Search found 1838 matches

by caklim00
Tue Sep 17, 2019 11:05 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 918
Views: 52496

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

Off topic question, what did everyone do with their whopping $10 M1 contribution in their taxable account (which was required to open an IRA). I don't plan on putting any money in the taxable account so it just sits there. I tried to buy VFMF but apparently you have to have 1 share before M1 can do...
by caklim00
Tue Sep 17, 2019 8:23 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 918
Views: 52496

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

Off topic question, what did everyone do with their whopping $10 M1 contribution in their taxable account (which was required to open an IRA). I don't plan on putting any money in the taxable account so it just sits there. I tried to buy VFMF but apparently you have to have 1 share before M1 can do ...
by caklim00
Sun Sep 15, 2019 9:08 am
Forum: Personal Investments
Topic: Best International Small Cap Option
Replies: 56
Views: 8604

Re: Best International Small Cap Option

Nice 1+ year old bump. I actually finally made the move from FNDC to ISCF in the time between the last post in 2018 and the thread bump. These new ISCV ETFs should be interesting and will keep an eye on them.
by caklim00
Sat Sep 14, 2019 5:49 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 253
Views: 26253

Re: Small Cap Value heads Rejoice !!!

My IRAs are just SLYV and ISCF besides my small stake in the hedgefundie excellent adventure. I hold some VIOV (and previously IJS) in taxable but now I put most taxable contributions to VFMF instead since it appears to be more tax efficient. I arrived at a similar strategy, FWIW. A few months ago ...
by caklim00
Fri Sep 13, 2019 3:55 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 918
Views: 52496

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

Almost back to no gain after the beatdown that TMF has taken recently.

My current rankings:
1) EDV/UPRO: 57/43
2) TMF/UPRO: 45/55
3) 20 day lookback for risk parity
4) 20% Volatility 20 day lookback

But, SLYV and ISCF which I own a ton of are finally doing well :)
by caklim00
Wed Sep 11, 2019 8:32 am
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 253
Views: 26253

Re: Small Cap Value heads Rejoice !!!

Glad I hold IJS/VIOV instead of VBR. I'm up 1.73%. Now if you'll excuse me, I'm going to go research which Maserati I want to buy. With the corresponding ER's of 15/20/25 bps on SLYV/VIOV/IJS, I'm curious if more tilters don't choose SLYV at least in a non taxable event? VIOV has wider spreads in m...
by caklim00
Thu Sep 05, 2019 10:40 am
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 253
Views: 26253

Re: Small Cap Value heads Rejoice !!!

I definitely don't monitor the movements but I'm still waiting on my SLYV, ISCF and DFEVX heavy portfolio to bounce back. my small hedgefundie portion has been killing it though lol.
by caklim00
Wed Sep 04, 2019 3:21 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 918
Views: 52496

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

MotoTrojan wrote:
Tue Sep 03, 2019 12:26 pm
Tomorrow my M1 account will say goodbye to TMF forever as I go all-in on 43/57 UPRO/EDV. Good luck to you all!
I'm have 25% of mine in that as well. Will be very interesting to see which one of my quarters wins or whether they all lose lol.
by caklim00
Sun Sep 01, 2019 2:05 pm
Forum: Investing - Theory, News & General
Topic: How to Add Momentum Factor
Replies: 36
Views: 2217

Re: How to Add Momentum Factor

I'm in a similar scenario as described by the OP. I have a stronger SCV tilt than him though. I was looking into my options to make the tilt a bit milder and/or maybe get some other factor exposure too. What you're saying makes sense. And yes I read several of Robert T's posts. Iirc he seems to fav...
by caklim00
Sun Sep 01, 2019 1:30 pm
Forum: Investing - Theory, News & General
Topic: How to Add Momentum Factor
Replies: 36
Views: 2217

Re: How to Add Momentum Factor

I'm in a similar scenario as described by the OP. I have a stronger SCV tilt than him though. I was looking into my options to make the tilt a bit milder and/or maybe get some other factor exposure too. What you're saying makes sense. And yes I read several of Robert T's posts. Iirc he seems to fav...
by caklim00
Fri Aug 30, 2019 3:48 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 918
Views: 52496

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

Can someone outline the mechanics of these two allocations? 3) 20 day lookback for risk parity 41/59 UPRO/TMF Monthly 4) 20 volatility 30/70 UPRO/TMF Monthly I would like to know how the two allocations were made? Read the posts near the end of the Part I thread, this has been discussed significant...
by caklim00
Fri Aug 30, 2019 3:41 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 918
Views: 52496

