Search found 55 matches

by kjm
Mon Mar 15, 2021 9:16 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 8790
Views: 854542

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

Hey, crazy question. A lot of folks in this thread dedicate maybe 10% of their portfolio to the 3x version of this, but fret about a Black Monday-type event wiping them out. Why not put 20% of your portfolio into a 2x version instead? The total portfolio leverage will be the same, but the risk of SS...
by kjm
Tue Jan 26, 2021 10:42 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 8790
Views: 854542

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

These all sound promising. But one beauty of the original HFEA is back tests since 1955. No one has done that for any sector-based strategy which is why I haven't convinced myself to dive in. (Not to say they are bad, but just less evidence to prove they're great.) I understand your hesitation. You...
by kjm
Tue Jan 26, 2021 9:07 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 8790
Views: 854542

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

These all sound promising. But one beauty of the original HFEA is back tests since 1955. No one has done that for any sector-based strategy which is why I haven't convinced myself to dive in. (Not to say they are bad, but just less evidence to prove they're great.) I understand your hesitation. You...
by kjm
Mon Jan 25, 2021 9:06 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 8790
Views: 854542

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

Anyone use a minimum variance model that looks across 4 or more stocks, including TMF, and only selects 3 each month? For example: TECL CURE UPRO TMF . Interesting results :-) Something like that. I picked TQQQ and TNA because they represent different style factors... https://bit.ly/2M7UYU9 What's ...
by kjm
Fri Jan 22, 2021 9:24 pm
Forum: Investing - Theory, News & General
Topic: Mando's Risk Parity Strategy [Hedgefundie's EA modification]
Replies: 24
Views: 2858

Re: Mando's Risk Parity Strategy [Hedgefundie's EA modification]

I've been tinkering with the HFEA portfolio as well. Here's something to consider... https://ibb.co/1z5SmFc https://ibb.co/SBxmmVN You're picking two from TQQQ, TNA and TMF each month based on momentum. The two are weighted according to minimum variance. This is pretty risky of course because there ...
by kjm
Fri Dec 04, 2020 8:57 pm
Forum: Investing - Theory, News & General
Topic: Floating rate bond etf in lieu of savings?
Replies: 10
Views: 635

Re: Floating rate bond etf in lieu of savings?

Look at the history of FLOT (March 2020) and the NAV; ETF price mismatch to NAV was terrible (> 10.00% at times) during this period. ETF can be suitable for an investment holding in place of a mutual fund, but never as a savings account. Be cautious with ETFs as they have that weakness. Good call-o...
by kjm
Fri Dec 04, 2020 4:14 pm
Forum: Investing - Theory, News & General
Topic: Floating rate bond etf in lieu of savings?
Replies: 10
Views: 635

Re: Floating rate bond etf in lieu of savings?

Did you already rule out Series I savings bonds? This isn't super helpful due to the $10,000 annual limit (ways to get around it including paper bonds with tax refund) and one year minimum holding period, but it's something. I've been buying some every year for a while now. I did consider this, but...
by kjm
Fri Dec 04, 2020 4:00 pm
Forum: Investing - Theory, News & General
Topic: Floating rate bond etf in lieu of savings?
Replies: 10
Views: 635

Floating rate bond etf in lieu of savings?

With my "high yield" savings account paying 0.6% right now, I'm looking for alternatives. I came across FLOT, which provides exposure to floating rate, short duration corporate bonds. There's no interest rate risk here, but I guess there's still risk of the underlying holdings defaulting. ...
by kjm
Wed Nov 25, 2020 9:18 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 8790
Views: 854542

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

The approach is interesting. To date, we have not had a black swan (except for the flash crash) that has come out of nowhere. In the event of something like a mega cyber attack, we would remain unprotected. True, but you could always hedge your hedges! Keep a smaller permanent hedge and ramp it up ...
by kjm
Wed Nov 25, 2020 7:18 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 8790
Views: 854542

