Search found 92 matches

by coingaroo
Sat Aug 31, 2019 3:38 am
Forum: Investing - Theory, News & General
Topic: First 20% of bonds in long-term Treasuries
Replies: 927
Views: 68968

Re: First 20% of bonds in long-term Treasuries

In 2008 a large allocation to long term treasuries would have prevented large portfolio losses. In this thread and a few other popular ones people are suggesting a large allocation to long term treasuries. Is this "planning for the last war"? No, this is more akin to general readiness. Th...
by coingaroo
Sat Aug 31, 2019 1:39 am
Forum: Investing - Theory, News & General
Topic: Uncle Fred’s Second Coin – The Case for Leveraged Bonds
Replies: 133
Views: 9456

Re: Uncle Fred’s Second Coin – The Case for Leveraged Bonds

By that logic 2x ITT is okay. https://www.portfoliovisualizer.com/backtest-portfolio?s=y&timePeriod=2&startYear=2004&firstMonth=1&endYear=2014&lastMonth=12&calendarAligned=true&initialAmount=10000&annualOperation=0&annualAdjustment=0&inflationAdjusted=true&am...
by coingaroo
Sat Aug 31, 2019 1:24 am
Forum: Investing - Theory, News & General
Topic: Uncle Fred’s Second Coin – The Case for Leveraged Bonds
Replies: 133
Views: 9456

Re: Uncle Fred’s Second Coin – The Case for Leveraged Bonds

That is why you use leverage to gain duration equivalence. Historically the shorter terms have fallen more on a yields only basis than the longer terms. This is what you are looking for at any point in the curve, then you use leverage to match the volatility of the longer term issues or too achieve...
by coingaroo
Fri Aug 30, 2019 12:40 am
Forum: Investing - Theory, News & General
Topic: Uncle Fred’s Second Coin – The Case for Leveraged Bonds
Replies: 133
Views: 9456

Re: Uncle Fred’s Second Coin – The Case for Leveraged Bonds

Tyler Aspect wrote: Fri Aug 30, 2019 12:22 am I agree there are more postings about leveraging this year compared to last year. Unsure about the significance of this trend.
Appetite for leverage linearly increases based on number of years since the last recession.
by coingaroo
Thu Aug 29, 2019 11:56 pm
Forum: Investing - Theory, News & General
Topic: Uncle Fred’s Second Coin – The Case for Leveraged Bonds
Replies: 133
Views: 9456

Re: Uncle Fred’s Second Coin – The Case for Leveraged Bonds

Awesome post and lovely intuitive explanation. Investing is about bearing risk to realise a return. Without leverage, your asset allocation is constrained to risk levels provided by underlying assets. This can get you very far, but what if you could scale underlying risk levels? The main limitation ...
by coingaroo
Wed Aug 28, 2019 7:42 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 6805
Views: 655281

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

Since inception EDV has outperformed TLT. VEDTX is the mutual fund version and has been around a bit longer and using that in PV you'll see even more outperformance since inception. Since 1982, when rates started dropping, EDV would've crushed TLT, but of course TMF would've been the champion. I ne...
by coingaroo
Wed Aug 28, 2019 6:44 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 6805
Views: 655281

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

stipeman wrote: Sat Aug 17, 2019 10:37 am\
If you have a lot of tax advantaged space you are much better off with PSLDX. Problem solved and you can spend your time on other things. Perhaps not as exciting though.
What if you don't have enough tax advantaged space - is there another easier option?
by coingaroo
Tue Aug 27, 2019 6:12 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 6805
Views: 655281

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 coingaroo
Sun Jul 28, 2019 9:37 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 452390

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

Dude, lots of us know this. I'm a data scientist and I've also read Misbehaviour of Markets. It sounds like you just learned this stuff after reading Taleb or Mandlebrot, or took a course in school. Risk parity has less tail risk, not more. And we're empirically simulating risk based on max drawdow...
by coingaroo
Sun Jul 28, 2019 8:31 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 452390

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

Graphed schismal's data for 20 days of returns. Nowhere even close to normally distributed. Actually contains serious negative skewness. Not too surprising since the median is almost twice the mean. ANY 20 random data points, even of a normal distribution... is not going to appear to be normally di...
by coingaroo
Sat Jul 27, 2019 3:28 am
Forum: Investing - Theory, News & General
Topic: Can you compute implied returns?
Replies: 3
Views: 512

Can you compute implied returns?

