Search found 589 matches

by privatefarmer
Sat Nov 09, 2019 12:37 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 1487
Views: 106034

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

Anyone have good data on how a 60/40 unleveraged portfolio of international LTTs/international equities would’ve performed historically? Thanks
by privatefarmer
Fri Oct 25, 2019 10:35 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 1487
Views: 106034

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

but my one criticism of the whole thing is I don’t believe enough serious thought has been given to a rising rate environment and what works and what does not work in one. I think people in this strategy should be hoping for rising rates. This would let them re-invest at higher yields. Yes, the acc...
by privatefarmer
Fri Oct 25, 2019 5:42 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 1487
Views: 106034

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

Might be crazy. I also incorporate gold using UGLD. I’m doing the 20-day risk parity look back with UGLD/TMF/UPRO, rebalanced monthly. I then use my margin account at IB to increase the leverage appropriately when the portfolio drops (as it has since early September), so that I’m not “selling off” ...
by privatefarmer
Fri Oct 25, 2019 4:21 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 1487
Views: 106034

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

Might be crazy. I also incorporate gold using UGLD. I’m doing the 20-day risk parity look back with UGLD/TMF/UPRO, rebalanced monthly. I then use my margin account at IB to increase the leverage appropriately when the portfolio drops (as it has since early September), so that I’m not “selling off” d...
by privatefarmer
Fri Oct 25, 2019 10:48 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 1487
Views: 106034

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

I still have money invested in my less aggressive variant though, but have more modest goal of 1-3% outperformance over the next 20 years. I will not be disappointed if I am wrong. You won't be disappointed? I will be disappointed. However, I won't be financially ruined even if it vastly under perf...
by privatefarmer
Wed Oct 02, 2019 3:03 pm
Forum: Personal Investments
Topic: Tax loss harvesting
Replies: 12
Views: 793

Re: Tax loss harvesting

Thanks! In my case: Sept 30 bought VOO Oct 2nd sell all VOO at $30,000 loss and buy VBR with proceeds November 3rd sell VBR and buy VOO I have over $50k in realized gains so I’m just trying to offset those by $30k. Since I only held VOO for 2 days before initial sale will this trigger a wash sale? ...
by privatefarmer
Wed Oct 02, 2019 2:38 pm
Forum: Personal Investments
Topic: Tax loss harvesting
Replies: 12
Views: 793

Re: Tax loss harvesting

Thanks! In my case: Sept 30 bought VOO Oct 2nd sell all VOO at $30,000 loss and buy VBR with proceeds November 3rd sell VBR and buy VOO I have over $50k in realized gains so I’m just trying to offset those by $30k. Since I only held VOO for 2 days before initial sale will this trigger a wash sale? T...
by privatefarmer
Wed Oct 02, 2019 2:25 pm
Forum: Personal Investments
Topic: Tax loss harvesting
Replies: 12
Views: 793

Re: Tax loss harvesting

Is there a tax loss harvesting partner ETF or fund that you have found? Such as: VOO and VV, almost identical but not quite; VXUS and IXUS, etc. Sell both your purchase lots that you said have losses, buy the tax loss harvest partner, and bingo: no wash sales. You can use the losses to offset gains...
by privatefarmer
Wed Oct 02, 2019 1:53 pm
Forum: Personal Investments
Topic: Tax loss harvesting
Replies: 12
Views: 793

Tax loss harvesting

I have ~30k in losses in an ETF I hold within taxable account. I unfortunately just purchased some of it two days ago... I’ve read that you have to wait both 30 days after selling to rebuy but that you also cannot sell it if you bought it within 30 days in order to harvest the losses, is that correc...
by privatefarmer
Thu Sep 26, 2019 4:07 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 1487
Views: 106034

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

I do know the correlation with the other 2 is near zero and has done well when the other two have not. Personally I’ve been surprised at the total write off of about half the history of your backtests. I agree with this. Gold makes sense in a strategy which leans on LT bonds, with real interest rat...
by privatefarmer
Thu Sep 19, 2019 10:33 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 1487
Views: 106034

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

Long UGLD since 2014. 5 years straight in the red, overall UGLD position now up 35%. The undeniable fact is it’s a good diversifier. My version of this has slightly outperformed SPY total return by 6% points over 5yrs, lags by 12 over 3yrs and is +22% points over 1 year. I believe this is called tr...
by privatefarmer
Wed Sep 18, 2019 1:07 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 1487
Views: 106034

