HEDGEFUNDIE's excellent adventure Part II: The next journey

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

Post by Forester » Thu Sep 26, 2019 2:39 am

Kbg wrote:
Thu Sep 26, 2019 1:45 am
I do know the correlation with the other 2 is near zero and has done well when the other two have not. Personally I’ve been surprised at the total write off of about half the history of your backtests.
I agree with this. Gold makes sense in a strategy which leans on LT bonds, with real interest rates this low.

What about GDXJ vs UGLD? or maybe both.

schismal
Posts: 145
Joined: Sat Apr 13, 2019 8:53 pm

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

Post by schismal » Thu Sep 26, 2019 4:51 am

NMBob wrote:
Wed Sep 25, 2019 11:05 pm
dsenx - doubleline shiller enhanced cape is leveraged fund that reflects 100 percent stock and 85 percent bonds.
Interesting. Unlike PIMCO, this one is available through BrokerageLink.

Looks like DSENX is available at no cost (ER=0.82), and the institutional version (DSEEX, ER=0.57) is available for a $50 transaction fee.

samsdad
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Joined: Sat Jan 02, 2016 6:20 pm

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

Post by samsdad » Thu Sep 26, 2019 6:44 am

Forester wrote:
Thu Sep 26, 2019 2:39 am
Kbg wrote:
Thu Sep 26, 2019 1:45 am
I do know the correlation with the other 2 is near zero and has done well when the other two have not. Personally I’ve been surprised at the total write off of about half the history of your backtests.
I agree with this. Gold makes sense in a strategy which leans on LT bonds, with real interest rates this low.

What about GDXJ vs UGLD? or maybe both.
Caution: UGLD is an ETN, not an ETF.

I would appreciate additional thoughts on gold in general as a TMF substitute, however. FRED has spot gold pricing back to 1968 that can be easily downloaded into PV. However, gold price simulation before 1975 seems rather pointless, as I understand that private ownership above a de minimus amount was only allowed from that year onwards after the law changed in 1934.

It did well from what I recall from 1975 through 1982ish (due to inflation hedging as opposed to rising interest rates?) after which point holding LTT was the superior choice if I am remembering correctly.

I’d personally not touch an ETN, which leaves UGL as a 2x alternative. Otherwise, I’d probably go with IAU since I’m doing this at Fidelity. Gold miners (as opposed to spot gold) seems like a sector bet.

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

Post by privatefarmer » Thu Sep 26, 2019 4:07 pm

samsdad wrote:
Thu Sep 26, 2019 6:44 am
Forester wrote:
Thu Sep 26, 2019 2:39 am
Kbg wrote:
Thu Sep 26, 2019 1:45 am
I do know the correlation with the other 2 is near zero and has done well when the other two have not. Personally I’ve been surprised at the total write off of about half the history of your backtests.
I agree with this. Gold makes sense in a strategy which leans on LT bonds, with real interest rates this low.

What about GDXJ vs UGLD? or maybe both.
Caution: UGLD is an ETN, not an ETF.

I would appreciate additional thoughts on gold in general as a TMF substitute, however. FRED has spot gold pricing back to 1968 that can be easily downloaded into PV. However, gold price simulation before 1975 seems rather pointless, as I understand that private ownership above a de minimus amount was only allowed from that year onwards after the law changed in 1934.

It did well from what I recall from 1975 through 1982ish (due to inflation hedging as opposed to rising interest rates?) after which point holding LTT was the superior choice if I am remembering correctly.

I’d personally not touch an ETN, which leaves UGL as a 2x alternative. Otherwise, I’d probably go with IAU since I’m doing this at Fidelity. Gold miners (as opposed to spot gold) seems like a sector bet.
Thanks! Could you explain why an ETN would be undesirable as opposed to an ETF? I’m not too familiar with the differences. Appreciate the insight.

Lee_WSP
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Location: Arizona

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

Post by Lee_WSP » Thu Sep 26, 2019 4:23 pm

privatefarmer wrote:
Thu Sep 26, 2019 4:07 pm
samsdad wrote:
Thu Sep 26, 2019 6:44 am
Forester wrote:
Thu Sep 26, 2019 2:39 am
Kbg wrote:
Thu Sep 26, 2019 1:45 am
I do know the correlation with the other 2 is near zero and has done well when the other two have not. Personally I’ve been surprised at the total write off of about half the history of your backtests.
I agree with this. Gold makes sense in a strategy which leans on LT bonds, with real interest rates this low.

What about GDXJ vs UGLD? or maybe both.
Caution: UGLD is an ETN, not an ETF.

I would appreciate additional thoughts on gold in general as a TMF substitute, however. FRED has spot gold pricing back to 1968 that can be easily downloaded into PV. However, gold price simulation before 1975 seems rather pointless, as I understand that private ownership above a de minimus amount was only allowed from that year onwards after the law changed in 1934.

It did well from what I recall from 1975 through 1982ish (due to inflation hedging as opposed to rising interest rates?) after which point holding LTT was the superior choice if I am remembering correctly.

I’d personally not touch an ETN, which leaves UGL as a 2x alternative. Otherwise, I’d probably go with IAU since I’m doing this at Fidelity. Gold miners (as opposed to spot gold) seems like a sector bet.
Thanks! Could you explain why an ETN would be undesirable as opposed to an ETF? I’m not too familiar with the differences. Appreciate the insight.
ETN's can leave you high & dry, while an ETF can only close if the underlying assets go to zero.

https://www.investopedia.com/investing/etfs-vs-etns/

rascott
Posts: 1114
Joined: Wed Apr 15, 2015 10:53 am

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

Post by rascott » Thu Sep 26, 2019 4:29 pm

Lee_WSP wrote:
Thu Sep 26, 2019 4:23 pm
privatefarmer wrote:
Thu Sep 26, 2019 4:07 pm
samsdad wrote:
Thu Sep 26, 2019 6:44 am
Forester wrote:
Thu Sep 26, 2019 2:39 am
Kbg wrote:
Thu Sep 26, 2019 1:45 am
I do know the correlation with the other 2 is near zero and has done well when the other two have not. Personally I’ve been surprised at the total write off of about half the history of your backtests.
I agree with this. Gold makes sense in a strategy which leans on LT bonds, with real interest rates this low.

What about GDXJ vs UGLD? or maybe both.
Caution: UGLD is an ETN, not an ETF.

I would appreciate additional thoughts on gold in general as a TMF substitute, however. FRED has spot gold pricing back to 1968 that can be easily downloaded into PV. However, gold price simulation before 1975 seems rather pointless, as I understand that private ownership above a de minimus amount was only allowed from that year onwards after the law changed in 1934.

It did well from what I recall from 1975 through 1982ish (due to inflation hedging as opposed to rising interest rates?) after which point holding LTT was the superior choice if I am remembering correctly.

I’d personally not touch an ETN, which leaves UGL as a 2x alternative. Otherwise, I’d probably go with IAU since I’m doing this at Fidelity. Gold miners (as opposed to spot gold) seems like a sector bet.
Thanks! Could you explain why an ETN would be undesirable as opposed to an ETF? I’m not too familiar with the differences. Appreciate the insight.
ETN's can leave you high & dry, while an ETF can only close if the underlying assets go to zero.

https://www.investopedia.com/investing/etfs-vs-etns/

Yeah an ETN is only as good as its counterparty paying what they agree to. That said, you could say that a leveraged ETF is in much of the same boat, as the majority of its returns come from swap agreements, rather than any underlying asset. UPRO does at least hold actual stock, however, to some degree.

MotoTrojan
Posts: 6929
Joined: Wed Feb 01, 2017 8:39 pm

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

Post by MotoTrojan » Thu Sep 26, 2019 4:48 pm

rascott wrote:
Thu Sep 26, 2019 4:29 pm
Lee_WSP wrote:
Thu Sep 26, 2019 4:23 pm
privatefarmer wrote:
Thu Sep 26, 2019 4:07 pm
samsdad wrote:
Thu Sep 26, 2019 6:44 am
Forester wrote:
Thu Sep 26, 2019 2:39 am


I agree with this. Gold makes sense in a strategy which leans on LT bonds, with real interest rates this low.