If we assume that, broadly speaking: * Assets in liquid markets are fairly priced to its value * Volatility is predictable (volatility clustering, GARCH, etc) * Investors are rewarded and earn a return for bearing risk Then shouldn't it be possible to slot in your forecast of volatility, and compute...
by coingaroo
Sat Jul 27, 2019 3:19 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Volatility Targeting Improves Risk Adjusted Returns
Replies: 65
Views: 7587

Re: Larry Swedroe: Volatility Targeting Improves Risk Adjusted Returns

Those funds do not seek equity market risk premia. Thus, you can’t compare them against equity. Okay. Given that there's a graveyard of complicated financial products designed to harvest various new premia which backtest and then give lousy results when deployed, how does one choose which of these ...
by coingaroo
Sat Jul 27, 2019 2:33 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Volatility Targeting Improves Risk Adjusted Returns
Replies: 65
Views: 7587

Re: Larry Swedroe: Volatility Targeting Improves Risk Adjusted Returns

Those funds do not seek equity market risk premia. Thus, you can’t compare them against equity.
by coingaroo
Sat Jul 27, 2019 12:59 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 452390

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

Someone explain to me why “volatility momentum” can be trusted as a persistent phenomenon. What is the risk-based or behavioral-based explanation? Because of the mathematics of the volatility drag, or the leverage effect. The more volatile an asset is, the less return you get due to the drag. Thus,...
by coingaroo
Sat Jul 27, 2019 12:51 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 452390

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

I'll be honest, I have no idea what those graphs are conveying. Could you break it down for me? Thanks That volatility targeting* improves sharpe ratios, reduces vol of vol, and reduces the mean shortfalls for equities as a whole, as well as individual sectors of equities (barring exceptions that c...
by coingaroo
Sat Jul 27, 2019 12:13 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 452390

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

The utility of St Dev in a non-normal distribution is highly dependent on what the distribution even is. When you only have 20 samples, you WILL end up with extremely funky distributions (uniform, fat tails, extreme skewness,etc). I'm talking about distributions where even the mean is hardly approp...
by coingaroo
Fri Jul 26, 2019 11:49 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 452390

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

As for VIX correlation; I don't believe your statements for a second. If anything, VIX should be negatively correlated with market returns. Please offer an explanation as to why increased volatility in options (VIX) should be positively correlated with market returns. Thanks p261 of Asset Managemen...
by coingaroo
Fri Jul 26, 2019 7:15 am
Forum: Investing - Theory, News & General
Topic: PV - What is "maximize return subject to volatility"?
Replies: 3
Views: 403

Re: PV - What is "maximize return subject to volatility"?

It's just classic mean variance optimization that estimates past returns as future returns.
by coingaroo
Fri Jul 26, 2019 7:08 am
Forum: Investing - Theory, News & General
Topic: The Single Greatest Predictor of Future Stock Market Returns
Replies: 88
Views: 19970

Re: The Single Greatest Predictor of Future Stock Market Returns

Do we know how good the model holds if we throw in international stocks? Also, I find it interesting the stock asset allocation for US investor varies so much. I thought everybody would rebalance. But of course, that cannot be true. The total market capitalization of stocks is proportional to the m...
by coingaroo
Fri Jul 26, 2019 6:51 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 452390

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

To the people using recent-volatility (like previous 20 days) to dynamically shift your allocations, please answer the following: It is well-documented that market daily returns are not normally distributed. Not even close. The St. Dev. (as a measure of risk) is quite literally a meaningless number...
by coingaroo
Wed Jul 24, 2019 9:44 am
Forum: Investing - Theory, News & General
Topic: PV - What is "maximize return subject to volatility"?
Replies: 3
Views: 403

Re: PV - What is "maximize return subject to volatility"?

