## Search found 57 matches

Tue Apr 28, 2020 2:58 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 5831
Views: 528133

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

Sorry, I think I am missing something. You are saying "when combining two assets to obtain a global minimum variance, a non-zero correlation value derived from the two assets is required otherwise you will likely end up with a non optimal asset ratio" but correlation it is what it is. If you look a...
Tue Apr 28, 2020 2:14 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 5831
Views: 528133

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

I'd really appreciate help from anyone here who is using an Adaptive Allocation with Minimum Variance and calculating the monthly allocations in Excel. In going through Part I of this journey, I found discussion on calculating the Adaptive Allocation with Minimum Variance, which I interpreted as: T...
Fri Apr 24, 2020 8:59 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 5831
Views: 528133

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

I'd really appreciate help from anyone here who is using an Adaptive Allocation with Minimum Variance and calculating the monthly allocations in Excel. In going through Part I of this journey, I found discussion on calculating the Adaptive Allocation with Minimum Variance, which I interpreted as: T...
Tue Apr 14, 2020 10:01 am
Forum: Investing - Theory, News & General
Topic: Help me figure out the Target Volatility formula
Replies: 77
Views: 5404

### Re: Help me figure out the Target Volatility formula

Interesting googledoc. I see that the sheet (and thread) are using daily returns as a substitute for daily volatility. How confident are you all in making that assumption for inverse or target volatility weighting? Would it be possible to use googlefinance to pull down enough info to actually calcu...
Wed Mar 11, 2020 5:04 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 5831
Views: 528133

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

Eric Balchunas (Bloomberg's "ETF guy") said on Twitter that TLT had a big redemption at NAV earlier in the day, and that it spent the rest of the day trading well below intra-day NAV. I don't know enough about the mechanics of any interplay between TLT-TMF, but maybe that had an impact. It looks li...
Wed Mar 11, 2020 4:37 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 5831
Views: 528133

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

Eric Balchunas (Bloomberg's "ETF guy") said on Twitter that TLT had a big redemption at NAV earlier in the day, and that it spent the rest of the day trading well below intra-day NAV. I don't know enough about the mechanics of any interplay between TLT-TMF, but maybe that had an impact. It looks li...
Wed Mar 11, 2020 4:23 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 5831
Views: 528133

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

Eric Balchunas (Bloomberg's "ETF guy") said on Twitter that TLT had a big redemption at NAV earlier in the day, and that it spent the rest of the day trading well below intra-day NAV. I don't know enough about the mechanics of any interplay between TLT-TMF, but maybe that had an impact. It looks li...
Fri Feb 28, 2020 4:54 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 5831
Views: 528133

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

I'm using risk parity (inverse volatility) based on a 60 day exponentially weighted lookback period and monthly rebalancing. Would you mind sharing what allocations it specified for the last few months? Here are the numbers for the last couple of months. End of Jan: UPRO 54.4% and TMF 45.6% End of ...
Fri Feb 28, 2020 4:32 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 5831
Views: 528133

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

My risk parityesque 3x leveraged futures account has held up really well..... down "only" about 6-7% from the peak. Actually up about 2% with that today..... I'm sure that will change wildly in the next hour, ha. How the rest of the leveraged folks feeling? Since I'm still doing the 40/60 strategy,...
Fri Feb 28, 2020 4:23 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 5831
Views: 528133

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

My risk parityesque 3x leveraged futures account has held up really well..... down "only" about 6-7% from the peak. Actually up about 2% with that today..... I'm sure that will change wildly in the next hour, ha. How the rest of the leveraged folks feeling? Since I'm still doing the 40/60 strategy,...
Fri Feb 07, 2020 8:32 pm
Forum: Investing - Theory, News & General
Topic: Help me figure out the Target Volatility formula
Replies: 77
Views: 5404

### Re: Help me figure out the Target Volatility formula

My criticism really isn't that backtesting is useless, just that it is extremely hard to use correctly. Go back to the fundamentals. Figure out what assumptions are used in the strategy. Determine your personal risk tolerance. Do some math. Then start backtesting. If you skip directly to backtestin...
Fri Feb 07, 2020 1:17 pm
Forum: Investing - Theory, News & General
Topic: Help me figure out the Target Volatility formula
Replies: 77
Views: 5404

### Re: Help me figure out the Target Volatility formula

I actually started looking into this, because I was curious if his argument held up to scrutiny. Apparently the entire concept of quant investing revolves around backtesting. Backtesting can certainly have issues. However, these are usually a function of how it's being applied, lack of attention to...
Thu Feb 06, 2020 9:01 am
Forum: Investing - Theory, News & General
Topic: Help me figure out the Target Volatility formula
Replies: 77
Views: 5404