What about GDXJ vs UGLD? or maybe both.
Caution: UGLD is an ETN, not an ETF.

I would appreciate additional thoughts on gold in general as a TMF substitute, however. FRED has spot gold pricing back to 1968 that can be easily downloaded into PV. However, gold price simulation before 1975 seems rather pointless, as I understand that private ownership above a de minimus amount was only allowed from that year onwards after the law changed in 1934.

It did well from what I recall from 1975 through 1982ish (due to inflation hedging as opposed to rising interest rates?) after which point holding LTT was the superior choice if I am remembering correctly.

I’d personally not touch an ETN, which leaves UGL as a 2x alternative. Otherwise, I’d probably go with IAU since I’m doing this at Fidelity. Gold miners (as opposed to spot gold) seems like a sector bet.
Thanks! Could you explain why an ETN would be undesirable as opposed to an ETF? I’m not too familiar with the differences. Appreciate the insight.
ETN's can leave you high & dry, while an ETF can only close if the underlying assets go to zero.

https://www.investopedia.com/investing/etfs-vs-etns/

Yeah an ETN is only as good as its counterparty paying what they agree to. That said, you could say that a leveraged ETF is in much of the same boat, as the majority of its returns come from swap agreements, rather than any underlying asset. UPRO does at least hold actual stock, however, to some degree.
If ProShares goes bust though you'd have the swap agreement still, no? An ETN would just go bye-bye.

Lee_WSP
Posts: 1208
Joined: Fri Apr 19, 2019 5:15 pm
Location: Arizona

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

Post by Lee_WSP » Thu Sep 26, 2019 4:49 pm

MotoTrojan wrote:
Thu Sep 26, 2019 4:48 pm
rascott wrote:
Thu Sep 26, 2019 4:29 pm
Lee_WSP wrote:
Thu Sep 26, 2019 4:23 pm
privatefarmer wrote:
Thu Sep 26, 2019 4:07 pm
samsdad wrote:
Thu Sep 26, 2019 6:44 am

Caution: UGLD is an ETN, not an ETF.

I would appreciate additional thoughts on gold in general as a TMF substitute, however. FRED has spot gold pricing back to 1968 that can be easily downloaded into PV. However, gold price simulation before 1975 seems rather pointless, as I understand that private ownership above a de minimus amount was only allowed from that year onwards after the law changed in 1934.

It did well from what I recall from 1975 through 1982ish (due to inflation hedging as opposed to rising interest rates?) after which point holding LTT was the superior choice if I am remembering correctly.

I’d personally not touch an ETN, which leaves UGL as a 2x alternative. Otherwise, I’d probably go with IAU since I’m doing this at Fidelity. Gold miners (as opposed to spot gold) seems like a sector bet.
Thanks! Could you explain why an ETN would be undesirable as opposed to an ETF? I’m not too familiar with the differences. Appreciate the insight.
ETN's can leave you high & dry, while an ETF can only close if the underlying assets go to zero.

https://www.investopedia.com/investing/etfs-vs-etns/

Yeah an ETN is only as good as its counterparty paying what they agree to. That said, you could say that a leveraged ETF is in much of the same boat, as the majority of its returns come from swap agreements, rather than any underlying asset. UPRO does at least hold actual stock, however, to some degree.
If ProShares goes bust though you'd have the swap agreement still, no? An ETN would just go bye-bye.
Might not be worth much, but yup. Exactly. But if it's going bust, there's some much much bigger things to worry about. Ie, stock market ending issues.

Kbg
Posts: 38
Joined: Thu Mar 23, 2017 11:33 am

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

Post by Kbg » Thu Sep 26, 2019 7:25 pm

If one is going to add some gold, then do a direct representation. Gold miners have higher stock market correlation (but by no means a big one.)

jaj2276
Posts: 472
Joined: Sat Apr 16, 2011 5:13 pm

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

Post by jaj2276 » Mon Sep 30, 2019 10:12 am

Completed my quarterly and monthly rebalances this morning. Overall portfolio is now 50/50 (OG, 21-day RP, 16-vol). The OG lost 4.81%, 21-day RP lost 3.17%, and the 16-vol lost 6.52% for September. Portfolio is up 35% since Feb 15.

caklim00
Posts: 1947
Joined: Mon May 26, 2008 10:09 am

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

Post by caklim00 » Mon Sep 30, 2019 10:13 am

I think I'm going to just swtich to entirely 43/57 UPRO/EDV quarterly rebalancing. UPRO is already up to 90% in my target volatility and I'm not sure I want to have to deal with so much rebalancing. Life has a way of getting in the way sometime. TMF is giving me some pause as well which is why I figured might as well head to EDV like Mototrojan.

JBeck
Posts: 147
Joined: Fri Apr 15, 2016 4:54 am

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

Post by JBeck » Mon Sep 30, 2019 10:39 am

NMBob wrote:
Wed Sep 25, 2019 11:05 pm
Besides PIMCO stock plus and NTSX are there any similar ETFs or OEFs? I am going to long NTSX in taxable soon.
[/quote]

not etfs, but funds that gain leveraged exposure. likely not tax efficient, 2.44 morningstar tax cost ratio.

dsenx - doubleline shiller enhanced cape is leveraged fund that reflects 100 percent stock and 85 percent bonds.
dleux - doubline shiller enhanced international cape

The Shiller Enhanced CAPE strategy offers exposure to the “cheapest sectors” of the large cap equity markets using an “Index Overlay” technique while the remaining assets are invested in a fixed income portfolio...
...The Relative CAPE Ratio subdivides the S&P 500 into 10 sectors, eliminating the 5 with the highest relative CAPE ratios, leaving what we believe are the 5 better value proposition sectors. Index methodology eliminates the one sector with the worst one-year momentum, to try and avoid the value trap...
Using a total return index swap to gain the exposure to the Barclays Shiller CAPE US Sector Index, the remaining assets are then invested into, what we believe to be, a lower-risk bond portfolio with the goal of trying to outperform cash.


https://www.morningstar.com/funds/xnas/dsenx/quote
[/quote]

To be clear, like PSLDX, DSENX has 100% of net assets tied to equities at all times and the remainder is invested in bonds? Essentially, the funds work the same way but DSENX invests in specific sectors instead of mirroring the S&P 500?

MotoTrojan
Posts: 6929
Joined: Wed Feb 01, 2017 8:39 pm

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

Post by MotoTrojan » Mon Sep 30, 2019 1:56 pm

caklim00 wrote:
Mon Sep 30, 2019 10:13 am
I think I'm going to just swtich to entirely 43/57 UPRO/EDV quarterly rebalancing. UPRO is already up to 90% in my target volatility and I'm not sure I want to have to deal with so much rebalancing. Life has a way of getting in the way sometime. TMF is giving me some pause as well which is why I figured might as well head to EDV like Mototrojan.
Welcome! I’m sleeping well. Hit rebalance today t get sync’d with quarters.

pepys
Posts: 74
Joined: Mon Nov 12, 2018 10:34 am

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

Post by pepys » Mon Sep 30, 2019 2:34 pm

Kbg wrote:
Thu Sep 26, 2019 1:45 am
privatefarmer wrote:
Thu Sep 19, 2019 10:33 am
Kbg wrote:
Wed Sep 18, 2019 10:19 pm
Long UGLD since 2014. 5 years straight in the red, overall UGLD position now up 35%. The undeniable fact is it’s a good diversifier. My version of this has slightly outperformed SPY total return by 6% points over 5yrs, lags by 12 over 3yrs and is +22% points over 1 year.