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

Can someone outline the mechanics of these two allocations? 3) 20 day lookback for risk parity 41/59 UPRO/TMF Monthly 4) 20 volatility 30/70 UPRO/TMF Monthly I would like to know how the two allocations were made? Here are PV links for both 3) 20 day lookback for risk parity 41/59 UPRO/TMF Monthly ...
by caklim00
Fri Aug 30, 2019 3:31 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 918
Views: 52496

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

I just joined MotoTrojan on the EDV train. I was swayed by the lower total ER and path-dependency risks of TMF. Me too. Four 25% Pieces of Pie, just submitted on M1 the changes, went ahead with the Quartely change submissions today to get everything inline 1) 43/57 UPRO/EDV Quarterly 2) 55/45 UPRO/...
by caklim00
Fri Aug 30, 2019 11:02 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 918
Views: 52496

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

I just joined MotoTrojan on the EDV train. I was swayed by the lower total ER and path-dependency risks of TMF. Me too. Four 25% Pieces of Pie, just submitted on M1 the changes, went ahead with the Quartely change submissions today to get everything inline 1) 43/57 UPRO/EDV Quarterly 2) 55/45 UPRO/...
by caklim00
Tue Aug 27, 2019 10:02 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 918
Views: 52496

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

Interesting choice. I haven't played in Simba but this did pretty poorly from 1997-present on a quick PV spot-check. I also would ditch the TLT and just hold EDV, perhaps with more unleveraged equities and less UPRO to maintain the same overall exposure. This would reduce volatility drag and expens...
by caklim00
Tue Aug 27, 2019 3:03 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 918
Views: 52496

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

I'm still unclear on how EDV has similar returns to TMF. When I compare the two on different historical charts, I still substantial outperformance of the latter. I don't fully grasp how the 3-month LIBOR and other factors come into play (plus ~1% expense ratio) but at the end of the day, the ticker...
by caklim00
Sat Aug 24, 2019 7:20 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 918
Views: 52496

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

Yes, there may be an artificial soft cap on bond returns due to a market desire to avoid deeply negative yields. Equities don’t have this cap. As to your mentions of dropdown greater than S&P500, my 43/57 UPRO/EDV variation is more on par. I think focusing on the interaction is important but not th...
by caklim00
Tue Aug 20, 2019 1:44 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 918
Views: 52496

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

I'm 85/15 (closer to 83/17 given how poorly my ETFs have performed) outside on my paltry amount invested in this this. No way will I ever include my M1 experiment in my overall allocation. I'm heavility tilted to Small and Value and about half Domestic and Intl. I just use 401k/403b for bonds so its...
by caklim00
Sat Aug 17, 2019 4:23 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 918
Views: 52496

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

I guess this might be a good approach if volatility is generally bad for TMF as well (similar to how you scale back on UPRO when volatility is high). Any thoughts? I'd have to dig around but there was a paper I found that showed treasuries performed best during periods of high volatility... Makes s...
by caklim00
Sat Aug 17, 2019 2:29 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 918
Views: 52496

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

I wonder if this would be a good strategy for target volatility. Right now I'm currently doing 20% volatility using UPRO and TMF as out of market asset. Perhaps could do this as one portfolio 1) 20% volatility using UPRO. 2) 15% volatility using TMF. Set UPRO using 20% volatility allocation. Set TMF...
by caklim00
Fri Aug 16, 2019 10:55 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 918
Views: 52496

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

For those of you doing the upro target volatility, are you using TMF as the out of market asset? Since TMF has no influence over the UPRO allocation, I'm just wondering if it really makes the most sense. I’m not but I do think it makes sense. I could see an argument for placing an upper bound on du...
by caklim00
Fri Aug 16, 2019 7:28 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 918
Views: 52496

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

For those of you doing the upro target volatility, are you using TMF as the out of market asset? Since TMF has no influence over the UPRO allocation, I'm just wondering if it really makes the most sense.
by caklim00
Thu Aug 15, 2019 11:10 am
Forum: Personal Investments
Topic: DFA, iShares edge Factor, Vanguard decisions
Replies: 12
Views: 1864

Re: DFA, iShares edge Factor, Vanguard decisions

5) Start using VFMF/VFVA in taxable since it appears to be more tax efficient than S&P600V. VFMF would be target and VFVA would be tax loss harvest partner since VFMF has lower dividend yield which might make it slightly more tax efficient. Bought a decent position in VFMF in taxable, gain so no ta...
by caklim00
Wed Aug 14, 2019 7:55 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 918
Views: 52496

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

I've been in this for about a week or so now. 30K total split 3 ways between 1 - OP Strategy - changing it to 55/45 UPRO/TMF so I can stay with the base strategy; Quarterly rebalance 2 - 20 Day Risk Parity lookback; Monthly rebalance 3 - 20% Volatility lookback over 20 days (weighting recent days h...
by caklim00
Tue Aug 13, 2019 10:02 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 918
Views: 52496