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

Interesting approach. I ran it for 5-day trailing volatility >= 5%. Here are the dates from 6/25/2009 when the VIX trailing 5-day volatility was greater than or equal to 5%. It would have got you into the hedge on 2/28/2020 (the day following the 2/27 breach). On that day the VIX was at $22.81. The...
by kjm
Tue Nov 24, 2020 8:40 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 8790
Views: 854542

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

I think the idea of hedging a 100% UPRO portfolio is an interesting one right now. Instead of holding VXX or VXX calls 100% of the time though, you could try only holding when volatility increases. I put together the following backtest for fun. - Hold 100% UPRO - When trailing 5-day (non-annualized)...
by kjm
Sat Oct 31, 2020 7:38 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 8790
Views: 854542

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

Given the consensus here recently re the short and medium term likely performance of TMF / UBT, what should we considering moving towards for risk parity with leveraged indicies? Personally I'm going the QLD + UBT route and currently 5% underwater since beginning 2 months ago. Seeing this week's ma...
by kjm
Fri Oct 30, 2020 7:51 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 8790
Views: 854542

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

Bonds are now becoming shaky on equity sell offs because the lower stocks go the more fiscal stimulus is implied and therefore more future inflation is priced in. That’s a fair point. However, I suspect any big move on the fiscal side will be matched by more bond buying on the monetary side. Hard t...
by kjm
Fri Oct 30, 2020 3:08 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 8790
Views: 854542

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

Why all this financial engineering around the low treasury rates but not around the CAPE being at 30? We should have lower expected returns for UPRO and TMF, no? Gold is looking downright cheap relative to stocks and treasuries... https://thefelderreport.com/2020/10/14/has-gold-gotten-too-expensive/
by kjm
Thu Oct 29, 2020 9:45 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 8790
Views: 854542

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

I know there are some in this thread who have the majority of their portfolio in either the original strategy or some variant. I hope all of those who do truly understand the extreme risk they are taking. Maybe one exception is if you're young and your portfolio is small in absolute terms. I agree ...
by kjm
Fri Oct 09, 2020 9:12 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 8790
Views: 854542

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

10 years is not nearly enough data to draw conclusions, backtests are not suited for this type of analysis. This is consistent with my own experiments where I found that simplistic timings methods don't improve expected utility out-of-sample. I was only able to obtain positive out-of-sample perform...
by kjm
Thu Oct 08, 2020 9:04 pm
Forum: Investing - Theory, News & General
Topic: Is deflation good or bad for the S&P 500?
Replies: 38
Views: 4047

Re: Is deflation good or bad for the S&P 500?

When the dollar goes down, the price of assets denominated in dollars (like stocks) goes up. This is inflation and what the Fed wants because inflation is easily conflated with real growth. The correlation between DXY and SPX is about -0.4 since May just to quantify the relationship. I agree with yo...
by kjm
Thu Oct 08, 2020 8:36 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 8790
Views: 854542

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

Actually, someone already wrote about the VIX strategy I mentioned above: https://earlyretirementnow.com/2020/04/ ... k-in-2020/ I'd still like to hear feedback though. It's strategy #2 in that link. I don't think a permanent position in VXX is the best way to improve risk-adjusted returns. It take...
by kjm
Tue Oct 06, 2020 12:07 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 8790
Views: 854542

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

Anyone know why yields on LTTs are going up so much (and prices of TMF,EDV, etc down so much) this week? Is it just "risk-on" or something more closely linked to rates/inflation expectations? TMF dropped more than 6% yesterday, and from my casual observing that seems a lot more than just ...
by kjm
Sat Oct 03, 2020 10:08 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 8790
Views: 854542

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

Hi! I must admit I had not thought about this approach, which sounds quite interesting - I'll have to run some tests using these forward-looking volatility measures... How are you transforming them to account for the leverage in TQQQ, UPRO and TMF? Do you just multiply by 3 (that's what the maths s...
by kjm
Sat Oct 03, 2020 4:51 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 8790
Views: 854542