I believe this is called tracking error. :D
UGLD as a single holding would be a horrible idea. As a part of a leveraged risk parity strategy, however, it could help.
Don’t know if it will hurt or help. I do know the correlation with the other 2 is near zero and has done well when the other two have not. Personally I’ve been surprised at the total write off of about half the history of your backtests.
If it has near zero correlation, I think it would be a bad idea to hold it, unless if you expect higher long term appreciation than has been seen in the past. When considering the expense ratio (1.35%), LIBOR, and assuming the adjustment factor of around 1% for 3x funds that siamond used applies to this as well, even the relatively high real returns of ~0.8% since 1975 wouldn't seem to be worth it (and the ~0.5% real returns over a much longer period, even less so).

If it does well when stocks/bonds do really badly though, as it mostly has since 1975, and the returns aren't awful, then I agree it probably would be a good diversifier.
"Give me enough leverage and a fund on which to place it, and I shall move the world"

NMBob
Posts: 253
Joined: Thu Apr 23, 2015 8:13 pm

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

Post by NMBob » Mon Sep 30, 2019 4:28 pm

JBeck wrote:
Mon Sep 30, 2019 10:39 am
NMBob wrote:
Wed Sep 25, 2019 11:05 pm
Besides PIMCO stock plus and NTSX are there any similar ETFs or OEFs? I am going to long NTSX in taxable soon.
not etfs, but funds that gain leveraged exposure. likely not tax efficient, 2.44 morningstar tax cost ratio.

dsenx - doubleline shiller enhanced cape is leveraged fund that reflects 100 percent stock and 85 percent bonds.
dleux - doubline shiller enhanced international cape

The Shiller Enhanced CAPE strategy offers exposure to the “cheapest sectors” of the large cap equity markets using an “Index Overlay” technique while the remaining assets are invested in a fixed income portfolio...
...The Relative CAPE Ratio subdivides the S&P 500 into 10 sectors, eliminating the 5 with the highest relative CAPE ratios, leaving what we believe are the 5 better value proposition sectors. Index methodology eliminates the one sector with the worst one-year momentum, to try and avoid the value trap...
Using a total return index swap to gain the exposure to the Barclays Shiller CAPE US Sector Index, the remaining assets are then invested into, what we believe to be, a lower-risk bond portfolio with the goal of trying to outperform cash.


https://www.morningstar.com/funds/xnas/dsenx/quote
[/quote]

To be clear, like PSLDX, DSENX has 100% of net assets tied to equities at all times and the remainder is invested in bonds? Essentially, the funds work the same way but DSENX invests in specific sectors instead of mirroring the S&P 500?
[/quote]

https://doublelinefunds.com/wp-content/ ... 1569877096

yes. 100 percent exposure using swaps to reflect the rotating stock sectors of the barclays shiller index. the rest then used in an actively managed fixed income portfolio that in one recent article was said to be between short and medium term. Some of the bonds are foreign. So DSENX fixed income side does not seem to be heavy into long bonds as PSLDX "stock plus long duration" is supposed to be.

rascott
Posts: 1114
Joined: Wed Apr 15, 2015 10:53 am

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

Post by rascott » Mon Sep 30, 2019 5:29 pm

NMBob wrote:
Mon Sep 30, 2019 4:28 pm
JBeck wrote:
Mon Sep 30, 2019 10:39 am
NMBob wrote:
Wed Sep 25, 2019 11:05 pm
Besides PIMCO stock plus and NTSX are there any similar ETFs or OEFs? I am going to long NTSX in taxable soon.
not etfs, but funds that gain leveraged exposure. likely not tax efficient, 2.44 morningstar tax cost ratio.

dsenx - doubleline shiller enhanced cape is leveraged fund that reflects 100 percent stock and 85 percent bonds.
dleux - doubline shiller enhanced international cape

The Shiller Enhanced CAPE strategy offers exposure to the “cheapest sectors” of the large cap equity markets using an “Index Overlay” technique while the remaining assets are invested in a fixed income portfolio...
...The Relative CAPE Ratio subdivides the S&P 500 into 10 sectors, eliminating the 5 with the highest relative CAPE ratios, leaving what we believe are the 5 better value proposition sectors. Index methodology eliminates the one sector with the worst one-year momentum, to try and avoid the value trap...
Using a total return index swap to gain the exposure to the Barclays Shiller CAPE US Sector Index, the remaining assets are then invested into, what we believe to be, a lower-risk bond portfolio with the goal of trying to outperform cash.


https://www.morningstar.com/funds/xnas/dsenx/quote
To be clear, like PSLDX, DSENX has 100% of net assets tied to equities at all times and the remainder is invested in bonds? Essentially, the funds work the same way but DSENX invests in specific sectors instead of mirroring the S&P 500?
[/quote]

https://doublelinefunds.com/wp-content/ ... 1569877096

yes. 100 percent exposure using swaps to reflect the rotating stock sectors of the barclays shiller index. the rest then used in an actively managed fixed income portfolio that in one recent article was said to be between short and medium term. Some of the bonds are foreign. So DSENX fixed income side does not seem to be heavy into long bonds as PSLDX "stock plus long duration" is supposed to be.
[/quote]



Interesting fund.. and cheaper than the PIMCO offerings. Not sure what to think of the sector focus, but may give it a whirl. Seems like a large cap value index fund.

keith6014
Posts: 243
Joined: Thu Jan 02, 2014 11:58 pm

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

Post by keith6014 » Mon Sep 30, 2019 9:27 pm

NMBob wrote:
Mon Sep 30, 2019 4:28 pm
JBeck wrote:
Mon Sep 30, 2019 10:39 am
NMBob wrote:
Wed Sep 25, 2019 11:05 pm
Besides PIMCO stock plus and NTSX are there any similar ETFs or OEFs? I am going to long NTSX in taxable soon.
not etfs, but funds that gain leveraged exposure. likely not tax efficient, 2.44 morningstar tax cost ratio.

dsenx - doubleline shiller enhanced cape is leveraged fund that reflects 100 percent stock and 85 percent bonds.
dleux - doubline shiller enhanced international cape

The Shiller Enhanced CAPE strategy offers exposure to the “cheapest sectors” of the large cap equity markets using an “Index Overlay” technique while the remaining assets are invested in a fixed income portfolio...
...The Relative CAPE Ratio subdivides the S&P 500 into 10 sectors, eliminating the 5 with the highest relative CAPE ratios, leaving what we believe are the 5 better value proposition sectors. Index methodology eliminates the one sector with the worst one-year momentum, to try and avoid the value trap...
Using a total return index swap to gain the exposure to the Barclays Shiller CAPE US Sector Index, the remaining assets are then invested into, what we believe to be, a lower-risk bond portfolio with the goal of trying to outperform cash.


https://www.morningstar.com/funds/xnas/dsenx/quote
To be clear, like PSLDX, DSENX has 100% of net assets tied to equities at all times and the remainder is invested in bonds? Essentially, the funds work the same way but DSENX invests in specific sectors instead of mirroring the S&P 500?
[/quote]

https://doublelinefunds.com/wp-content/ ... 1569877096

yes. 100 percent exposure using swaps to reflect the rotating stock sectors of the barclays shiller index. the rest then used in an actively managed fixed income portfolio that in one recent article was said to be between short and medium term. Some of the bonds are foreign. So DSENX fixed income side does not seem to be heavy into long bonds as PSLDX "stock plus long duration" is supposed to be.
[/quote]

Thanks.
:sharebeer

JBeck
Posts: 147
Joined: Fri Apr 15, 2016 4:54 am

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

Post by JBeck » Tue Oct 01, 2019 8:18 am

Thanks for the extra details on DSENX

NoviceInvestor2019
Posts: 24
Joined: Fri Jun 14, 2019 12:41 pm

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

Post by NoviceInvestor2019 » Tue Oct 01, 2019 9:43 am

Has anyone run any numbers on ideal rebalancing strategy for someone in a taxable account? Right now I'm relying solely on individual contributions to rebalance (adding $1k twice a month, current balance around $12k) and plan to rely solely on that at least until a year has passed so that any gains are taxed at the long-term rate. But once a year comes around, what is optimal here?