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

I've been in this for about a week or so now. 30K total split 3 ways between 1 - OP Strategy - changing it to 55/45 UPRO/TMF so I can stay with the base strategy; Quarterly rebalance 2 - 20 Day Risk Parity lookback; Monthly rebalance 3 - 20% Volatility lookback over 20 days (weighting recent days hi...
by caklim00
Tue Aug 13, 2019 9:07 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 918
Views: 52496

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

Ok, changing my 40/60 to 50/50 quarterly. I get the idea of 55/45 given the current low rates, but I like the simplicity of equal chunks. It was my original proposed allocation anyway. Keeping the other 1/3 20 day risk parity and 1/3 20% volatility monthly. Its crazy how much more I'm in tune with t...
by caklim00
Mon Aug 12, 2019 10:01 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 918
Views: 52496

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

Oh my... I go on vacation, miss half a week and I see this thread has gone nuts. Going to stick with the 1/3 40/60, 1/3 20 day look back for risk parity, and 1/3 20% target volatility for UPRO. Too much thinking going on here.
by caklim00
Thu Aug 08, 2019 6:53 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 275178

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

Anyone else notice the biggest leveraged bond ETFs TBT UltraShort Barclays 20+ Year Treasury $760,553.48 -25.84% 2,722,095.0 $25.84 -0.12% TMF Direxion Daily 20-Year Treasury Bull 3X $191,743.21 52.03% 627,069.0 $29.27 0.27% TMV Direxion Daily 20-Year Treasury Bear 3X $135,095.61 -37.06% 658,595.0 $...
by caklim00
Thu Aug 08, 2019 6:48 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 275178

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

MotoTrojan wrote:
Thu Aug 08, 2019 4:54 pm
NMBob wrote:
Thu Aug 08, 2019 4:53 pm
also, morningstar 3 year tax cost ratio

tmf is .32
vusux - vgd long treasury is 1.37
The new 3-fund portfolio; Total US, Total International, TMF.
Ha!

I'm betting the following 3 fund would be super tax efficient assuming not selling:
UPRO, DZK, TMF

Might give Taylor a heart attack.
by caklim00
Thu Aug 08, 2019 4:02 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 275178

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

If you are just using UPRO and TMF then I wouldn't worry about bid/ask spread. Maybe if you wwre trading every single day the .01 spread on both ETFs would add up but I doubt anyone here is doing that. When I sold ISCF in my Roth IRA to free up space for this I wanted to buy a corresponding amount o...
by caklim00
Wed Aug 07, 2019 1:18 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 275178

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 caklim00
Wed Aug 07, 2019 8:06 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 275178

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

You might want to check with M1 to make sure everything is going well. I tried transferring an entire fund, part went through but not the rest. I got a notification that the transfer was made, but not that only part of the request transferred. I finally got an explanation when I followed up a coupl...
by caklim00
Tue Aug 06, 2019 7:07 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 275178

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

Wow, my 20 day volatility went to 45% UPRO, 55% TMF after yesterday. I'm weighting day 1-10 70% total (so 1-5 35% and 6-10 35%, 11-15 20% total, 16-20 10% total). Looks like a standard non-weighted one month 20% is now at UPRO 51%, TMF 49%. 20 day lookback for risk parity is 48% UPRO, 52% TMF. If i...
by caklim00
Tue Aug 06, 2019 1:03 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 275178

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

Wow, my 20 day volatility went to 45% UPRO, 55% TMF after yesterday. I'm weighting day 1-10 70% total (so 1-5 35% and 6-10 35%, 11-15 20% total, 16-20 10% total). Looks like a standard non-weighted one month 20% is now at UPRO 51%, TMF 49%. 20 day lookback for risk parity is 48% UPRO, 52% TMF. If i...
by caklim00
Tue Aug 06, 2019 11:13 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 275178

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

Wow, my 20 day volatility went to 45% UPRO, 55% TMF after yesterday. I'm weighting day 1-10 70% total (so 1-5 35% and 6-10 35%, 11-15 20% total, 16-20 10% total). Looks like a standard non-weighted one month 20% is now at UPRO 51%, TMF 49%.

