Search found 1392 matches

by hdas
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: 2998
Views: 519284

Re: Modified versions of HFEA with ITT and Futures / Lifecycle Investing with Modern Portfolio Theory

LTCM wrote: Thu Oct 21, 2021 8:02 pm Its very easy to make CASHX+0.1% or CASHX+0.2% in the simba sheet if that's an issue. I just don't have it nailed down what it is - and why its so much harder to find than for equity futures (CASHX+0.3%).
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by hdas
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: 2998
Views: 519284

Re: Modified versions of HFEA with ITT and Futures / Lifecycle Investing with Modern Portfolio Theory

comeinvest 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.
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by hdas
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: 2998
Views: 519284

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.
skierincolorado 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
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by hdas
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: 2998
Views: 519284

Re: Modified versions of HFEA with ITT and Futures / Lifecycle Investing with Modern Portfolio Theory

comeinvest 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.
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by hdas
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: 2998
Views: 519284

Re: Modified versions of HFEA with ITT and Futures / Lifecycle Investing with Modern Portfolio Theory

comeinvest wrote: Thu Oct 21, 2021 7:10 pm
hdas wrote: Thu Oct 21, 2021 10:37 am ZN, ZF leveraged using DV01 to match UB, which in turn matches VUSTX almost perfectly. 90% funded with VFISX, which is very generous to the leveraged futures position.
Unless 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?
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by hdas
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: 2998
Views: 519284

Re: Modified versions of HFEA with ITT and Futures / Lifecycle Investing with Modern Portfolio Theory

skierincolorado 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.
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by hdas
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: 2998
Views: 519284

Re: Modified versions of HFEA with ITT and Futures / Lifecycle Investing with Modern Portfolio Theory

skierincolorado 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.
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by hdas
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: 2998
Views: 519284

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...
by hdas
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: 2998
Views: 519284

Re: Modified versions of HFEA with ITT and Futures / Lifecycle Investing with Modern Portfolio Theory

Kbg wrote: Thu Oct 21, 2021 11:13 am Fair point, but that's like trying to optimize when to take social security. Somehow, I just don't think I want to know when I'm going to die right now. :-)
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by hdas
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: 2998
Views: 519284

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...
by hdas
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: 2998
Views: 519284

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.
skierincolorado wrote: Thu Oct 21, 2021 10:01 am On the topic of changing my point of view . . .
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by hdas
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: 2998
Views: 519284

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...
by hdas
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: 2998
Views: 519284

Re: Modified versions of HFEA with ITT and Futures / Lifecycle Investing with Modern Portfolio Theory

skierincolorado 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.
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by hdas
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: 2998
Views: 519284

Re: Modified versions of HFEA with ITT and Futures / Lifecycle Investing with Modern Portfolio Theory

skierincolorado 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.
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by hdas
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: 2998
Views: 519284

Re: Modified versions of HFEA with ITT and Futures / Lifecycle Investing with Modern Portfolio Theory

skierincolorado 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
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by hdas
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: 2998
Views: 519284

Re: Modified versions of HFEA with ITT and Futures / Lifecycle Investing with Modern Portfolio Theory

skierincolorado 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.
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by hdas
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: 2998
Views: 519284

Re: Modified versions of HFEA with ITT and Futures / Lifecycle Investing with Modern Portfolio Theory

skierincolorado 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
h
by hdas
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: 2998
Views: 519284

Re: Modified versions of HFEA with ITT and Futures / Lifecycle Investing with Modern Portfolio Theory

LTCM 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.
H
by hdas
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: 2998
Views: 519284

Re: Modified versions of HFEA with ITT and Futures / Lifecycle Investing with Modern Portfolio Theory

skierincolorado 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.
H
by hdas
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: 2998
Views: 519284

Re: Modified versions of HFEA with ITT and Futures / Lifecycle Investing with Modern Portfolio Theory

skierincolorado 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.
H
by hdas
Wed May 19, 2021 12:43 pm
Forum: Investing - Theory, News & General
Topic: Deleted Topic
Replies: 83
Views: 17252

Deleted Topic

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