schismal
Posts: 145
Joined: Sat Apr 13, 2019 8:53 pm

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

Post by schismal » Tue Oct 01, 2019 9:58 am

NoviceInvestor2019 wrote:
Tue Oct 01, 2019 9:43 am
Has anyone run any numbers on ideal rebalancing strategy for someone in a taxable account? Right now I'm relying solely on individual contributions to rebalance (adding $1k twice a month, current balance around $12k) and plan to rely solely on that at least until a year has passed so that any gains are taxed at the long-term rate. But once a year comes around, what is optimal here?
See this post for a very rough estimate of annual re-balancing in taxable: LINK

NoviceInvestor2019
Posts: 24
Joined: Fri Jun 14, 2019 12:41 pm

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

Post by NoviceInvestor2019 » Tue Oct 01, 2019 10:16 am

schismal wrote:
Tue Oct 01, 2019 9:58 am
NoviceInvestor2019 wrote:
Tue Oct 01, 2019 9:43 am
Has anyone run any numbers on ideal rebalancing strategy for someone in a taxable account? Right now I'm relying solely on individual contributions to rebalance (adding $1k twice a month, current balance around $12k) and plan to rely solely on that at least until a year has passed so that any gains are taxed at the long-term rate. But once a year comes around, what is optimal here?
See this post for a very rough estimate of annual re-balancing in taxable: LINK
Thank you - seems pretty bleak. Is the leveraged portfolio even worth it in a taxable account?

Lee_WSP
Posts: 1208
Joined: Fri Apr 19, 2019 5:15 pm
Location: Arizona

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

Post by Lee_WSP » Tue Oct 01, 2019 10:17 am

NoviceInvestor2019 wrote:
Tue Oct 01, 2019 10:16 am
schismal wrote:
Tue Oct 01, 2019 9:58 am
NoviceInvestor2019 wrote:
Tue Oct 01, 2019 9:43 am
Has anyone run any numbers on ideal rebalancing strategy for someone in a taxable account? Right now I'm relying solely on individual contributions to rebalance (adding $1k twice a month, current balance around $12k) and plan to rely solely on that at least until a year has passed so that any gains are taxed at the long-term rate. But once a year comes around, what is optimal here?
See this post for a very rough estimate of annual re-balancing in taxable: LINK
Thank you - seems pretty bleak. Is the leveraged portfolio even worth it in a taxable account?
That's like complaining that you have to pay taxes after winning the lottery.

rascott
Posts: 1114
Joined: Wed Apr 15, 2015 10:53 am

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

Post by rascott » Tue Oct 01, 2019 10:19 am

NoviceInvestor2019 wrote:
Tue Oct 01, 2019 10:16 am
schismal wrote:
Tue Oct 01, 2019 9:58 am
NoviceInvestor2019 wrote:
Tue Oct 01, 2019 9:43 am
Has anyone run any numbers on ideal rebalancing strategy for someone in a taxable account? Right now I'm relying solely on individual contributions to rebalance (adding $1k twice a month, current balance around $12k) and plan to rely solely on that at least until a year has passed so that any gains are taxed at the long-term rate. But once a year comes around, what is optimal here?
See this post for a very rough estimate of annual re-balancing in taxable: LINK
Thank you - seems pretty bleak. Is the leveraged portfolio even worth it in a taxable account?
Use futures if you need to do this in a taxable account. 60% of gains are taxed at LTCG. Many reasons why this would work better in taxable... one can hold mainly straight equity ETFs and then toss on a few micro E mini contracts/ UPRO as needed to get to your target equity exposure.

NoviceInvestor2019
Posts: 24
Joined: Fri Jun 14, 2019 12:41 pm

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

Post by NoviceInvestor2019 » Tue Oct 01, 2019 11:01 am

Lee_WSP wrote:
Tue Oct 01, 2019 10:17 am
NoviceInvestor2019 wrote:
Tue Oct 01, 2019 10:16 am
schismal wrote:
Tue Oct 01, 2019 9:58 am
NoviceInvestor2019 wrote:
Tue Oct 01, 2019 9:43 am
Has anyone run any numbers on ideal rebalancing strategy for someone in a taxable account? Right now I'm relying solely on individual contributions to rebalance (adding $1k twice a month, current balance around $12k) and plan to rely solely on that at least until a year has passed so that any gains are taxed at the long-term rate. But once a year comes around, what is optimal here?
See this post for a very rough estimate of annual re-balancing in taxable: LINK
Thank you - seems pretty bleak. Is the leveraged portfolio even worth it in a taxable account?
That's like complaining that you have to pay taxes after winning the lottery.
I was referring more to the fact that the analysis indicates a benefit of around 2.6% additional CAGR - nothing to shake a stick at, but also a little harder to justify the additional risk/uncertainty of the strategy. I hardly think this is complaining about taxes after winning the lottery.
Last edited by NoviceInvestor2019 on Tue Oct 01, 2019 11:04 am, edited 2 times in total.

NoviceInvestor2019
Posts: 24
Joined: Fri Jun 14, 2019 12:41 pm

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

Post by NoviceInvestor2019 » Tue Oct 01, 2019 11:03 am

rascott wrote:
Tue Oct 01, 2019 10:19 am
NoviceInvestor2019 wrote:
Tue Oct 01, 2019 10:16 am
schismal wrote:
Tue Oct 01, 2019 9:58 am
NoviceInvestor2019 wrote:
Tue Oct 01, 2019 9:43 am
Has anyone run any numbers on ideal rebalancing strategy for someone in a taxable account? Right now I'm relying solely on individual contributions to rebalance (adding $1k twice a month, current balance around $12k) and plan to rely solely on that at least until a year has passed so that any gains are taxed at the long-term rate. But once a year comes around, what is optimal here?
See this post for a very rough estimate of annual re-balancing in taxable: LINK
Thank you - seems pretty bleak. Is the leveraged portfolio even worth it in a taxable account?
Use futures if you need to do this in a taxable account. 60% of gains are taxed at LTCG. Many reasons why this would work better in taxable... one can hold mainly straight equity ETFs and then toss on a few micro E mini contracts/ UPRO as needed to get to your target equity exposure.
Not particularly familiar with futures trading - is this still doable in M1?

rascott
Posts: 1114
Joined: Wed Apr 15, 2015 10:53 am

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

Post by rascott » Tue Oct 01, 2019 11:11 am

NoviceInvestor2019 wrote:
Tue Oct 01, 2019 11:03 am
rascott wrote:
Tue Oct 01, 2019 10:19 am
NoviceInvestor2019 wrote:
Tue Oct 01, 2019 10:16 am
schismal wrote:
Tue Oct 01, 2019 9:58 am
NoviceInvestor2019 wrote:
Tue Oct 01, 2019 9:43 am
Has anyone run any numbers on ideal rebalancing strategy for someone in a taxable account? Right now I'm relying solely on individual contributions to rebalance (adding $1k twice a month, current balance around $12k) and plan to rely solely on that at least until a year has passed so that any gains are taxed at the long-term rate. But once a year comes around, what is optimal here?
See this post for a very rough estimate of annual re-balancing in taxable: LINK
Thank you - seems pretty bleak. Is the leveraged portfolio even worth it in a taxable account?
Use futures if you need to do this in a taxable account. 60% of gains are taxed at LTCG. Many reasons why this would work better in taxable... one can hold mainly straight equity ETFs and then toss on a few micro E mini contracts/ UPRO as needed to get to your target equity exposure.
Not particularly familiar with futures trading - is this still doable in M1?
No it's not.... you'll need a margin account. I was using TD Ameritrade/ Think or Swim .... but going to move over to Interactive Brokers.... their new Lite platform is perfect for this.

It's not really difficult at all. Basically requires one set of trades per quarter..