### Re: Help me figure out the Target Volatility formula

I mentioned earlier that backtests are only useful as a tool to deceive. That wasn't a joke. It is extremely difficult to backtest correctly and even more difficult to interprent, the entire active management industry is build around misleading people with benchmarks. The problem is that the method...
Mon Feb 03, 2020 8:05 am
Forum: Investing - Theory, News & General
Topic: Even the computers can't pick stocks
Replies: 7
Views: 1523

### Re: Even the computers can't pick stocks

I also found it interesting that their ML approach seemed to do a good job of minimizing drawdowns especially during times of crisis. Overall they seem positive on the use of ML even when removing portions of the market they identify as economically restrictive. However, our findings should not be t...
Mon Feb 03, 2020 7:55 am
Forum: Investing - Theory, News & General
Topic: Even the computers can't pick stocks
Replies: 7
Views: 1523

### Re: Even the computers can't pick stocks

I understood economic restrictions as those opportunities outside the bounds of what a fund could or would normally invest in. For example, they mention microcaps. Most funds ignore microcaps since they can't invest a sufficient amount in them to derive any real return regardless of how well the com...
Sun Feb 02, 2020 3:26 pm
Forum: Investing - Theory, News & General
Topic: Help me figure out the Target Volatility formula
Replies: 77
Views: 5404

### Re: Help me figure out the Target Volatility formula

Take a look at incorporating Risk Budgets into Risk Parity. It utilizes covariance matrices to "influence" the percentage of each asset under Risk Parity. If you are only dealing with two assets (UPRO and TMF), the calculations are pretty straight forward. If you move towards Asset Classes from jus...
Sun Feb 02, 2020 8:43 am
Forum: Investing - Theory, News & General
Topic: Help me figure out the Target Volatility formula
Replies: 77
Views: 5404

### Re: Help me figure out the Target Volatility formula

If you set a max cap of UPRO at 60%, risk parity and target volatility (at any target) have approximately the same returns. It's only when you unbound UPRO and increase the targeted volatility past 17% that you start to see excess returns from the target volatility approach. I originally thought ab...
Fri Jan 31, 2020 7:24 pm
Forum: Investing - Theory, News & General
Topic: Help me figure out the Target Volatility formula
Replies: 77
Views: 5404

### Re: Help me figure out the Target Volatility formula

If you set a max cap of UPRO at 60%, risk parity and target volatility (at any target) have approximately the same returns. It's only when you unbound UPRO and increase the targeted volatility past 17% that you start to see excess returns from the target volatility approach. I originally thought ab...
Fri Jan 31, 2020 4:47 pm
Forum: Investing - Theory, News & General
Topic: Help me figure out the Target Volatility formula
Replies: 77
Views: 5404

### Re: Help me figure out the Target Volatility formula

I ran the numbers using a spreadsheet for Jan and Feb assuming a targeted volatility goal of 25%. Stdev for Jan is 3.55%, annualized volatility is 56.38%, and targeted volatility is 44.34%. Stdev for Feb is 15.63%, annualized is 24.82%, and targeted volatility is 100%. These numbers correspond well...
Fri Jan 31, 2020 4:35 pm
Forum: Investing - Theory, News & General
Topic: Help me figure out the Target Volatility formula
Replies: 77
Views: 5404

### Re: Help me figure out the Target Volatility formula

If you set a max cap of UPRO at 60%, risk parity and target volatility (at any target) have approximately the same returns. It's only when you unbound UPRO and increase the targeted volatility past 17% that you start to see excess returns from the target volatility approach. I originally thought abo...
Fri Jan 31, 2020 11:52 am
Forum: Investing - Theory, News & General
Topic: Help me figure out the Target Volatility formula
Replies: 77
Views: 5404

### Re: Help me figure out the Target Volatility formula

NDAY = 21 SDU = stdev(C3:C23) * sqrt(252/NDAY) SDT = stdev(D3:D23) * sqrt(252/NDAY) (the sqrt(252/NDAY) is only needed for target volatility) rSDU = 1/SDU rSDT = 1/SDT Target volatility: fracU = min(targU, rSDU/(rSDU + rSDT)) I've never seen Target Volatility calculated that way. I use: C3 = A3/A2-...
Fri Jan 31, 2020 8:22 am
Forum: Investing - Theory, News & General
Topic: Help me figure out the Target Volatility formula
Replies: 77
Views: 5404

### Re: Help me figure out the Target Volatility formula

I am trying to reproduce the Target Volatility allocations from Portfolio Visualizer. Here is an example portfolio . I tried to keep it simple: There is only one risky asset (UPRO -- a 3x daily leveraged S&P 500 ETF) and the out-of-market asset is just cash. Since cash contributes virtually zero vo...
Tue Jan 21, 2020 4:01 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 5831
Views: 528133

