Search found 1392 matches
- Wed Nov 24, 2021 1:51 pm
- Forum: Investing - Theory, News & General
- Topic: Modified versions of HFEA with ITT and Futures / Lifecycle Investing with Modern Portfolio Theory
- Replies: 2993
- Views: 498720
- Wed Nov 24, 2021 11:55 am
- Forum: Investing - Theory, News & General
- Topic: Modified versions of HFEA with ITT and Futures / Lifecycle Investing with Modern Portfolio Theory
- Replies: 2993
- Views: 498720
- Sat Nov 20, 2021 12:34 pm
- Forum: Investing - Theory, News & General
- Topic: Modified versions of HFEA with ITT and Futures / Lifecycle Investing with Modern Portfolio Theory
- Replies: 2993
- Views: 498720
- Sat Nov 20, 2021 11:45 am
- Forum: Investing - Theory, News & General
- Topic: Modified versions of HFEA with ITT and Futures / Lifecycle Investing with Modern Portfolio Theory
- Replies: 2993
- Views: 498720
- Fri Nov 19, 2021 11:33 am
- Forum: Investing - Theory, News & General
- Topic: Modified versions of HFEA with ITT and Futures / Lifecycle Investing with Modern Portfolio Theory
- Replies: 2993
- Views: 498720
- Tue Nov 16, 2021 7:30 pm
- Forum: Investing - Theory, News & General
- Topic: Modified versions of HFEA with ITT and Futures / Lifecycle Investing with Modern Portfolio Theory
- Replies: 2993
- Views: 498720
- Tue Nov 16, 2021 11:55 am
- Forum: Investing - Theory, News & General
- Topic: "The Risk-Return Trade-Off Is Phony"
- Replies: 50
- Views: 6507
- Tue Nov 16, 2021 9:41 am
- Forum: Investing - Theory, News & General
- Topic: Modified versions of HFEA with ITT and Futures / Lifecycle Investing with Modern Portfolio Theory
- Replies: 2993
- Views: 498720
- Tue Nov 16, 2021 9:12 am
- Forum: Investing - Theory, News & General
- Topic: Modified versions of HFEA with ITT and Futures / Lifecycle Investing with Modern Portfolio Theory
- Replies: 2993
- Views: 498720
- Wed Nov 10, 2021 8:31 pm
- Forum: Investing - Theory, News & General
- Topic: Modified versions of HFEA with ITT and Futures / Lifecycle Investing with Modern Portfolio Theory
- Replies: 2993
- Views: 498720
- Wed Nov 10, 2021 4:08 pm
- Forum: Investing - Theory, News & General
- Topic: Modified versions of HFEA with ITT and Futures / Lifecycle Investing with Modern Portfolio Theory
- Replies: 2993
- Views: 498720
- Thu Oct 21, 2021 9:52 pm
- Forum: Investing - Theory, News & General
- Topic: Modified versions of HFEA with ITT and Futures / Lifecycle Investing with Modern Portfolio Theory
- Replies: 2993
- Views: 498720
- Thu Oct 21, 2021 9:26 pm
- Forum: Investing - Theory, News & General
- Topic: Modified versions of HFEA with ITT and Futures / Lifecycle Investing with Modern Portfolio Theory
- Replies: 2993
- Views: 498720
- Thu Oct 21, 2021 8:41 pm
- Forum: Investing - Theory, News & General
- Topic: Modified versions of HFEA with ITT and Futures / Lifecycle Investing with Modern Portfolio Theory
- Replies: 2993
- Views: 498720
- Thu Oct 21, 2021 8:09 pm
- Forum: Investing - Theory, News & General
- Topic: Modified versions of HFEA with ITT and Futures / Lifecycle Investing with Modern Portfolio Theory
- Replies: 2993
- Views: 498720
- Thu Oct 21, 2021 8:08 pm
- Forum: Investing - Theory, News & General
- Topic: Modified versions of HFEA with ITT and Futures / Lifecycle Investing with Modern Portfolio Theory
- Replies: 2993
- Views: 498720
Re: Modified versions of HFEA with ITT and Futures / Lifecycle Investing with Modern Portfolio Theory
hcomeinvest wrote: ↑Thu Oct 21, 2021 8:02 pm Where did you get those numbers from? I think hedge ratio between 1 ZF and 1 UF is currently almost exactly 1:7. But the contracts represent different spot treasury dollar values. The duration exposure ratio of equal dollar amounts is about 4.5:1 currently if I'm not mistaken.