Lee_WSP
Posts: 1208
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Location: Arizona

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

Post by Lee_WSP » Tue Oct 01, 2019 11:44 am

NoviceInvestor2019 wrote:
Tue Oct 01, 2019 11:01 am
Lee_WSP wrote:
Tue Oct 01, 2019 10:17 am
NoviceInvestor2019 wrote:
Tue Oct 01, 2019 10:16 am
schismal wrote:
Tue Oct 01, 2019 9:58 am
NoviceInvestor2019 wrote:
Tue Oct 01, 2019 9:43 am
Has anyone run any numbers on ideal rebalancing strategy for someone in a taxable account? Right now I'm relying solely on individual contributions to rebalance (adding $1k twice a month, current balance around $12k) and plan to rely solely on that at least until a year has passed so that any gains are taxed at the long-term rate. But once a year comes around, what is optimal here?
See this post for a very rough estimate of annual re-balancing in taxable: LINK
Thank you - seems pretty bleak. Is the leveraged portfolio even worth it in a taxable account?
That's like complaining that you have to pay taxes after winning the lottery.
I was referring more to the fact that the analysis indicates a benefit of around 2.6% additional CAGR - nothing to shake a stick at, but also a little harder to justify the additional risk/uncertainty of the strategy. I hardly think this is complaining about taxes after winning the lottery.
2.6% CAGR is the difference between 100k & 500k over a relatively long period of time.

schismal
Posts: 145
Joined: Sat Apr 13, 2019 8:53 pm

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

Post by schismal » Tue Oct 01, 2019 12:05 pm

NoviceInvestor2019 wrote:
Tue Oct 01, 2019 10:16 am
schismal wrote:
Tue Oct 01, 2019 9:58 am
NoviceInvestor2019 wrote:
Tue Oct 01, 2019 9:43 am
Has anyone run any numbers on ideal rebalancing strategy for someone in a taxable account? Right now I'm relying solely on individual contributions to rebalance (adding $1k twice a month, current balance around $12k) and plan to rely solely on that at least until a year has passed so that any gains are taxed at the long-term rate. But once a year comes around, what is optimal here?
See this post for a very rough estimate of annual re-balancing in taxable: LINK
Thank you - seems pretty bleak. Is the leveraged portfolio even worth it in a taxable account?
Personal choice. This strategy has greatly outperformed my taxable Bogleheads portfolio over just the past few months, and my asset ratio is still within 1% of the target allocation. There have been times when the rebalancing delta was small, but there were other times when the rebalancing delta has been very, very big.

For me: I have just a small amount of this strategy in taxable (the majority of this play is in my Roth). I've decided to stop contributing to the taxable portion, apart from whatever is needed for annual rebalancing. If all goes well, there will come a time years down the road when I will be unwilling/unable to rebalance using only cash. At that point, I will sell and reinvest (minus tax cost) into my standard portfolio, with the majority of the strategy riding out in Roth.

If you don't have the tax sheltered space for this and you're considering taxable as a primary haven for this bet (kinda sounds like you are), then futures might be a better strategy for long-term holding.

inatangle
Posts: 5
Joined: Mon Aug 05, 2019 5:14 pm

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

Post by inatangle » Wed Oct 02, 2019 12:03 am

Just received an email from Interactive Brokers about an upcoming webinar on "Introduction to Leveraged & Inversed ETFs: How do they work? Are these a suitable short-term trading option for you?"

It's being sponsored by Direxion - relevant here because of the TMF holding recommendation.

https://register.gotowebinar.com/regist ... 9320649986

I have nothing to do with IB except I use their platform to trade and I do hold TMF as part of my 'excellent adventure'.

User avatar
Forester
Posts: 563
Joined: Sat Jan 19, 2019 2:50 pm
Location: UK

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

Post by Forester » Wed Oct 02, 2019 6:17 am

Using Leveraged ETFs to Improve Buy and Hold Return

https://www.priceactionlab.com/Blog/201 ... raged-etf/
Of course he charges for this method/signals.

Backtest period: 01/04/2010 – 06/24/2019

UPRO 30.8% cagr, -51.9% max DD
Strategy 26.32%, -24.8% max DD

unknownfuture
Posts: 35
Joined: Fri Feb 15, 2019 3:30 pm

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

Post by unknownfuture » Wed Oct 02, 2019 12:07 pm

In taxable, instead of using futures one could also simply use less than 3x leverage, by using a combination of 1x, 2x and 3x leveraged ETFs. With e.g. 1.5x leverage it's much easier to rebalance in a tax-friendly way (tax loss harvesting etc.).

caklim00
Posts: 1947
Joined: Mon May 26, 2008 10:09 am

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

Post by caklim00 » Wed Oct 02, 2019 1:55 pm

Anyone else using NTSX?

So, I'm highly considering using this fund. My current strategy is 85/15 Equity/Bonds split. 50/50 US/Intl for equity split. And tilt as hard to SCV(or multifactor as possible given 401k/403b constraints). I also have a very small portion in the hedgefundie (EDV/UPRO now) at M1 but I've just excluded this from analysis since I don't want that to muck things up to much.

The biggest place where I can shift things around are my 401k and DWs 403b. For mine I use
Large International (ACWI ExUs)
Small US (R2K)
TBM (Intermediate Bonds)

For DW
Small US (S&P 600)
TBM (Intermediate Bonds)

In IRAs I'm split between US SCV (SLYV) and Intl Small Multifactor (ISCF). I have a bunch of VFMF and other ETFs with unrealized gains in taxable as well.

If I was going to add NTSX I was thinking of 2 possibilities:
1) Buy in taxable
2) Sell US SCV (SLYV) in IRA. Buy NTSX with proceeds. Exchange some TBM for US SC (S&P 600) in DW's 403b.
3) Buy US SCV (VIOV/IJS) in taxable with extra money. Sell equivalent amount of US SCV (SLYV) in IRA and use proceeds to buy NTSX.

I'm leaning towards Option 3, since I wouldn't be losing any of my SCV tilt, but of course there is an opprotunity cost in that I could be adding to SCV or VFMF in taxable instead.

How does one calculate their Equity/Bond split using these derivative funds? Would I just take NTSX Value * .9 for US Equity and NTSX Value * .6 for Bonds. I've been considering moving to a 80/20 Equity/Bond split anyway and using Option 3 might help me get to 80/20 without selling equity in my 401k/403b.

Note: I really like PSLDX but I'm not sure if anyone has found a cheap way to buy it and NTSX seems very cheap.

MotoTrojan
Posts: 6929
Joined: Wed Feb 01, 2017 8:39 pm

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

Post by MotoTrojan » Wed Oct 02, 2019 2:18 pm

caklim00 wrote:
Wed Oct 02, 2019 1:55 pm
Anyone else using NTSX?

So, I'm highly considering using this fund. My current strategy is 85/15 Equity/Bonds split. 50/50 US/Intl for equity split. And tilt as hard to SCV(or multifactor as possible given 401k/403b constraints). I also have a very small portion in the hedgefundie (EDV/UPRO now) at M1 but I've just excluded this from analysis since I don't want that to muck things up to much.

The biggest place where I can shift things around are my 401k and DWs 403b. For mine I use
Large International (ACWI ExUs)
Small US (R2K)
TBM (Intermediate Bonds)

For DW
Small US (S&P 600)
TBM (Intermediate Bonds)

In IRAs I'm split between US SCV (SLYV) and Intl Small Multifactor (ISCF). I have a bunch of VFMF and other ETFs with unrealized gains in taxable as well.

If I was going to add NTSX I was thinking of 2 possibilities:
1) Buy in taxable
2) Sell US SCV (SLYV) in IRA. Buy NTSX with proceeds. Exchange some TBM for US SC (S&P 600) in DW's 403b.
3) Buy US SCV (VIOV/IJS) in taxable with extra money. Sell equivalent amount of US SCV (SLYV) in IRA and use proceeds to buy NTSX.

I'm leaning towards Option 3, since I wouldn't be losing any of my SCV tilt, but of course there is an opprotunity cost in that I could be adding to SCV or VFMF in taxable instead.

How does one calculate their Equity/Bond split using these derivative funds? Would I just take NTSX Value * .9 for US Equity and NTSX Value * .6 for Bonds. I've been considering moving to a 80/20 Equity/Bond split anyway and using Option 3 might help me get to 80/20 without selling equity in my 401k/403b.