The reason for its ability to maximize return is just ordinary hindsight. I don't know how you apply that to the future. If you click on the asset allocations tab you can see how it moved the money around. I'm interested in understanding the exact algorithms used, such as whether it's mean variance...
by coingaroo
Wed Jul 24, 2019 9:32 am
Forum: Investing - Theory, News & General
Topic: PV - What is "maximize return subject to volatility"?
Replies: 3
Views: 403

PV - What is "maximize return subject to volatility"?

I've been playing around with rolling portfolio optimisation functions on PV. I've noticed a new function, "maimize return subject to volatility". This has performed exceptionally well, particularly being an uncorrelated source of alpha with no losses during recessions. Any idea what this ...
by coingaroo
Tue Jul 23, 2019 4:34 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 452390

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

P.S. Really fantastic academic article on essentially this strategy. http://www.sr-sv.com/the-mighty-long-long-trade/ In particular, the authors acknowledge the underlying factors behind this strategy is still in place. However, he warns of fiscal risk, specifically helicopter money policies. As an ...
by coingaroo
Tue Jul 23, 2019 4:25 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 452390

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

Because OP hasn’t shown a keen interest in modern finance and asset management research. There are goods and bads; no finance professional would plop down and play with 40% UPRO / 60% TMF in a backtester, and yet this thread is probably one of the best contributions to DIY investing in the past year...
by coingaroo
Mon Jul 22, 2019 9:42 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 452390

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

Days like today are what worry me for this strategy, granted your stocks did well, but long term yields went up 3 bps while short term went down 10 bps. Somebody please come out with a leveraged 2 yr treasury ETF so I can run a risk parity strategy with it. If you're willing to use futures instead ...
by coingaroo
Mon Jul 22, 2019 9:29 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 452390

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

Curious as to if anyone has decided to change their asset allocation based on all the possible alternatives MoneyMarathon has provided The discussion is still ongoing. So changing your AA would be premature. I am really liking 40% UPRO, 40% EDV, 15% TMF, and 5% GLD though. Net 2.6x exposure. For th...
by coingaroo
Sun Jul 21, 2019 8:14 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 452390

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

Does anyone have datasets for intermediate term treasuries, as far back as possible, and gold as far back as possible?

Gold only going to 2004 really limits the backtests.
by coingaroo
Sun Jul 21, 2019 7:11 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 452390

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

https://retirementresearcher.com/good-vix-index-predicting-future-market-volatility/ VIX explains 80% of variance in future vol, vs only 50% based on using historical (lookback) vol. So better just to use the VIX than a lookback window. TYVIX would give you 10 yr interest rate volatility: http://ww...
by coingaroo
Sun Jun 16, 2019 7:35 am
Forum: Investing - Theory, News & General
Topic: Leveraged Multi-Asset Risk Parity funds [J.P. Morgan Nordnet Multi-Asset 15] – good or bad?
Replies: 14
Views: 2025

Re: Leveraged Multi-Asset Risk Parity funds [J.P. Morgan Nordnet Multi-Asset 15] – good or bad?

I didn't dig into the index construction methodology very deeply, but at first glance this seems like exactly the kind of product that would be perfect for an accumulating investor. How would you evaluate a risk parity portfolio? Anything in particular you would be looking at? Yes the TER is higher...
by coingaroo
Sun Jun 16, 2019 6:34 am
Forum: Investing - Theory, News & General
Topic: [Deleted]
Replies: 128
Views: 8795

Re: What is wrong with AQR?