- Thu Oct 21, 2021 7:46 pm
- Forum: Investing - Theory, News & General
- Topic: Modified versions of HFEA with ITT and Futures / Lifecycle Investing with Modern Portfolio Theory
- Replies: 2993
- Views: 498720
Re: Modified versions of HFEA with ITT and Futures / Lifecycle Investing with Modern Portfolio Theory
comeinvest wrote: ↑Thu Oct 21, 2021 7:10 pm why you do this instead of using money market rates as funding rate.
hskierincolorado wrote: ↑Thu Oct 21, 2021 11:45 am So leveraging 3.75x with leverage costs of T-Bill + .28%, I still find VFITX to perform better than VUSTX
- Thu Oct 21, 2021 7:26 pm
- Forum: Investing - Theory, News & General
- Topic: Modified versions of HFEA with ITT and Futures / Lifecycle Investing with Modern Portfolio Theory
- Replies: 2993
- Views: 498720
- Thu Oct 21, 2021 7:24 pm
- Forum: Investing - Theory, News & General
- Topic: Modified versions of HFEA with ITT and Futures / Lifecycle Investing with Modern Portfolio Theory
- Replies: 2993
- Views: 498720
Re: Modified versions of HFEA with ITT and Futures / Lifecycle Investing with Modern Portfolio Theory
hcomeinvest wrote: ↑Thu Oct 21, 2021 7:15 pm Is CASHX in PV always T-Bill + 0.25% by definition? I can't find the definition of CASHX.
- Thu Oct 21, 2021 7:19 pm
- Forum: Investing - Theory, News & General
- Topic: Modified versions of HFEA with ITT and Futures / Lifecycle Investing with Modern Portfolio Theory
- Replies: 2993
- Views: 498720
Re: Modified versions of HFEA with ITT and Futures / Lifecycle Investing with Modern Portfolio Theory
hcomeinvest wrote: ↑Thu Oct 21, 2021 7:10 pmUnless I'm missing something, 90% funded with VFISX is not necessarily generous to the futures positions, but overlays the negated return of 2-year futures. Also I'm not understanding why you do this instead of using money market rates as funding rate. Also, are your charts performance or price data?
- Thu Oct 21, 2021 2:07 pm
- Forum: Investing - Theory, News & General
- Topic: Modified versions of HFEA with ITT and Futures / Lifecycle Investing with Modern Portfolio Theory
- Replies: 2993
- Views: 498720
Re: Modified versions of HFEA with ITT and Futures / Lifecycle Investing with Modern Portfolio Theory
hskierincolorado wrote: ↑Thu Oct 21, 2021 1:49 pm Since I plan to do a fixed ratio going forward, that is what I should test historically as well. If a dynamic ratio was better historically, maybe I would consider a dynamic ratio going forward. The results are what they are - if fixed ratios worked better historically then I see no reason that would not continue. And vice versa.
- Thu Oct 21, 2021 1:39 pm
- Forum: Investing - Theory, News & General
- Topic: Modified versions of HFEA with ITT and Futures / Lifecycle Investing with Modern Portfolio Theory
- Replies: 2993
- Views: 498720
Re: Modified versions of HFEA with ITT and Futures / Lifecycle Investing with Modern Portfolio Theory
hskierincolorado wrote: ↑Thu Oct 21, 2021 12:06 pm I acknowledge 2011-2018 was one of the only (probably *the* only) period where VUSTX performed similarly to leveraged VFITX.
- Thu Oct 21, 2021 12:04 pm
- Forum: Investing - Theory, News & General
- Topic: Modified versions of HFEA with ITT and Futures / Lifecycle Investing with Modern Portfolio Theory
- Replies: 2993
- Views: 498720
Re: Modified versions of HFEA with ITT and Futures / Lifecycle Investing with Modern Portfolio Theory
OK looks like our start and end dates were just a couple months different. Thanks. Nevertheless, this is a period of extreme flattening and VUSTX and leveraged VFITX still tied (with financing cost of T-Bill + .28%). What if COVID had happened in 2017 and you missed all the sweet unflattening? If you think you can predict when the next COVID will happen, go for it! Just continuing your timeseries to present, we see leverage VFITX (financing cost T-Bill + .28%) up 51.4% and VUSTX up 26.9%. Ouch! https://www.portfoliovisualizer.com/backtest-portfolio?s=y&timePeriod=2&startYear=2018&firstMonth=7&endYear=2021&lastMonth=10&calendarAligned=true&includeYTD=false&initialAmount=10000&annualOperation=0&annualA...