Note: I really like PSLDX but I'm not sure if anyone has found a cheap way to buy it and NTSX seems very cheap.
Personally I would just consider NTSX 100% US large-cap equity. Calling it 0.6 * value for bonds seems off unless you are also accounting for the ~0.6 negative cash value. Fwiw I am considering my 43/57 UPRO/EDV variant as 100% US equity, but I also don't have a separate bond allocation outside this.

User avatar
Dr. Long
Posts: 25
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Location: Location, Location, Location

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

Post by Dr. Long » Wed Oct 02, 2019 2:19 pm

Rebal day!

07/19 5k
10/19 5.4k

Chart: https://imgur.com/a/YkkDPj1
"(It's) the economy, stupid," - James Carville

Topic Author
HEDGEFUNDIE
Posts: 3678
Joined: Sun Oct 22, 2017 2:06 pm

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

Post by HEDGEFUNDIE » Wed Oct 02, 2019 2:21 pm

caklim00 wrote:
Wed Oct 02, 2019 1:55 pm
Anyone else using NTSX?

So, I'm highly considering using this fund. My current strategy is 85/15 Equity/Bonds split. 50/50 US/Intl for equity split. And tilt as hard to SCV(or multifactor as possible given 401k/403b constraints). I also have a very small portion in the hedgefundie (EDV/UPRO now) at M1 but I've just excluded this from analysis since I don't want that to muck things up to much.

The biggest place where I can shift things around are my 401k and DWs 403b. For mine I use
Large International (ACWI ExUs)
Small US (R2K)
TBM (Intermediate Bonds)

For DW
Small US (S&P 600)
TBM (Intermediate Bonds)

In IRAs I'm split between US SCV (SLYV) and Intl Small Multifactor (ISCF). I have a bunch of VFMF and other ETFs with unrealized gains in taxable as well.

If I was going to add NTSX I was thinking of 2 possibilities:
1) Buy in taxable
2) Sell US SCV (SLYV) in IRA. Buy NTSX with proceeds. Exchange some TBM for US SC (S&P 600) in DW's 403b.
3) Buy US SCV (VIOV/IJS) in taxable with extra money. Sell equivalent amount of US SCV (SLYV) in IRA and use proceeds to buy NTSX.

I'm leaning towards Option 3, since I wouldn't be losing any of my SCV tilt, but of course there is an opprotunity cost in that I could be adding to SCV or VFMF in taxable instead.

How does one calculate their Equity/Bond split using these derivative funds? Would I just take NTSX Value * .9 for US Equity and NTSX Value * .6 for Bonds. I've been considering moving to a 80/20 Equity/Bond split anyway and using Option 3 might help me get to 80/20 without selling equity in my 401k/403b.

Note: I really like PSLDX but I'm not sure if anyone has found a cheap way to buy it and NTSX seems very cheap.
$20 commission for PSLDX at etrade

MotoTrojan
Posts: 6929
Joined: Wed Feb 01, 2017 8:39 pm

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

Post by MotoTrojan » Wed Oct 02, 2019 2:22 pm

Dr. Long wrote:
Wed Oct 02, 2019 2:19 pm
Rebal day!

07/19 5k
10/19 5.4k

Chart: https://imgur.com/a/YkkDPj1
Beat ya (got mine in yesterday AM before most of the declines in UPRO, only reduced my allocation by a couple % though).

HawkeyePierce
Posts: 741
Joined: Tue Mar 05, 2019 10:29 pm
Location: Colorado

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

Post by HawkeyePierce » Wed Oct 02, 2019 3:13 pm

caklim00 wrote:
Wed Oct 02, 2019 1:55 pm
Anyone else using NTSX?

So, I'm highly considering using this fund. My current strategy is 85/15 Equity/Bonds split. 50/50 US/Intl for equity split. And tilt as hard to SCV(or multifactor as possible given 401k/403b constraints). I also have a very small portion in the hedgefundie (EDV/UPRO now) at M1 but I've just excluded this from analysis since I don't want that to muck things up to much.

The biggest place where I can shift things around are my 401k and DWs 403b. For mine I use
Large International (ACWI ExUs)
Small US (R2K)
TBM (Intermediate Bonds)

For DW
Small US (S&P 600)
TBM (Intermediate Bonds)

In IRAs I'm split between US SCV (SLYV) and Intl Small Multifactor (ISCF). I have a bunch of VFMF and other ETFs with unrealized gains in taxable as well.

If I was going to add NTSX I was thinking of 2 possibilities:
1) Buy in taxable
2) Sell US SCV (SLYV) in IRA. Buy NTSX with proceeds. Exchange some TBM for US SC (S&P 600) in DW's 403b.
3) Buy US SCV (VIOV/IJS) in taxable with extra money. Sell equivalent amount of US SCV (SLYV) in IRA and use proceeds to buy NTSX.

I'm leaning towards Option 3, since I wouldn't be losing any of my SCV tilt, but of course there is an opprotunity cost in that I could be adding to SCV or VFMF in taxable instead.

How does one calculate their Equity/Bond split using these derivative funds? Would I just take NTSX Value * .9 for US Equity and NTSX Value * .6 for Bonds. I've been considering moving to a 80/20 Equity/Bond split anyway and using Option 3 might help me get to 80/20 without selling equity in my 401k/403b.

Note: I really like PSLDX but I'm not sure if anyone has found a cheap way to buy it and NTSX seems very cheap.
I have a pie at M1 based on NTSX with the following:

* 32% NTSX
* 16% VIOV S&P600 Small Cap Value
* 16% VSS ex-US Small Cap
* 16% VWO Emerging Markets
* 10% VWOB USD Emerging Markets Gov Bond
* 10% GLDM Gold

I think of it as 90/30 (or 100/20 if you believe Vanguard's white paper on treating EM gov bonds as equity for the purposes of asset allocation). Probably going to re-allocate VWO to something else but not sure what yet. I've also considered swapping VSS for ISCF.

JBeck
Posts: 147
Joined: Fri Apr 15, 2016 4:54 am

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

Post by JBeck » Wed Oct 02, 2019 3:54 pm

HawkeyePierce wrote:
Wed Oct 02, 2019 3:13 pm
caklim00 wrote:
Wed Oct 02, 2019 1:55 pm
Anyone else using NTSX?

So, I'm highly considering using this fund. My current strategy is 85/15 Equity/Bonds split. 50/50 US/Intl for equity split. And tilt as hard to SCV(or multifactor as possible given 401k/403b constraints). I also have a very small portion in the hedgefundie (EDV/UPRO now) at M1 but I've just excluded this from analysis since I don't want that to muck things up to much.

The biggest place where I can shift things around are my 401k and DWs 403b. For mine I use
Large International (ACWI ExUs)
Small US (R2K)
TBM (Intermediate Bonds)

For DW
Small US (S&P 600)
TBM (Intermediate Bonds)

In IRAs I'm split between US SCV (SLYV) and Intl Small Multifactor (ISCF). I have a bunch of VFMF and other ETFs with unrealized gains in taxable as well.

If I was going to add NTSX I was thinking of 2 possibilities:
1) Buy in taxable
2) Sell US SCV (SLYV) in IRA. Buy NTSX with proceeds. Exchange some TBM for US SC (S&P 600) in DW's 403b.
3) Buy US SCV (VIOV/IJS) in taxable with extra money. Sell equivalent amount of US SCV (SLYV) in IRA and use proceeds to buy NTSX.

I'm leaning towards Option 3, since I wouldn't be losing any of my SCV tilt, but of course there is an opprotunity cost in that I could be adding to SCV or VFMF in taxable instead.

How does one calculate their Equity/Bond split using these derivative funds? Would I just take NTSX Value * .9 for US Equity and NTSX Value * .6 for Bonds. I've been considering moving to a 80/20 Equity/Bond split anyway and using Option 3 might help me get to 80/20 without selling equity in my 401k/403b.