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

Bingo (regarding permanent portfolio). Someone mentioned above that it depends on the start date you use. But again, going back to 1978 (the earliest I can using gold with PV), a constant 40/50/10 stock/LTT/gold portfolio did really well. That’s a long period. And the more “expert” opinions I read o...
by privatefarmer
Tue Sep 17, 2019 10:24 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 1487
Views: 106034

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

Has there been much research on adding gold to this experiment? I understand it may be considered too volatile for LETFs but I’ve found some interesting backtests - using PV, I found that a 40/50/10 stock/LTT/gold unlevered portfolio since 1978 had a 10.3% CAGR with a max DD of about 14.5%, which is...
by privatefarmer
Sat Sep 14, 2019 7:37 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 1487
Views: 106034

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

So for those who say allocate 10% of their portfolio to this strategy, you could simply allocate a slightly higher amount during market dips. Thoughts? Where would these "extra" funds come from? Well, in my case, I’m using margin at IB. So I start with 3.5x leverage and then increase the leverage a...
by privatefarmer
Sat Sep 14, 2019 11:56 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 1487
Views: 106034

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

So for those who say allocate 10% of their portfolio to this strategy, you could simply allocate a slightly higher amount during market dips. Thoughts? Where would these "extra" funds come from? Well, in my case, I’m using margin at IB. So I start with 3.5x leverage and then increase the leverage a...
by privatefarmer
Sat Sep 14, 2019 12:08 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 1487
Views: 106034

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

I’ve been thinking about the problem of daily rebalancing with LETFs a lot. The major downside is that they essentially sell off shares when the market takes a dip thus locking in losses. One thought I’ve had is that you could fix this by simply buying more LETFs as the market dips to off set the da...
by privatefarmer
Mon Sep 09, 2019 8:28 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 1487
Views: 106034

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 y...
by privatefarmer
Mon Sep 09, 2019 4:41 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 1487
Views: 106034

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

picking the gfc when people even feared government backed bonds for a while is a perhaps weakness, collapse of bond market and financial system....to this portfolio as discussed in the miles long thread. it is not the only time the market went down in history. biggest annual stock drops since 1978 ...
by privatefarmer
Sun Sep 08, 2019 1:36 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 1487
Views: 106034

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

Would you implement this strategy with 100% of the capital? Would you trust your retirement savings using this strategy? Thanks Privatefarmer took it a step further and is holding it with additional leverage (1.5x I believe). I personally find it insane, but impressive grit. im using a combo of LET...
by privatefarmer
Sun Aug 25, 2019 12:31 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 1487
Views: 106034

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

^-- this post is very informative thank you for reposting it. I keep thinking that maybe we should be comparing the concept of essentially 0% LTT yields with the falling yields in the equity market? Ie growth stocks. Investors buy growth stocks because they expect price appreciation. If investors ex...
by privatefarmer
Sat Aug 24, 2019 10:44 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 1487
Views: 106034

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

No matter what fed policy is, equities have infinite upside and long bonds can only go so far without going deeply into negative yields. Policy may be 1982-esque today but yields are not. If yields went negative, the value of a LTT fund would increase. Why would the negative yield matter if the tot...
by privatefarmer
Fri Aug 23, 2019 10:23 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 1487
Views: 106034

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

That's what I suggested and that's what will occur. UPRO will sell some of its positions (I believe credit swaps contracts?) and TMF will buy more exposure to treasuries I don't even care is the answer to your question. It's happened five or six times in the last month. One goes up the other goes d...
by privatefarmer
Tue Aug 20, 2019 2:50 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 1487
Views: 106034

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

madavidccl wrote:
Tue Aug 20, 2019 4:18 am
May i ask a question ,what is your "other investment" beside this strategy? is it has high correlation to this strategy?( because this strategy include stock and bond)
What “other investment”?? :D :D im all In baby.
by privatefarmer
Sat Aug 17, 2019 7:27 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 1487
Views: 106034

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

I’m a little slow on the uptake here. Is EDV essentially a better option than using a levered ETF? It seems it’s about 1.7x as volatile as VGLT but has less volatility drag than TMF?
by privatefarmer
Thu Aug 15, 2019 12:54 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 1487
Views: 106034