- Thu Oct 21, 2021 11:59 am
- Forum: Investing - Theory, News & General
- Topic: Modified versions of HFEA with ITT and Futures / Lifecycle Investing with Modern Portfolio Theory
- Replies: 2993
- Views: 498720
- Thu Oct 21, 2021 11:53 am
- Forum: Investing - Theory, News & General
- Topic: Modified versions of HFEA with ITT and Futures / Lifecycle Investing with Modern Portfolio Theory
- Replies: 2993
- Views: 498720
- Thu Oct 21, 2021 11:43 am
- Forum: Investing - Theory, News & General
- Topic: Modified versions of HFEA with ITT and Futures / Lifecycle Investing with Modern Portfolio Theory
- Replies: 2993
- Views: 498720
- Thu Oct 21, 2021 11:35 am
- Forum: Investing - Theory, News & General
- Topic: Modified versions of HFEA with ITT and Futures / Lifecycle Investing with Modern Portfolio Theory
- Replies: 2993
- Views: 498720
Re: Modified versions of HFEA with ITT and Futures / Lifecycle Investing with Modern Portfolio Theory
November 30 2002 to October 31 2004: 5y rose from 3.28 to 3.30. 30y fell from 5.23 to 4.87. A tightening of .37% in 2 years. https://www.portfoliovisualizer.com/backtest-portfolio?s=y&timePeriod=2&startYear=2002&firstMonth=12&endYear=2004&lastMonth=10&calendarAligned=true&includeYTD=false&initialAmount=10000&annualOperation=0&annualAdjustment=0&inflationAdjusted=true&annualPercentage=0.0&frequency=4&rebalanceType=1&absoluteDeviation=5.0&relativeDeviation=25.0&leverageType=0&leverageRatio=0.0&debtAmount=0&debtInterest=0.0&maintenanceMargin=25.0&leveragedBenchmark=false&reinvestDividends=true&showYield=false&showFactors=false&factorModel=3...
- Thu Oct 21, 2021 11:32 am
- Forum: Investing - Theory, News & General
- Topic: Modified versions of HFEA with ITT and Futures / Lifecycle Investing with Modern Portfolio Theory
- Replies: 2993
- Views: 498720
- Thu Oct 21, 2021 10:37 am
- Forum: Investing - Theory, News & General
- Topic: Modified versions of HFEA with ITT and Futures / Lifecycle Investing with Modern Portfolio Theory
- Replies: 2993
- Views: 498720
Re: Modified versions of HFEA with ITT and Futures / Lifecycle Investing with Modern Portfolio Theory
Bentonkb wrote: ↑Thu Oct 21, 2021 8:02 am Unfortunately, it looks like this might be pretty bad timing. What are your thoughts on the short term outlook for ZB vs ZF? I've read that the market has priced in two rate increases next year of 25 basis points each. Seems like a reasonable assumption at this point. The question, then, is whether this will result in a curve flattening or just an a 50 basis point rise across the whole curve. Curve flattening would favor sticking with ZB until things settle down. Of course, if the change is fully priced in it won't matter.
h
- Thu Oct 21, 2021 8:59 am
- Forum: Investing - Theory, News & General
- Topic: Modified versions of HFEA with ITT and Futures / Lifecycle Investing with Modern Portfolio Theory
- Replies: 2993
- Views: 498720
- Tue Oct 19, 2021 9:14 pm
- Forum: Investing - Theory, News & General
- Topic: Modified versions of HFEA with ITT and Futures / Lifecycle Investing with Modern Portfolio Theory
- Replies: 2993
- Views: 498720
Re: Modified versions of HFEA with ITT and Futures / Lifecycle Investing with Modern Portfolio Theory
But I think hdas is basically playing with the idea of a dynamic allocation on the yield curve based on its current shape, particularly the current slope. Which according to some papers might generate excess returns. He says it's just a matter of time until the curve flattens, it has always flattened. So let's sit it out. It's not if, but when. Let's play the mean reversion. Let's tilt to longer maturities when there is some slope. Back to shorter when it's flat or inverts. Rinse and repeat. I’m not sure that’s what he’s saying, but either way I haven’t seen a rules based strategy that goes any farther than 10 years out on the curve. I have seen some rules based strategies that shift duration but never longer than 10 years. Such as a max c...