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

I agree. Without the diversity you'd have in the AAA porfolio as described, you lose the momentum side of that strategy. However, MV is still better than IV (at least from an information POV). From my understanding, the whole point of IV as a strategy is that you use it when you *don't* have correl...
by kjm
Sun Sep 27, 2020 8:47 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 8790
Views: 854542

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

Strategies involving upro produce great results and all but higher standard deviations. The spy/tmf strategy seems to produce better results and lower standard deviation compared to spy alone. If you're interested in lowering standard deviation, you could rebalance more often (weekly) and scale the...
by kjm
Sat Sep 26, 2020 3:51 pm
Forum: Investing - Theory, News & General
Topic: Gold is again on my head
Replies: 46
Views: 3922

Re: Gold is again on my head

I’m a big fan of the Permanent Portfolio, although it's not a popular choice around here. Also a big fan of the permanent portfolio minus cash. Ultimately, gold isn’t very strongly correlated to stocks or treasuries, so adding it to a stock/bond mix should improve risk adjusted returns. Now is a tr...
by kjm
Fri Sep 25, 2020 1:14 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 8790
Views: 854542

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

What I'm wondering is, given current market volatility, if it's worth either holding off a while or to DCA in over some pre-defined period of time. DCA in or wait 6 weeks until after the election if you have cold feet. IMO, the biggest risk to markets now is Constitutional/electoral crisis on Novem...
by kjm
Fri Sep 25, 2020 1:02 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 8790
Views: 854542

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

Hey folks, I'm new here, and I'm still making my way through the thread. I was curious what everyone's thoughts are on TMF/TLT's continued usefulness as a hedge against downturns in equities, now that interest rates are near 0. Is there a belief that future Fed activity (increased QE, average infla...
by kjm
Thu Sep 24, 2020 9:23 pm
Forum: Personal Investments
Topic: VTSAX for roughly 10 year investment?
Replies: 11
Views: 2205

Re: VTSAX for roughly 10 year investment?

dvb316 wrote: ↑Thu Sep 24, 2020 9:13 pm Hey guys, I'm new to this forum as well as new to Investing. I'm 25 and I have no set time on when I would like to buy a house in the future but probably around 10 years give or take a little. So I decided to throw $23,000 into vanguard mutual funds. $5,000 i...
by kjm
Thu Sep 24, 2020 7:24 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 8790
Views: 854542

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

For those of you using MV or IV methods, is it concerning that by mid month the AAA can be drastically different than what was recommended at the beginning of the month? This month, using qld/tmf with MV we started at 61% qld which shifted to recommending 21% qld. Do any of you make exceptions for ...
by kjm
Wed Sep 23, 2020 10:05 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 8790
Views: 854542

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

I'll need to pull out the DD I did on the correlations but QLD is the best bang for the buck compared to UPRO and TQQQ. Hmm... yeah, I'm seeing that. My only concern is the Nasdaq is disproportionately overweight with mega-cap tech, which has significantly outperformed over the past decade. Who's t...
by kjm
Tue Sep 22, 2020 4:22 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 8790
Views: 854542

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

Of all the leveraged instruments QLD provides the best risk-adjusted returns from my testing (better than TQQQ and UPRO). I've found the same thing. There's just too much drag on TQQQ when things get choppy. You should really look at adding gold. It's fairly uncorrelated with stocks and treasuries ...
by kjm
Tue Sep 22, 2020 3:32 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 8790
Views: 854542

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

PV calculates inverse volatility on the Adapativer Asset Allocation. The 4 symbols you used are plotted here: Link
Looks like I'm reinventing the wheel! Are you running something like this?
by kjm
Tue Sep 22, 2020 3:19 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 8790
Views: 854542

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

What did you do for volatility testing and allocation? AAA IV? What's "AAA IV"? I calculated the standard deviation of each ETF over the trailing quarter. Then I assigned each ETF a portfolio weight equal to the inverse of that value. So, less volatile assets get a larger allocation. This...
by kjm
Tue Sep 22, 2020 1:05 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 8790
Views: 854542

