sole dependence on pricing stats.


A few questions from a novice.

Any chance you may be able to post stddev, drawdowns, and sortino?
by perplexed
Sat Aug 03, 2019 6:57 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 888874

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

I am trying to generate a TQQQSIM by importing historical price NASDAQ data from yahoo, calculating daily returns (%), and multiplying it by 3.

Comparing it with TQQQ, for the period TQQQ data is available, looks like PV is showing significantly lower returns in TQQQSIM. I am wondering what may be the source of errors. FEW issues come to mind, and there may easily be more.

- I don't know how to factor in dividends. Is there a clean way to do this? For example, how was it done for TMFSIM or UPROSIM.
- Is there a way to factor in leverage and ETF costs in the returns?

Again, many thanks folks.
by perplexed
Sat Aug 03, 2019 5:04 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 888874

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

This is an excellent analysis. So one of the takeaway points I see is that all of these strategies (target vol, ….) tend to reduce the max drawdown substantially from the straight up 40-60.

I am curious if by any chance you have the data to play with TQQQ. Also, is this TMFSIM/UPROSIM data already uploaded in PV?

many thanks.
by perplexed
Fri Aug 02, 2019 10:48 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 888874

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

Hello:

This has been an excellent thread and a solid learning.
I am curious what would be best options to implement this strategy using mutual funds. I have not found anything beyond 1.25X leverage using long-term treasuries. I would love to know if others have ventured using some products in the mutual funds world.

Many thanks.
by perplexed
Wed Jun 19, 2019 11:30 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 888874

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

Thanks! A quick question, does the signal date is some random time in the month, or can it be first day? For example, other weights shown historically, are those day 1 of the month?
by perplexed
Wed Jun 19, 2019 10:57 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 888874

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

Hi Hedgefundie, Your comparison basically assumes that interest rates will continue to drop over the next 12 years. When comparing different implementations of the same basic strategy you need to make sure the equity and interest rate exposures are in a similar ratio. For example you can look at the "exposures" tab to see the differences. When you do that the PIMCO fund wins very easily. Your right that I like the basic idea. But really don't like leveraged ETFs. I think it's much better to use the PIMCO institutional funds as I have for the last decade. If your metric of “winning” is shorter bond duration, then sure, the PIMCO fund wins. But then you would have to convince me that I should prefer a shorter duration, which you ha...
by perplexed
Sun Mar 03, 2019 11:22 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 888874

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

Interesting thought from another thread on leverage; daily rebalancing ETFs works far better for equities than treasuries (and especially commodities) since the higher expected equity returns better combat the volatility drag. Seem to recall someone quoting that UPRO since inception has destroyed it's naive return while TMF is well below it, so that makes sense. Perhaps gives credence to a strategy that combines a 3x equity fund with an unleveraged uncorrelated holding (EDV for example which I learned about in this thread)? EDIT: While replacing TMF with EDV backtests well (better risk-adjusted return and still crushes S&P500), using a similar exposure via VUSTX and a deeper backtest shows far worse performance than TMFSIM. Yes, I thin...
by perplexed
Wed Feb 27, 2019 11:10 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 888874

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

Thanks Samdad. Yes, they do allow ProFunds.

I spoke to them and they said Direxion is too volatile and therefore not allowed in their platform :P
by perplexed
Wed Feb 27, 2019 9:49 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 888874

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

Excellent Thread.

One quick question. Is there a suitable alternative to TMF? My brokerage, wellsfargo, does not allow trading Direxion ETFs.

Thanks all.
by perplexed
Fri Feb 23, 2018 11:43 am
Forum: Personal Investments
Topic: Importing Tax Document from Wells Fargo
Replies: 2
Views: 810

Importing Tax Document from Wells Fargo

Hello:

I am wondering if forum members have success in importing wells fargo tax statements in a tax software? I tried hrblock and turbotax and both failed.

Thanks.
by perplexed
Thu Nov 09, 2017 10:28 am
Forum: Personal Consumer Issues
Topic: Extended Warranty on Used Car
Replies: 16
Views: 2286

Re: Extended Warranty on Used Car

WestsideGuy wrote: Wed Nov 08, 2017 10:48 pm Agreed. Would do it if you get an Audi. I did it for mine, and it paid for itself in the end.
Thanks! Did you get the extended warranty from an Audi dealership or a 3rd party? May I ask the cost involved?
by perplexed
Thu Nov 09, 2017 10:07 am
Forum: Personal Consumer Issues
Topic: Extended Warranty on Used Car
Replies: 16
Views: 2286

Re: Extended Warranty on Used Car

8 year bumper-to-bumper warranty on my used CPO Lexus. Can't beat it IMHO. They even recently replaced my worn floor mats for free. I feel it's worth every penny for this; it's like a cheap insurance policy with a single up-front premium ($3K for these 8 years essentially the same coverage you get with a new car, even the audio and electronics systems). And not all extended warranties are created equal. I note that with German cars, they won't give you an extended warranty beyond 4 or 5 years. That's kind of short for me. I guess they don't have faith in their own cars. And they seem to exclude lots of things (like those electronics and audio and even tire-pressure monitors and more). Did you get the extended warranty through the Lexus dea...
by perplexed
Thu Nov 09, 2017 9:28 am
Forum: Personal Consumer Issues
Topic: Extended Warranty on Used Car
Replies: 16
Views: 2286

Re: Extended Warranty on Used Car

Thanks for the all the responses.

Yes, I am skeptical about extended warranty being a scam, and hence wanted to check if group members have recommendations on specific company that are NOT a scam!
by perplexed
Wed Nov 08, 2017 7:05 pm
Forum: Personal Consumer Issues
Topic: Extended Warranty on Used Car
Replies: 16
Views: 2286

Extended Warranty on Used Car

Dear Forum Members,

I am seeking your input on getting extended warranty on a used car purchase. I have short listed following 4 cars:

2012 BMW X5, 67K miles, 20K
2012 Audi Q5, 54K miles, 23K
2011 Audi Q7, 78K miles, 20K
2011 Buick Enclave, 81K miles, 16K

I don't really need third row seats, but these are my options locally.
I want to check if you recommend any particular website/company for extended warranty. I am also curious if you have experience with good/bad reliability issues with these cars.

Thanks
by perplexed
Tue Sep 23, 2014 7:12 am
Forum: Personal Consumer Issues
Topic: Touring Spain
Replies: 13
Views: 1697

Re: Touring Spain

All:

Thank you very much for the helpful suggestions.
We are planning to travel in the 3rd week of May 2015. I will check out the temperature.
We also like traveling in trains, and did so in Italy with our son recently. I am hoping this should work out well next year as well. I will start on Rick Steves, and other helpful pointers.