- Tue Oct 19, 2021 9:06 pm
- Forum: Investing - Theory, News & General
- Topic: Modified versions of HFEA with ITT and Futures / Lifecycle Investing with Modern Portfolio Theory
- Replies: 2993
- Views: 498720
- Tue Oct 19, 2021 11:24 am
- Forum: Investing - Theory, News & General
- Topic: Modified versions of HFEA with ITT and Futures / Lifecycle Investing with Modern Portfolio Theory
- Replies: 2993
- Views: 498720
- Fri Oct 15, 2021 2:39 pm
- Forum: Investing - Theory, News & General
- Topic: Modified versions of HFEA with ITT and Futures / Lifecycle Investing with Modern Portfolio Theory
- Replies: 2993
- Views: 498720
Re: Modified versions of HFEA with ITT and Futures / Lifecycle Investing with Modern Portfolio Theory
hskierincolorado wrote: ↑Fri Oct 15, 2021 12:16 pm Does this other source have ZN? Perhaps we could validate the SPGlobal ZN data using your paid data. Or if you only have UB, we could validate SPGlobal's UB data.
I've always felt pretty comfortable relying on the SPGlobal data (which match up well with treasury bond fund returns for similar durations), it seems unlikely that such a major analytics company would provide invalid data, but it can't hurt to validate it.
- Fri Oct 15, 2021 9:42 am
- Forum: Investing - Theory, News & General
- Topic: Modified versions of HFEA with ITT and Futures / Lifecycle Investing with Modern Portfolio Theory
- Replies: 2993
- Views: 498720
- Thu Oct 14, 2021 6:39 pm
- Forum: Investing - Theory, News & General
- Topic: Modified versions of HFEA with ITT and Futures / Lifecycle Investing with Modern Portfolio Theory
- Replies: 2993
- Views: 498720
- Thu Oct 14, 2021 6:32 pm
- Forum: Investing - Theory, News & General
- Topic: Modified versions of HFEA with ITT and Futures / Lifecycle Investing with Modern Portfolio Theory
- Replies: 2993
- Views: 498720
- Thu Oct 14, 2021 6:23 pm
- Forum: Investing - Theory, News & General
- Topic: Modified versions of HFEA with ITT and Futures / Lifecycle Investing with Modern Portfolio Theory
- Replies: 2993
- Views: 498720
Re: Modified versions of HFEA with ITT and Futures / Lifecycle Investing with Modern Portfolio Theory
hskierincolorado wrote: ↑Thu Oct 14, 2021 6:12 pm I still find the blue line to be suspect data. SPGlobal matches VFITX nearly identically and their methodology invests the fully funded position in LIBOR not 1-2 year T-Bills, which would be less favorable.
- Thu Oct 14, 2021 5:55 pm
- Forum: Investing - Theory, News & General
- Topic: Modified versions of HFEA with ITT and Futures / Lifecycle Investing with Modern Portfolio Theory
- Replies: 2993
- Views: 498720
- Thu Oct 14, 2021 2:48 pm
- Forum: Investing - Theory, News & General
- Topic: Modified versions of HFEA with ITT and Futures / Lifecycle Investing with Modern Portfolio Theory
- Replies: 2993
- Views: 498720
Re: Modified versions of HFEA with ITT and Futures / Lifecycle Investing with Modern Portfolio Theory
hskierincolorado wrote: ↑Wed Oct 06, 2021 1:51 pm doesn't negate the validity of the backtest. The backtest shows ITT to be vastly suprior to LTT no matter what ratio we pick - with lower drawdowns
- Wed Oct 06, 2021 1:00 pm
- Forum: Investing - Theory, News & General
- Topic: Modified versions of HFEA with ITT and Futures / Lifecycle Investing with Modern Portfolio Theory
- Replies: 2993
- Views: 498720
- Wed Oct 06, 2021 12:34 pm
- Forum: Investing - Theory, News & General
- Topic: Modified versions of HFEA with ITT and Futures / Lifecycle Investing with Modern Portfolio Theory
- Replies: 2993
- Views: 498720
Re: Modified versions of HFEA with ITT and Futures / Lifecycle Investing with Modern Portfolio Theory
hskierincolorado wrote: ↑Wed Oct 06, 2021 12:21 pm Both backtests and theory show diversifying across stocks and bonds to have superior risk-adjusted returns, and for short and intermediate duration bonds to have superior risk-adjusted returns to longer durations.
