Search found 57 matches

by ocrtech
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...
by ocrtech
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...
by ocrtech
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...
by ocrtech
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...
by ocrtech
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...
by ocrtech
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...
by ocrtech
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...
by ocrtech
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 ...
by ocrtech
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,...
by ocrtech
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,...
by ocrtech
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...
by ocrtech
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...
by ocrtech
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...
by ocrtech
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...
by ocrtech
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...
by ocrtech
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...
by ocrtech
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...
by ocrtech
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...
by ocrtech
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...
by ocrtech
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...
by ocrtech
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-...
by ocrtech
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...
by ocrtech
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%.
by ocrtech
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...
by ocrtech
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.
by ocrtech
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...
by ocrtech
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...
by ocrtech
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 ...
by ocrtech
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...
by ocrtech
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...
by ocrtech
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#.
by ocrtech
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?
by ocrtech
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...
by ocrtech
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...
by ocrtech
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...
by ocrtech
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...
by ocrtech
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...
by ocrtech
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...
by ocrtech
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...
by ocrtech
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...
by ocrtech
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...
by ocrtech
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.
by ocrtech
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...
by ocrtech
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...
by ocrtech
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...
by ocrtech
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...
by ocrtech
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...
by ocrtech
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%.

Image
by ocrtech
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...
by ocrtech
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...