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

Hi all, New to the thread, which I came across looking for ways to use leveraged ETFs to increase risk-adjusted returns. Is everyone here running this with fixed allocations? I've done some backtesting, and it looks like you can get better risk-adjusted returns by adding additional assets and doing ...
by kjm
Fri Jun 17, 2011 8:45 pm
Forum: Personal Investments
Topic: BlackRock? LifePath Index 20XX Fund J. Any info?
Replies: 34
Views: 21650

I would argue that you would need something like VSS to complement this fund. A morningstar x-ray of ACWX shows 89% large cap, 11% mid cap and no small cap
by kjm
Sat Oct 16, 2010 9:11 pm
Forum: Investing - Theory, News & General
Topic: Why not use TIPS for emergency fund?
Replies: 4
Views: 1219

Why not use TIPS for emergency fund?

Would it be a bad idea to use TIPS for my emergency fund? The only potentially dangerous scenario I could imagine would be deflation. Anyone put any thought into this?
by kjm
Mon Jul 19, 2010 8:26 pm
Forum: Investing - Theory, News & General
Topic: What Is the Hedge Against Stagflation?
Replies: 19
Views: 5897

REITs seem like the obvious choice. People always need places to live, and lease rates will go up with inflation.
by kjm
Sat Jun 19, 2010 10:34 pm
Forum: Personal Investments
Topic: How should I weigh S&P 500 and Extended Market?
Replies: 9
Views: 2638

Exactly what I was looking for. Thanks for the links.
by kjm
Sat Jun 19, 2010 9:59 pm
Forum: Personal Investments
Topic: How should I weigh S&P 500 and Extended Market?
Replies: 9
Views: 2638

How should I weigh S&P 500 and Extended Market?

Within my 401(k), I have access to an S&P 500 index fund and an extended market index fund. In what proportions should I hold these to approximate the composition of the total US stock market? I'm thinking 60% - 70% S&P 500 and 30% - 40% extended market. I'm not looking for any particular ti...
by kjm
Thu Dec 31, 2009 12:08 am
Forum: Personal Finance (Not Investing)
Topic: Schwab New ETFs: What's the Catch?
Replies: 16
Views: 4442

It may not be worth it to move money to Schwab from Vanguard, but the no-commission ETFs along with the 2% cash back on the Schwab credit card is a terrific combo. I put about $2000 on my Schwab Visa every month (paid off in full at the end of the month of course). That's $40 going into a broad-mark...
by kjm
Sun Dec 13, 2009 2:00 pm
Forum: Personal Investments
Topic: Where to put short- to mid-term savings
Replies: 13
Views: 3346

Where to put short- to mid-term savings

I'm saving for a down payment on a house, which I hope to purchase 2 to 3 years from now. Where should I stash the money? Keep in mind this will be in a taxable account. I'm thinking of the Pimco 1-5 Year U.S. TIPS Index Fund (STPZ). The reason why I'm leaning towards TIPS is because I feel that inf...
by kjm
Thu Nov 05, 2009 11:18 am
Forum: Investing - Theory, News & General
Topic: SCHB vs VTI
Replies: 13
Views: 4701

SCHB vs VTI

Hi All, I'm sure that those of you who trade with Schwab noticed that they just released a whole slew of new ETFs. The real kicker is that they're waiving commission fees on all of their ETFs. Here's my question. Is the Schwab broad market ETF (SCHB) a viable substitute for VTI? SCHB has a slightly ...
by kjm
Tue Sep 22, 2009 9:19 am
Forum: Investing - Theory, News & General
Topic: Any rebalancing benifit in owning only VTWSX?
Replies: 6
Views: 1877

Any rebalancing benifit in owning only VTWSX?