20 day lookback for risk parity is 48% UPRO, 52% TMF.
by caklim00
Tue Aug 06, 2019 9:04 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 275178

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

Timestamp 38:10 https://bogleheads.podbean.com/ I listeded to the bit on multifactor and risk parity. For multifactor, nothing new, didn't really answer the question as to whether Vanguard Multifactor was good approach, just was really vague saying Vanguard is light on factors. Was more of a blanke...
by caklim00
Mon Aug 05, 2019 10:06 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 275178

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

The other twist is to use variance instead of standard deviation/volatility in the parity calculations. In the 1987 to 2019 back test I mentioned the other day, this did a bit better. Overall the upro weights averaged 33 % in this strategy, so overall volatility and drawdown behavior was milder. It...
by caklim00
Mon Aug 05, 2019 6:12 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 275178

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%? I’m getting 55% UPRO, 45% TMF using the inverse vol 20day look back. Not sure if that’s correct though. 08/02/2019 43.75% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 56.25% ProShares UltraPro S&P500 (UPRO) I'm stil...
by caklim00
Sun Aug 04, 2019 8:52 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 275178

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

rascott wrote:
Sun Aug 04, 2019 8:28 pm
55% UPRO (risk parity)
80% UPRO (target 20% vol)


This sound correct?
56% right now for risk parity. 80% sounds about right for 20% volatility. Mine shows as 74% but it's due to weighting most recent days more than days > 10
by caklim00
Sun Aug 04, 2019 4:12 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 275178

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

Setup everything in M1, just waiting on the money to trandsfer over. Doing 34% in 20% volatility, 33% in 20 day lookback for risk parity, and 33% in OP original strategy. I slightly tweeked the 20% volatity putting a little more focus on Days 1-10, less on 11-15, and even less on days 16-20. I could...
by caklim00
Fri Aug 02, 2019 4:40 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 275178

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

Anyone else notice that in PV voltatility gives best returns when using 10 days (the minimum in the tool). Its almost as if volatility is more useful for the most recent days. Is there really any value at looking at volatility from a month ago? EDIT: And, I see Hydromod suggests something completely...
by caklim00
Fri Aug 02, 2019 8:46 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 275178

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

For some reason PV won’t allow me to specify at 15-day look-back period. The shortest I can do is a month. Can you tell me your settings? Switch "volatility timing periods" to "multiple periods." Then you can specify days (min. 10 days, IIRC) and also assign weights to certain periods. i.e. 50% wei...
by caklim00
Thu Aug 01, 2019 11:06 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 275178

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

For some reason PV won’t allow me to specify at 15-day look-back period. The shortest I can do is a month. Can you tell me your settings? Switch "volatility timing periods" to "multiple periods." Then you can specify days (min. 10 days, IIRC) and also assign weights to certain periods. i.e. 50% wei...
by caklim00
Thu Aug 01, 2019 10:42 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 275178

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

Well for starters I would use the 1987+ data (where we have available daily data). At least with bidirectional volatility sharpe and Sortino look to top at closer to 20% target. Same applies using absolute vol during the years the funds were around. Looking at 1987-2018 a 16% downside vol returned ...
by caklim00
Thu Aug 01, 2019 8:52 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 275178

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

I don't really have time to do a deep dive into this right now, but I compiled the monthly returns for UPRO/TMF targeted volatility (15% using downside volatility, with monthly adjustment), and compared it to the monthly returns for a static 80/20 allocation (monthly rebalancing). I was primarily c...
by caklim00
Wed Jul 31, 2019 4:36 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 275178

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

Can somebody please point me to the post that talks about the 20-day lookback? (Or explain it succinctly.) I have no idea what that means and am curious. Tried to find it and see references to the "lookback" but no idea what the actual process is. Thanks! Moto can probably explain it better then me...
by caklim00
Wed Jul 31, 2019 3:15 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 275178

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

Can someone explain how to create a slice using TMF/UPRO and change the allocation within the slice. M1 is so confusing. Go to review, my pies, and make as many as you want. Then you can add those to your portfolio just like a fund, and pick the allocation to each pie. Once that is all settled you ...
by caklim00
Wed Jul 31, 2019 1:35 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 275178

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

Can someone explain how to create a slice using TMF/UPRO and change the allocation within the slice. M1 is so confusing.
by caklim00
Wed Jul 31, 2019 12:40 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 275178

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

How do you create new pies? This is really odd, I went to change call my Pie for my Roth IRA 'Adaptive 20 Day Lookback' and after saving it renamed my IRA to 'Adaptive 20 Day Lookback'. Really odd. I downloaded the app with the hope that there would be some additional functionality in there, but sti...
by caklim00
Wed Jul 31, 2019 8:52 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 275178

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

After reviewing some posts by willthrill81 and vineviz, I'm thinking of modifying my strategy a little using the target volatility function in portfoliovisualizer using 80/20 equities/LTT as an upper limit. Doing some backtesting, it seems to have ameliorated the drops since 87. Does anyone have an...