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

when someone else teased out the impact of the Treasuries bull market, it turned out that much of the pop came from that. With rates now below 2%, that doesn't seem likely to be reproduced. I wonder if Hedgefundie would have started this excellent adventure to begin with if this was more apparent u...
by privatefarmer
Thu Aug 15, 2019 7:19 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 1487
Views: 106034

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

First journey was supposed to last somewhere between 20 and 30 years. It lasted approximately 6 months. Let's see how long this next journey lasts (I'm in for 50% 40/60, 25% 16-vol, 25% Adaptive Allocation). Thats a naive way to look at it. He hasn’t defaulted from the overall strategy (using LETFs...
by privatefarmer
Wed Aug 14, 2019 5:20 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 1487
Views: 106034

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

Looking at my account value before the market is open on IB... looks like today is going to be another big day for LTTs... :moneybag :moneybag :moneybag
by privatefarmer
Tue Aug 13, 2019 11:31 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 1487
Views: 106034

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

https://www.multpl.com/s-p-500-dividend-yield the yield on the stock market has closely resembled the declining yield of treasuries... if bond yields were to go "significantly" negative, perhaps stocks would follow suit (have no yield, only capital appreciation). in other words, maybe all those hig...
by privatefarmer
Tue Aug 13, 2019 11:27 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 1487
Views: 106034

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

I am far from an expert on the bond market. FAR from it. However, why should we assume that bond funds would have a negative return if rates go negative? One thing I full heartedly believe is that the market is highly efficient. Why would there be a market for negative yielding bonds if they were n...
by privatefarmer
Tue Aug 13, 2019 11:11 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 1487
Views: 106034

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

https://www.multpl.com/s-p-500-dividend-yield the yield on the stock market has closely resembled the declining yield of treasuries... if bond yields were to go "significantly" negative, perhaps stocks would follow suit (have no yield, only capital appreciation). in other words, maybe all those high...
by privatefarmer
Tue Aug 13, 2019 10:56 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 1487
Views: 106034

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

Wild idea I just thought of and I am certainly no economist but hear me out: What if we are entering a world where NOTHING pays a yield or dividend? What if yields do go negative, you have to PAY to own an investment, but the same becomes true for stocks? What if dividend paying stocks become a “thi...
by privatefarmer
Tue Aug 13, 2019 10:49 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 1487
Views: 106034

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

I am far from an expert on the bond market. FAR from it. However, why should we assume that bond funds would have a negative return if rates go negative? One thing I full heartedly believe is that the market is highly efficient. Why would there be a market for negative yielding bonds if they were no...
by privatefarmer
Tue Aug 13, 2019 1:27 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 1487
Views: 106034

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

Yes, a ~20% 1-day drop would basically kill my portfolio. However, as of today I am 40/60 equities/LTTs. This strategy made it through even black Monday with only a minor drawdown. The worst DD over the last 33yrs was during the GFC and it was 12% over the course of 2 months.
by privatefarmer
Tue Aug 13, 2019 1:22 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 1487
Views: 106034

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

I’ve chamged my allocation several times since the beginning of this thread and, news flash, I’m doing this with 100% of my portfolio. I believe in buy and hold but I also believe that as more evidence comes in you’d be foolish not to adjust. Thanks to HEDGEFUNDIE, I’ve discovered risk parity, read...
by privatefarmer
Tue Aug 13, 2019 1:03 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 1487
Views: 106034

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

So I’m fine with a targeted max DD of 60-70%. I was 100% global SCV before this thread. Since 1987, the 20day risk parity strategy using s/p500/LTTs would've had a max DD of 12%, thus a 4.5x leveraged strategy would’ve fallen 54%. I’m in IBs “portfolio margin” setup where they allow me to borrow up...
by privatefarmer
Tue Aug 13, 2019 12:48 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 1487
Views: 106034

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

At least rising yields are a bit easier to spot and predict than equities. IDK. Any given inflation scare or run-up in yields could turn out to be short-lived. It's one thing to predict, another to be right. Which increment in yields is the one that signals long term rising yields? 3% to 4%? 4% to ...
by privatefarmer
Tue Aug 13, 2019 12:46 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 1487
Views: 106034