Ok. let's say I want to construct a super simple, long-term, 100% equity portfolio. It looks like this: 100% VTWSX (all world equity) Alternatively I could create a slightly less simple 100% equity portfolio that looks like this: 50% VTSMX (all US equity) 50% VFWIX (all world excluding US equity) As...
by kjm
Sat Sep 19, 2009 11:34 pm
Forum: Investing - Theory, News & General
Topic: Why does small cap value outperform?
Replies: 48
Views: 10251

Why does small cap value outperform?

I guess I'm asking two questions really. Why do small cap stocks outperform mid and large cap stocks? And why do value stocks outperform growth stocks? If I had to take a stab, I'd say small stocks and value stocks are riskier. The extra return return is compensation for the risk. What do you guys t...
by kjm
Wed Sep 09, 2009 9:27 pm
Forum: Investing - Theory, News & General
Topic: Studies that show market/sector incfluence on stock perfroma
Replies: 4
Views: 1303

Thanks Taylor, but that's not quite what I was looking for. Do you know of any study that proves total returns are more closely tied to overall asset allocation than the individual stocks/bonds one owns? Thanks!!!
by kjm
Wed Sep 09, 2009 9:23 am
Forum: Personal Finance (Not Investing)
Topic: Best Cash Back Credit Card
Replies: 43
Views: 12063

Best Cash Back Credit Card

The recent AmEx thread prompted me to create this one. Can someone recommend a credit card that returns more than 1% of purchases back to the card-holder? I'm currently using a Charles Schwab "Invest First" card. The card returns 2% of every purchase into my brokerage account. Unfortunatel...
by kjm
Tue Sep 08, 2009 7:07 am
Forum: Investing - Theory, News & General
Topic: Studies that show market/sector incfluence on stock perfroma
Replies: 4
Views: 1303

Really? No one has run into these numbers before? I'm trying to extol the virtues of indexing to a friend, and I want to be able to point to some numbers.
by kjm
Sun Sep 06, 2009 11:02 am
Forum: Investing - Theory, News & General
Topic: Studies that show market/sector incfluence on stock perfroma
Replies: 4
Views: 1303

Studies that show market/sector incfluence on stock perfroma

I remember seeing statistics somewhere online that reflect academic research done to determine how much of a stock's performance is due to the actual stock itself, how much is due to the sector's performance, and how much is due to the impact of the broader market. These statistics were expressed as...
by kjm
Mon Aug 31, 2009 9:41 pm
Forum: Investing - Theory, News & General
Topic: 401k Conundrum
Replies: 10
Views: 2923

About those BGI funds... I didn't find the literature for the BGI funds very informative. The associated reading materials lists the fund's recent performance, the top holdings, and that's about it. I don't even see a ticker symbol for those funds. What gives? Can someone tell me a little more about...
by kjm
Mon Aug 31, 2009 1:32 pm
Forum: Investing - Theory, News & General
Topic: 401k Conundrum
Replies: 10
Views: 2923

My 401k provides switched from Fidelity to JPM at the beginning of 2009. My guess is that they'll gradually phase out the Fidelity funds and replace them with JPM funds. Without getting into my AA strategy, I'd like a relatively large small cap exposure (domestic and international). I'm just weighin...
by kjm
Mon Aug 31, 2009 7:11 am
Forum: Investing - Theory, News & General
Topic: 401k Conundrum
Replies: 10
Views: 2923

Here's a comprehensive list of what my 401k offers. You bring up a good point, livesoft. I could just throw everything into the index fund that tracks the S&P 500 and then buy into an ETF once a year/quarter. That might be the best bet. Fidelity Institutional Money Market-I 07/05/1985 0.22 Barcl...
by kjm
Sun Aug 30, 2009 9:23 pm
Forum: Investing - Theory, News & General
Topic: 401k Conundrum
Replies: 10
Views: 2923

401k Conundrum

My 401k offers very few index funds. The mutual fund offerings aren't horrible, but I'm interested in indexing. Fortunately, my 401k offers a "self-directed" option. Meaning I can direct any portion of my 401k contribution to a completely unrestricted fund. I can buy individual stocks, bon...