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

I'm still in it as well. I'm doing inverse volatility based on the last 60 trading days (exponentially weighted). I cap my UPRO allocation percentage to 60% where it has been sitting for the last couple of months. My current gain is 42% with a XIRR of 61%.
Sat Jan 04, 2020 8:56 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 5831
Views: 528133

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

There was a spike fall 2008 or so. So technically a large drawdown, but operationally not anything to worry about. His graph appears to show something that lasts a couple of years. Its different than both my data and any other drawdown graph I have previously seen. That’s the drawdown in 30 year bo...
Sat Jan 04, 2020 8:35 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 5831
Views: 528133

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

Hydromod wrote:
Sat Jan 04, 2020 8:21 pm
There was a spike fall 2008 or so. So technically a large drawdown, but operationally not anything to worry about.
His graph appears to show something that lasts a couple of years. Its different than both my data and any other drawdown graph I have previously seen.
Sat Jan 04, 2020 7:42 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 5831
Views: 528133

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

These are some daily return simulations using Libor+spread costs for synthetic leveraged ETFs created as explained in this thread ( https://www.bogleheads.org/forum/viewtopic.php?f=10&t=272640&start=250 ), going back to 1977. This also does rebalancing for the portfolio every 52 weeks instead of da...
Sat Jan 04, 2020 11:02 am
Forum: Non-US Investing
Topic: Think and grow rich, how the intelligent poor dad will beat the Streets: A leveraged 2-fund portfolio
Replies: 20
Views: 1821

### Re: Think and grow rich, how the intelligent poor dad will beat the streets: A leveraged 2-fund portfolio

Can you share more details? How are you gaining leverage, what is your rebalance criteria, are you planning on using a market timing technique or just leveraging up? If you haven't looked at it yet, hedgefundie has a long thread that contains lots of analysis of a stock/bond leveraging approach alon...
Sun Oct 06, 2019 10:24 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 5831
Views: 528133

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

Question for those using TQQQ instead of UPRO: Are you using TMF or EDV for the other part? And for which reasons please? Anyone here that did something like 43/57 TQQQ/EDV or 55/45 TQQQ/TMF? Thanks. I started in April using TMF and UPRO in a reverse, weighted volatility mixture which I rebalanced ...
Wed Sep 18, 2019 9:00 pm
Forum: Personal Consumer Issues
Topic: How to build hardware for a product protoype ?
Replies: 21
Views: 1575

### Re: How to build hardware for a product protoype ?

How much does filing a patent cost nowadays? \$5,000? \$10,000? What are the annual fees to maintain it? It depends on the complexity of your patent and the size of your company. For a individual inventor, with a pretty straight forward and obviously patentable idea, you can file for around \$1,500. T...
Wed Sep 18, 2019 8:45 pm
Forum: Personal Consumer Issues
Topic: How to build hardware for a product protoype ?
Replies: 21
Views: 1575

### Re: How to build hardware for a product protoype ?

I have built a couple of different prototypes. Most of the "secret sauce" for mine were in the software. The hardware and sensors were nothing more then a mechanism to generate the data. For my latest prototype, I'm utilizing an older android cell phone with its embedded accelerometer, gyroscope, an...
Tue Aug 27, 2019 10:42 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 5831
Views: 528133

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

coingaroo wrote:
Tue Aug 27, 2019 6:12 am

What tool are you using to plot these numbers?
I used Excel to plot the graphs. To generate the data, I'm using some code I wrote in VBA and C#.
Thu Aug 22, 2019 7:57 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 5831
Views: 528133

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

Hydromod wrote:
Thu Aug 22, 2019 6:35 pm

I was more thinking along the lines of two clusters, 3x and 1x. These are risk balanced internally, balancing volatility. Then sliding between the two clusters according to the amount of leverage you want. We need to check it out.
Interesting approach! Are you planning on backtesting it?
Thu Aug 22, 2019 5:47 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 5831
Views: 528133

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

Another possible strategy would be to keep a constant stocks/long term treasuries ratio and adjust the leverage ratio depending on volatility. The range would depend on your chosen stocks/long term treasuries ratio, say between 1x and 1.6x for 80/20. I know people in this thread have talked about a...
Thu Aug 22, 2019 3:47 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 5831
Views: 528133

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

Another possible strategy would be to keep a constant stocks/long term treasuries ratio and adjust the leverage ratio depending on volatility. The range would depend on your chosen stocks/long term treasuries ratio, say between 1x and 1.6x for 80/20. I know people in this thread have talked about a...
Mon Aug 19, 2019 7:18 pm
Forum: Investing - Theory, News & General
Topic: Refinements to Hedgefundie's excellent approach
Replies: 191
Views: 26167