Note: I really like PSLDX but I'm not sure if anyone has found a cheap way to buy it and NTSX seems very cheap.
I have a pie at M1 based on NTSX with the following:

* 32% NTSX
* 16% VIOV S&P600 Small Cap Value
* 16% VSS ex-US Small Cap
* 16% VWO Emerging Markets
* 10% VWOB USD Emerging Markets Gov Bond
* 10% GLDM Gold

I think of it as 90/30 (or 100/20 if you believe Vanguard's white paper on treating EM gov bonds as equity for the purposes of asset allocation). Probably going to re-allocate VWO to something else but not sure what yet. I've also considered swapping VSS for ISCF.
Are there any likely scenarios where NTSX or PSLDX for that matter under perform the S&P 500 over the long term? I can't think of many...maybe counterparty risk shows in a severe crisis? Although PSLDX did great in 2009. I really like these funds.

MotoTrojan
Posts: 6929
Joined: Wed Feb 01, 2017 8:39 pm

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

Post by MotoTrojan » Wed Oct 02, 2019 3:57 pm

JBeck wrote:
Wed Oct 02, 2019 3:54 pm


Are there any likely scenarios where NTSX or PSLDX for that matter under perform the S&P 500 over the long term? I can't think of many...maybe counterparty risk shows in a severe crisis? Although PSLDX did great in 2009. I really like these funds.
You can't think of any situations where rates rise over long periods of time? PSLDX is especially susceptible due to longer duration, and NTSX is only 90% S&P500 so there is some risk of underperformance even if bonds are modestly growing. Either could get crushed, as they would've in the 1955-1982 period.

JBeck
Posts: 147
Joined: Fri Apr 15, 2016 4:54 am

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

Post by JBeck » Wed Oct 02, 2019 4:40 pm

MotoTrojan wrote:
Wed Oct 02, 2019 3:57 pm
JBeck wrote:
Wed Oct 02, 2019 3:54 pm


Are there any likely scenarios where NTSX or PSLDX for that matter under perform the S&P 500 over the long term? I can't think of many...maybe counterparty risk shows in a severe crisis? Although PSLDX did great in 2009. I really like these funds.
You can't think of any situations where rates rise over long periods of time? PSLDX is especially susceptible due to longer duration, and NTSX is only 90% S&P500 so there is some risk of underperformance even if bonds are modestly growing. Either could get crushed, as they would've in the 1955-1982 period.
No, I don't believe that rates are likely to rise uncontrollably over the long term and I do not believe that time period is very relevant considering the fed policy change. A slow rise in rates to normal levels would be a blip on the radar over the long term.

columbia
Posts: 2002
Joined: Tue Aug 27, 2013 5:30 am

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

Post by columbia » Wed Oct 02, 2019 7:02 pm

inatangle wrote:
Wed Oct 02, 2019 12:03 am
Just received an email from Interactive Brokers about an upcoming webinar on "Introduction to Leveraged & Inversed ETFs: How do they work? Are these a suitable short-term trading option for you?"

It's being sponsored by Direxion - relevant here because of the TMF holding recommendation.

https://register.gotowebinar.com/regist ... 9320649986

I have nothing to do with IB except I use their platform to trade and I do hold TMF as part of my 'excellent adventure'.
So even the sellers are discussing these products as short term trading vehicles...

rascott
Posts: 1114
Joined: Wed Apr 15, 2015 10:53 am

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

Post by rascott » Wed Oct 02, 2019 7:57 pm

HEDGEFUNDIE wrote:
Wed Oct 02, 2019 2:21 pm
caklim00 wrote:
Wed Oct 02, 2019 1:55 pm
Anyone else using NTSX?

So, I'm highly considering using this fund. My current strategy is 85/15 Equity/Bonds split. 50/50 US/Intl for equity split. And tilt as hard to SCV(or multifactor as possible given 401k/403b constraints). I also have a very small portion in the hedgefundie (EDV/UPRO now) at M1 but I've just excluded this from analysis since I don't want that to muck things up to much.

The biggest place where I can shift things around are my 401k and DWs 403b. For mine I use
Large International (ACWI ExUs)
Small US (R2K)
TBM (Intermediate Bonds)

For DW
Small US (S&P 600)
TBM (Intermediate Bonds)

In IRAs I'm split between US SCV (SLYV) and Intl Small Multifactor (ISCF). I have a bunch of VFMF and other ETFs with unrealized gains in taxable as well.

If I was going to add NTSX I was thinking of 2 possibilities:
1) Buy in taxable
2) Sell US SCV (SLYV) in IRA. Buy NTSX with proceeds. Exchange some TBM for US SC (S&P 600) in DW's 403b.
3) Buy US SCV (VIOV/IJS) in taxable with extra money. Sell equivalent amount of US SCV (SLYV) in IRA and use proceeds to buy NTSX.

I'm leaning towards Option 3, since I wouldn't be losing any of my SCV tilt, but of course there is an opprotunity cost in that I could be adding to SCV or VFMF in taxable instead.

How does one calculate their Equity/Bond split using these derivative funds? Would I just take NTSX Value * .9 for US Equity and NTSX Value * .6 for Bonds. I've been considering moving to a 80/20 Equity/Bond split anyway and using Option 3 might help me get to 80/20 without selling equity in my 401k/403b.

Note: I really like PSLDX but I'm not sure if anyone has found a cheap way to buy it and NTSX seems very cheap.
$20 commission for PSLDX at etrade

$10 commission at Ally

rascott
Posts: 1114
Joined: Wed Apr 15, 2015 10:53 am

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

Post by rascott » Wed Oct 02, 2019 8:06 pm

Forester wrote:
Wed Oct 02, 2019 6:17 am
Using Leveraged ETFs to Improve Buy and Hold Return

https://www.priceactionlab.com/Blog/201 ... raged-etf/
Of course he charges for this method/signals.

Backtest period: 01/04/2010 – 06/24/2019

UPRO 30.8% cagr, -51.9% max DD
Strategy 26.32%, -24.8% max DD

I discussed this idea in depth a while back. And am actively using it with TQQQ.

caklim00
Posts: 1947
Joined: Mon May 26, 2008 10:09 am

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

Post by caklim00 » Wed Oct 02, 2019 10:17 pm

rascott wrote:
Wed Oct 02, 2019 7:57 pm
HEDGEFUNDIE wrote:
Wed Oct 02, 2019 2:21 pm
caklim00 wrote:
Wed Oct 02, 2019 1:55 pm
Anyone else using NTSX?

So, I'm highly considering using this fund. My current strategy is 85/15 Equity/Bonds split. 50/50 US/Intl for equity split. And tilt as hard to SCV(or multifactor as possible given 401k/403b constraints). I also have a very small portion in the hedgefundie (EDV/UPRO now) at M1 but I've just excluded this from analysis since I don't want that to muck things up to much.

The biggest place where I can shift things around are my 401k and DWs 403b. For mine I use
Large International (ACWI ExUs)
Small US (R2K)
TBM (Intermediate Bonds)

For DW
Small US (S&P 600)
TBM (Intermediate Bonds)

In IRAs I'm split between US SCV (SLYV) and Intl Small Multifactor (ISCF). I have a bunch of VFMF and other ETFs with unrealized gains in taxable as well.

If I was going to add NTSX I was thinking of 2 possibilities:
1) Buy in taxable
2) Sell US SCV (SLYV) in IRA. Buy NTSX with proceeds. Exchange some TBM for US SC (S&P 600) in DW's 403b.
3) Buy US SCV (VIOV/IJS) in taxable with extra money. Sell equivalent amount of US SCV (SLYV) in IRA and use proceeds to buy NTSX.

I'm leaning towards Option 3, since I wouldn't be losing any of my SCV tilt, but of course there is an opprotunity cost in that I could be adding to SCV or VFMF in taxable instead.

How does one calculate their Equity/Bond split using these derivative funds? Would I just take NTSX Value * .9 for US Equity and NTSX Value * .6 for Bonds. I've been considering moving to a 80/20 Equity/Bond split anyway and using Option 3 might help me get to 80/20 without selling equity in my 401k/403b.