- Wed Oct 06, 2021 12:11 pm
- Forum: Investing - Theory, News & General
- Topic: Modified versions of HFEA with ITT and Futures / Lifecycle Investing with Modern Portfolio Theory
- Replies: 2993
- Views: 498720
Re: Modified versions of HFEA with ITT and Futures / Lifecycle Investing with Modern Portfolio Theory
hskierincolorado wrote: ↑Wed Oct 06, 2021 12:00 pm
Like you, I'm guessing those are quarterly. Where are you getting them from?
I was using the graph of yield in the twitter thread which shows ~2% for both 7 year and 20 year duration.
It would take 3 7-yr bonds to have the same total duration risk as a 20-yr bond. So 2%*3 = 6%.
Using your numbers, assuming they are accurate and quarterly, it would be ~2%(.47*4) for UB and ~7.5%(.64*4*3) for an equivalent amount of ZN.
I don't know what date the twitter graph is from... that could explain the difference
- Wed Oct 06, 2021 11:38 am
- Forum: Investing - Theory, News & General
- Topic: Modified versions of HFEA with ITT and Futures / Lifecycle Investing with Modern Portfolio Theory
- Replies: 2993
- Views: 498720
- Thu Sep 30, 2021 7:05 pm
- Forum: Investing - Theory, News & General
- Topic: Modified versions of HFEA with ITT and Futures / Lifecycle Investing with Modern Portfolio Theory
- Replies: 2993
- Views: 498720
Re: Modified versions of HFEA with ITT and Futures / Lifecycle Investing with Modern Portfolio Theory
HLTCM wrote: ↑Thu Sep 30, 2021 4:16 pm
https://www.cmegroup.com/tools-informat ... ytics.html
/ZT = 0.08%
/ZF = 0.31%
/ZN = 0.64%
/ZB = 1.28%
/UB = 1.91%
They move around a LOT by the hour/day as prices change. That's about as high as I've seen them since I started casually monitoring a few weeks ago.
- Thu Sep 30, 2021 9:15 am
- Forum: Investing - Theory, News & General
- Topic: Modified versions of HFEA with ITT and Futures / Lifecycle Investing with Modern Portfolio Theory
- Replies: 2993
- Views: 498720
Re: Modified versions of HFEA with ITT and Futures / Lifecycle Investing with Modern Portfolio Theory
Hskierincolorado wrote: ↑Wed Sep 29, 2021 11:47 pm
Which tool are you referring to? The IRR on this tool is generally close to zero currently: https://www.cmegroup.com/tools-informat ... ytics.html
The implied financing rates are near the 3-mo T-bill rate usually. See these two papers:
https://www.financialresearch.gov/brief ... Trades.pdf
https://www.cmegroup.com/trading/equity ... -etfs.html
Interest rate forwards project the 3-month T-bill to be around .7% 2 years from now.
- Wed Sep 29, 2021 10:47 pm
- Forum: Investing - Theory, News & General
- Topic: Modified versions of HFEA with ITT and Futures / Lifecycle Investing with Modern Portfolio Theory
- Replies: 2993
- Views: 498720
Re: Modified versions of HFEA with ITT and Futures / Lifecycle Investing with Modern Portfolio Theory
Hskierincolorado wrote: ↑Wed Sep 29, 2021 1:04 pm If one used futures to buy equities for the next 2 years you'd be borrowing at near 0% today and, according to interest rate forwards, around .7% 2 years from now.
- Tue Aug 31, 2021 12:47 pm
- Forum: Investing - Theory, News & General
- Topic: Small Cap Value heads Rejoice !!!
- Replies: 5577
- Views: 618900
- Tue Aug 31, 2021 11:04 am
- Forum: Investing - Theory, News & General
- Topic: Why not 100% PSLDX? [PIMCO StocksPLUS Long Duration Fund]
- Replies: 2106
- Views: 391537
Re: Why not 100% PSLDX?
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- Wed May 19, 2021 12:43 pm
- Forum: Investing - Theory, News & General
- Topic: Deleted Topic
- Replies: 83
- Views: 17176
Deleted Topic
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