### 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 va...
Sat Aug 17, 2019 5:13 pm
Forum: Investing - Theory, News & General
Topic: Refinements to Hedgefundie's excellent approach
Replies: 191
Views: 26167

### 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 var...
Thu Aug 15, 2019 11:16 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 5831
Views: 528133

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

These are not two portfolios held separately then added together, they are means of simulating each assets contribution to the portfolio as a whole. If one of them goes up 10x and the other 3x, then the total growth was 30x, not 13x. Let me try to explain the hand-wavy math I used (but... be warned...
Wed Aug 14, 2019 9:32 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 5831
Views: 528133

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

These are not two portfolios held separately then added together, they are means of simulating each assets contribution to the portfolio as a whole. If one of them goes up 10x and the other 3x, then the total growth was 30x, not 13x. Let me try to explain the hand-wavy math I used (but... be warned...
Tue Aug 13, 2019 7:03 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 5831
Views: 528133

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

Using your first example, are you saying that the difference between making an initial investment of 55/45 and not rebalancing it in anyway compared to rebalancing it on a periodic basis (like monthly) nets you around 0.5 CAGR in a best case scenario? I think he's saying that doing the 55/45 UPRO/T...
Tue Aug 13, 2019 6:44 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 5831
Views: 528133

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

Using your first example, are you saying that the difference between making an initial investment of 55/45 and not rebalancing it in anyway compared to rebalancing it on a periodic basis (like monthly) nets you around 0.5 CAGR in a best case scenario? I think he's saying that doing the 55/45 UPRO/T...
Tue Aug 13, 2019 5:17 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 5831
Views: 528133

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

The apparently counter-intuitive thing here is that TMF has generated great returns... during 1987-2018. That's the most important part of what makes the backtest with a full TMF allocation so amazing. The "stock market tanks" anti -correlation-based rebalancing effects are also a factor, but a sec...
Tue Aug 13, 2019 11:22 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 5831
Views: 528133

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

physixfan wrote:
Tue Aug 13, 2019 11:03 am
What tool do you use to calculate this? Thanks!
I use data downloaded from Yahoo and use excel to do the calculations. However, minus the exponential weighting, you can get the same information from Portfolio Visualizer.
Tue Aug 13, 2019 10:18 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 5831
Views: 528133

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

Anyone who changed their allocation yesterday with me was rewarded for it today. UPRO up 5% with TMF flat. I'm using Inverse Volatility with a 60 trading day lookback, exponentially weighted, and rebalance monthly. I rebalanced on Aug 1st to 54% UPRO / 46% TMF. Both the pullback yesterday as well a...
Mon Aug 12, 2019 5:09 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 5831
Views: 528133

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

I was curious how sensitive the cumulative results and drawdowns were to adjustments in the fixed AA allocation in OPs approach. I also wanted to compare that to the Inverse Volatility (Risk Parity) and Target Volatility approaches. The graphs below are based on the 1986-2019 simulated data supplem...
Mon Aug 12, 2019 3:03 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 5831
Views: 528133

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

I was curious how sensitive the cumulative results and drawdowns were to adjustments in the fixed AA allocation in OPs approach. I also wanted to compare that to the Inverse Volatility (Risk Parity) and Target Volatility approaches. The graphs below are based on the 1986-2019 simulated data suppleme...
Wed Aug 07, 2019 9:33 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 413590

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

Excellent graphs on volatility rebalancing...these should be studied to let it sink in. To use an analogy...when you jump off the bridge do you want the parachute already on, or strap it on after the jump? So long as you get it on before hitting the ground you’ll be fine, if you don’t? And of cours...
Wed Aug 07, 2019 8:21 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 413590

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

I was really excited by Targeted Volatility when I originally ran the model without shifting dates. Unfortunately, that one run seems to be an extreme outlier towards the positive. I guess it is a good reminder that we really aren't dealing with sufficient data to truly model any of these approache...
Tue Aug 06, 2019 8:10 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 413590

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

Strange that drawdown for 20% vol target is so much lower in PV...?
Good catch. That was 30% targeted volatility. Here is the one for 20%.

Tue Aug 06, 2019 5:03 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 413590

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

When you do the comparisons, I'd suggest comparing against the OP strategy with exactly the same start dates and rebalance dates. At least this is an apples to apples comparison. I think you'll find that you will consistently get one or two percentage points higher with the targeted volatility when...
Tue Aug 06, 2019 5:01 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 413590

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

To be clear it still seems to beat the OP strategy, no? For raw returns, certainly. For risk adjusted returns, I'm not so sure. Take a look at the drawdown chart. It compares results from the original 60/40 approach, inverse volatility (66% cap), EWMA weighted inverse volatility (66% cap and 94% la...