Note: I really like PSLDX but I'm not sure if anyone has found a cheap way to buy it and NTSX seems very cheap.
$20 commission for PSLDX at etrade

$10 commission at Ally
I just took a look Minimum Initial Investment $1000000 yikes

rascott
Posts: 1114
Joined: Wed Apr 15, 2015 10:53 am

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

Post by rascott » Wed Oct 02, 2019 11:20 pm

caklim00 wrote:
Wed Oct 02, 2019 10:17 pm
rascott wrote:
Wed Oct 02, 2019 7:57 pm
HEDGEFUNDIE wrote:
Wed Oct 02, 2019 2:21 pm
caklim00 wrote:
Wed Oct 02, 2019 1:55 pm
Anyone else using NTSX?

So, I'm highly considering using this fund. My current strategy is 85/15 Equity/Bonds split. 50/50 US/Intl for equity split. And tilt as hard to SCV(or multifactor as possible given 401k/403b constraints). I also have a very small portion in the hedgefundie (EDV/UPRO now) at M1 but I've just excluded this from analysis since I don't want that to muck things up to much.

The biggest place where I can shift things around are my 401k and DWs 403b. For mine I use
Large International (ACWI ExUs)
Small US (R2K)
TBM (Intermediate Bonds)

For DW
Small US (S&P 600)
TBM (Intermediate Bonds)

In IRAs I'm split between US SCV (SLYV) and Intl Small Multifactor (ISCF). I have a bunch of VFMF and other ETFs with unrealized gains in taxable as well.

If I was going to add NTSX I was thinking of 2 possibilities:
1) Buy in taxable
2) Sell US SCV (SLYV) in IRA. Buy NTSX with proceeds. Exchange some TBM for US SC (S&P 600) in DW's 403b.
3) Buy US SCV (VIOV/IJS) in taxable with extra money. Sell equivalent amount of US SCV (SLYV) in IRA and use proceeds to buy NTSX.

I'm leaning towards Option 3, since I wouldn't be losing any of my SCV tilt, but of course there is an opprotunity cost in that I could be adding to SCV or VFMF in taxable instead.

How does one calculate their Equity/Bond split using these derivative funds? Would I just take NTSX Value * .9 for US Equity and NTSX Value * .6 for Bonds. I've been considering moving to a 80/20 Equity/Bond split anyway and using Option 3 might help me get to 80/20 without selling equity in my 401k/403b.

Note: I really like PSLDX but I'm not sure if anyone has found a cheap way to buy it and NTSX seems very cheap.
$20 commission for PSLDX at etrade

$10 commission at Ally
I just took a look Minimum Initial Investment $1000000 yikes
IRA minimum is $100. You only would ever want this fund in an IRA anyway.

keith6014
Posts: 243
Joined: Thu Jan 02, 2014 11:58 pm

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

Post by keith6014 » Thu Oct 03, 2019 5:29 am

rascott wrote:
Wed Oct 02, 2019 8:06 pm
Forester wrote:
Wed Oct 02, 2019 6:17 am
Using Leveraged ETFs to Improve Buy and Hold Return

https://www.priceactionlab.com/Blog/201 ... raged-etf/
Of course he charges for this method/signals.

Backtest period: 01/04/2010 – 06/24/2019

UPRO 30.8% cagr, -51.9% max DD
Strategy 26.32%, -24.8% max DD

I discussed this idea in depth a while back. And am actively using it with TQQQ.
I missed it. What was the idea? I use TQQQ instead of UPRO.

caklim00
Posts: 1947
Joined: Mon May 26, 2008 10:09 am

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

Post by caklim00 » Thu Oct 03, 2019 8:26 am

rascott wrote:
Wed Oct 02, 2019 11:20 pm
caklim00 wrote:
Wed Oct 02, 2019 10:17 pm
rascott wrote:
Wed Oct 02, 2019 7:57 pm
HEDGEFUNDIE wrote:
Wed Oct 02, 2019 2:21 pm
caklim00 wrote:
Wed Oct 02, 2019 1:55 pm
Anyone else using NTSX?

So, I'm highly considering using this fund. My current strategy is 85/15 Equity/Bonds split. 50/50 US/Intl for equity split. And tilt as hard to SCV(or multifactor as possible given 401k/403b constraints). I also have a very small portion in the hedgefundie (EDV/UPRO now) at M1 but I've just excluded this from analysis since I don't want that to muck things up to much.

The biggest place where I can shift things around are my 401k and DWs 403b. For mine I use
Large International (ACWI ExUs)
Small US (R2K)
TBM (Intermediate Bonds)

For DW
Small US (S&P 600)
TBM (Intermediate Bonds)

In IRAs I'm split between US SCV (SLYV) and Intl Small Multifactor (ISCF). I have a bunch of VFMF and other ETFs with unrealized gains in taxable as well.

If I was going to add NTSX I was thinking of 2 possibilities:
1) Buy in taxable
2) Sell US SCV (SLYV) in IRA. Buy NTSX with proceeds. Exchange some TBM for US SC (S&P 600) in DW's 403b.
3) Buy US SCV (VIOV/IJS) in taxable with extra money. Sell equivalent amount of US SCV (SLYV) in IRA and use proceeds to buy NTSX.

I'm leaning towards Option 3, since I wouldn't be losing any of my SCV tilt, but of course there is an opprotunity cost in that I could be adding to SCV or VFMF in taxable instead.

How does one calculate their Equity/Bond split using these derivative funds? Would I just take NTSX Value * .9 for US Equity and NTSX Value * .6 for Bonds. I've been considering moving to a 80/20 Equity/Bond split anyway and using Option 3 might help me get to 80/20 without selling equity in my 401k/403b.

Note: I really like PSLDX but I'm not sure if anyone has found a cheap way to buy it and NTSX seems very cheap.
$20 commission for PSLDX at etrade

$10 commission at Ally
I just took a look Minimum Initial Investment $1000000 yikes
IRA minimum is $100. You only would ever want this fund in an IRA anyway.
Thanks. I missed that. I wish there was a SCV fund similar to NTSX. That would make these decisions super easy. I've been playing the broker bonus game and don't really have much I could move over to Ally for this. Only thing I could possibly move is an old 401k I have where I have access to a number of DFA funds included EM Value.

rascott
Posts: 1114
Joined: Wed Apr 15, 2015 10:53 am

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

Post by rascott » Thu Oct 03, 2019 8:44 am

keith6014 wrote:
Thu Oct 03, 2019 5:29 am
rascott wrote:
Wed Oct 02, 2019 8:06 pm
Forester wrote:
Wed Oct 02, 2019 6:17 am
Using Leveraged ETFs to Improve Buy and Hold Return

https://www.priceactionlab.com/Blog/201 ... raged-etf/
Of course he charges for this method/signals.

Backtest period: 01/04/2010 – 06/24/2019

UPRO 30.8% cagr, -51.9% max DD
Strategy 26.32%, -24.8% max DD

I discussed this idea in depth a while back. And am actively using it with TQQQ.
I missed it. What was the idea? I use TQQQ instead of UPRO.

Holding a 3x LETF (equity) only.... and holding it when the SP500 is trading above its 200 day moving average. It's basic trend following strategy that's been around forever.

See here.... and read the linked white papers:

https://seekingalpha.com/article/422616 ... since-1928

caklim00
Posts: 1947
Joined: Mon May 26, 2008 10:09 am

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

Post by caklim00 » Thu Oct 03, 2019 10:10 am

Anyone ever consider Pimcostocksplus small: PSCSX https://www.morningstar.com/funds/xnas/pscsx/quote

schismal
Posts: 145
Joined: Sat Apr 13, 2019 8:53 pm

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

Post by schismal » Thu Oct 03, 2019 10:54 am

caklim00 wrote:
Thu Oct 03, 2019 10:10 am
Anyone ever consider Pimcostocksplus small: PSCSX https://www.morningstar.com/funds/xnas/pscsx/quote
All of its outperformance came from 2009-10. After that, it's been dead even with IJR.

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