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

So I’m fine with a targeted max DD of 60-70%. I was 100% global SCV before this thread. Since 1987, the 20day risk parity strategy using s/p500/LTTs would've had a max DD of 12%, thus a 4.5x leveraged strategy would’ve fallen 54%. I’m in IBs “portfolio margin” setup where they allow me to borrow up...
by privatefarmer
Mon Aug 12, 2019 11:39 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 1487
Views: 106034

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

4.5x total leverage using a combo of LETFs and margin loan from IB Might be time to take some winnings off the table (i.e., cut down on margin)? If this says what it looks like it says, your ETFs are at IB and they can start selling your assets at any time if your equity in the account (the part yo...
by privatefarmer
Mon Aug 12, 2019 11:31 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 1487
Views: 106034

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

4.5x total leverage using a combo of LETFs and margin loan from IB Might be time to take some winnings off the table (i.e., cut down on margin)? If this says what it looks like it says, your ETFs are at IB and they can start selling your assets at any time if your equity in the account (the part yo...
by privatefarmer
Mon Aug 12, 2019 11:07 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 1487
Views: 106034

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

Holy cow. HEDGEFUNDIE started this thread which has probably been the busiest, most popular thread of all time on bogleheads, has spread to other sites (reddit) and even now been mentioned on podcasts like Animal Spirits which is ran by the CIO of a major wealth management firm (Ritholtz wealth mgm...
by privatefarmer
Mon Aug 12, 2019 10:54 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 1487
Views: 106034

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

Holy cow. HEDGEFUNDIE started this thread which has probably been the busiest, most popular thread of all time on bogleheads, has spread to other sites (reddit) and even now been mentioned on podcasts like Animal Spirits which is ran by the CIO of a major wealth management firm (Ritholtz wealth mgmt...
by privatefarmer
Sun Aug 11, 2019 10:54 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 1487
Views: 106034

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

I do find it comical how your three backtest periods are during a bull market. How did 55/45 do overall...? Over the time period 1955-2018, anyway, the returns were higher all the way up to 55% UPRO / 45% TMF. It's pretty bold, though. Little OGs might want to spring for the milder version at 50% U...
by privatefarmer
Sun Aug 11, 2019 9:15 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 298553

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

Denmark is now issuing mortgages with NEGATIVE interest rates. The bank will PAY you to borrow money from them and buy a house. Germany and Japan issue govt bonds that pay negative yields. Britain pays 0.5% for their 10yr bond (far less than United States). All these countries have far smaller econo...
by privatefarmer
Sun Aug 11, 2019 8:10 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 298553

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

Since OP has disputed my bond math, but has not provided any alternate calculations, I thought it would be useful to walk through my bond return calculations. Then perhaps OP can point out which of the calculations is the problem. As mentioned earlier, anyone can do these calculations easily with a...
by privatefarmer
Wed Aug 07, 2019 10:02 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 298553

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

Could a US 10yr 3x treasury ETF be used for this? Products are more limited in Europe. Edit: maybe pair it with a leveraged Nasdaq ETF to juice returns on that side, to make up for no access to leveraged 20yr? You’ll get varying answers on this. Depends on the back test. Intermediate term treasurie...
by privatefarmer
Mon Aug 05, 2019 5:43 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 298553

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

305pelusa wrote:
Mon Aug 05, 2019 5:33 pm
How much UPRO does the vol-lookback strategy dictate right now? Is it actually 80%?
I’m getting 55% UPRO, 45% TMF using the inverse vol 20day look back. Not sure if that’s correct though.
by privatefarmer
Sun Aug 04, 2019 9:18 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 298553

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

Sorry for the novice question, but let’s say someday PV is down or no longer available. If we wanted to calculate the 20day look back risk parity ourselves, using just two assets, we would simply calculate the daily std dev over the last 20 trading days for each asset and then adjust the weights of ...
by privatefarmer
Sun Aug 04, 2019 6:22 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 298553

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

And what does “timing period” on that PV test mean? It defaults to 3 months
by privatefarmer
Sun Aug 04, 2019 6:16 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 298553

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

PV will do this for you with one bond fund but it’s simple math. Allocation of UPRO = (1/upro_vol)/((1/upro_vol)+(1/bond_vol)). For me the bond vol is simply the average of both funds since their correlation is essentially 1. I trade last day of month but that’s arbitrary. Vol comes from past 20 tr...