Correct me if I'm wrong but these futures markets are the same as betting exchanges which exist for sports and politics. It's an insulated system where all the profits & losses add up to zero, minus the trading costs. There are market hedgers who pay the cost of hedging, which go to speculators...
by coingaroo
Sun Jun 16, 2019 6:22 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 452390

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

Coming back to this thread, I think a similar bandwagon effect is happening due to the long rally in long term bonds and negative correlation with equities. What might cause the strategy to lag? Nobody thinks of inflation as a threat today, but this is the one thing that will really set back the le...
by coingaroo
Wed Jun 12, 2019 4:51 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 452390

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

Your strategy is analogous to saying a 40/60 stock and long term treasury allocation have fared well in the past with low drawdowns, meaning you can 3x it, giving you roughly 2x the returns with 3x the risk and drawdowns. That’s not a good trade, and 60% long term treasuries will certainly do poorl...
by coingaroo
Tue Jun 11, 2019 9:23 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 452390

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

What is the ex-ante reason we should accept sharply rising rates as a serious risk to my strategy? I agree we should base our decisions on ex-ante reasoning, not just backtesting. I've given you my reasoning, give me yours. To the extent that we can form an ex-ante position on interest rates, it's ...
by coingaroo
Tue Jun 11, 2019 10:23 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 452390

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

Why would this have died on page 1? Ignoring everything else, the 1955-Present backtest shows similar long term return vs. the S&P 500, while delivering double its CAGR over the past 37 years and counting... That is worth 500 posts, at least! You're missing or evading the basic point, which is ...
by coingaroo
Tue May 21, 2019 4:58 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 452390

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

Is there a 2x leveraged version with less volatility and volatility drag?
by coingaroo
Tue Apr 30, 2019 6:28 am
Forum: Investing - Theory, News & General
Topic: New version of quantitative easing?
Replies: 5
Views: 809

Re: New version of quantitative easing?

It is essentially about institutionalising and normalising a perpetual form of quantitative easing. Whether that is a good or bad thing is up to you, I'll attempt to present a balanced opinion. QE is an attempt to increase liquidity. It was created because we are near the zero interest rate bound. T...
by coingaroo
Mon Apr 29, 2019 8:53 am
Forum: Investing - Theory, News & General
Topic: Why so many Vanguard Funds and ETFs if their motto is simplicity and to hold.
Replies: 19
Views: 1816

Re: Why so many Vanguard Funds and ETFs if their motto is simplicity and to hold.

Vanguard even have actively managed / smart beta funds now, like the 'minimum volatility' funds.
by coingaroo
Sun Apr 28, 2019 10:35 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 452390

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

That is certainly an interesting backtest. But if you extend it back to the inception of the funds (01/2010), ERC only delivers 30% CAGR, compared to my strategy's 27.5%. So ERC offers slightly more return but with a much higher management burden. Big part of the appeal of my strategy is that you c...
by coingaroo
Sun Apr 28, 2019 8:42 am
Forum: Investing - Theory, News & General
Topic: understanding Swedroe on total mkt fund having "no net exposure"?
Replies: 35
Views: 3140

Re: understanding Swedroe on total mkt fund having "no net exposure"?

I think it all got started when folks started noticing that Low Volatility stocks had higher returns than expected and when High Volatility stocks had lower returns than what were expected from the old Capital Asset Pricing Model. The assumption was made that risk could be measured by the volatilit...
by coingaroo
Sun Apr 28, 2019 8:33 am
Forum: Personal Consumer Issues
Topic: [Cellphone SIM card hijacking - Security concerns and mitigation techniques]
Replies: 254
Views: 34984

Re: Man’s life savings stolen from hijacked cellphone number

meh. Sensational journsalism. It takes far more than a stolen cell number to get money out of Vanguard. Plenty of posters here have first hand experiences with (legitimate) withdrawal requests. Vanguard may be one thing, but I wouldn't be surprised if there are other brokers that allow for easier w...
by coingaroo
Fri Apr 26, 2019 11:15 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 452390

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

To the OP, sorry if this has been bought up (impossible to search as 'risk parity' is in the title of every post), a true risk parity strategy involves dynamically adjusting your exposures based on covariances (volatility and correlations). This is what gives risk parity its actual return smoothing...
by coingaroo
Fri Apr 26, 2019 11:40 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 452390

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

Can you run a MC simulation using all the data and block (3-7) or (5-10) bootstrap?....Thx :greedy LOL, you need to ask somebody else. Monte-Carlo isn't exactly my thing.. :wink: Very cool nonetheless! What spreadsheet / program you're using? -- To the OP, sorry if this has been bought up (impossib...