HEDGEFUNDIE's excellent adventure Part II: The next journey

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

Post by MotoTrojan » Fri Dec 13, 2019 5:32 pm

What have I started!

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

Post by SVT » Fri Dec 13, 2019 5:48 pm

I'm still at the original 40/60 since Feb, although it's drifted to 50/50 and has been there for a couple of months now. I'm up 50% and $40k.

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

Post by rudeboy » Fri Dec 13, 2019 6:57 pm

I've been away from the board for awhile. Can someone post some cliffnotes as to how this excellent adventure is progressing, how many people have joined in, and all that good stuff? Impressions are fine.

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

Post by SVT » Fri Dec 13, 2019 7:02 pm

rudeboy wrote:
Fri Dec 13, 2019 6:57 pm
I've been away from the board for awhile. Can someone post some cliffnotes as to how this excellent adventure is progressing, how many people have joined in, and all that good stuff? Impressions are fine.
No one knows how many have joined in but it seems like several of those that have, have changed their minds in various ways; either substituting funds or getting out completely.

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

Post by MotoTrojan » Fri Dec 13, 2019 7:05 pm

SVT wrote:
Fri Dec 13, 2019 5:48 pm
I'm still at the original 40/60 since Feb, although it's drifted to 50/50 and has been there for a couple of months now. I'm up 50% and $40k.
Good luck. If the market dumps and treasuries pop I would consider the 55/45 myself for a nice rebalance.

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

Post by butricksaid » Fri Dec 13, 2019 8:04 pm

SVT wrote:
Fri Dec 13, 2019 5:48 pm
I'm still at the original 40/60 since Feb, although it's drifted to 50/50 and has been there for a couple of months now. I'm up 50% and $40k.
It's a bit easier to tolerate the recent seesaw movements if you have a thick padding of gains to fall against. Your risk-reward trade-off is much better than mine since I only discovered and started the strategy in August. Again; great strategy, wrong time.

HawkeyePierce
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Location: Colorado

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

Post by HawkeyePierce » Fri Dec 13, 2019 9:09 pm

I'm staying in with MotoTrojan's 43/57 UPRO/EDV. 10% of my portfolio, all in Roth space. Up a nice 12.3% since I got in.

The rest of my portfolio is 90/10 with a domestic small-cap value tilt and a mix of ex-US small cap and emerging markets for my intl allocation.

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

Post by MotoTrojan » Fri Dec 13, 2019 9:54 pm

HawkeyePierce wrote:
Fri Dec 13, 2019 9:09 pm
I'm staying in with MotoTrojan's 43/57 UPRO/EDV. 10% of my portfolio, all in Roth space. Up a nice 12.3% since I got in.

The rest of my portfolio is 90/10 with a domestic small-cap value tilt and a mix of ex-US small cap and emerging markets for my intl allocation.
Glad it lives on without me :).

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

Post by guyinlaw » Fri Dec 13, 2019 10:30 pm

MotoTrojan wrote:
Fri Dec 13, 2019 9:54 pm
HawkeyePierce wrote:
Fri Dec 13, 2019 9:09 pm
I'm staying in with MotoTrojan's 43/57 UPRO/EDV. 10% of my portfolio, all in Roth space. Up a nice 12.3% since I got in.

The rest of my portfolio is 90/10 with a domestic small-cap value tilt and a mix of ex-US small cap and emerging markets for my intl allocation.
Glad it lives on without me :).
Do you still think 43/57 UPRO/EDV is the right mix? From the last EDV peak in June-Aug 2012 ($135) - Portfolio Visualizer suggests 52/48 or even 65/35.

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willthrill81
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by willthrill81 » Fri Dec 13, 2019 10:46 pm

butricksaid wrote:
Fri Dec 13, 2019 8:04 pm
SVT wrote:
Fri Dec 13, 2019 5:48 pm
I'm still at the original 40/60 since Feb, although it's drifted to 50/50 and has been there for a couple of months now. I'm up 50% and $40k.
It's a bit easier to tolerate the recent seesaw movements if you have a thick padding of gains to fall against. Your risk-reward trade-off is much better than mine since I only discovered and started the strategy in August. Again; great strategy, wrong time.
I don't follow. A 40/60 mix of UPRO/TMF from August through November returned 15.29%, and a 55/45 mix of the same returned a nearly identical 15.24%.
“It's a dangerous business, Frodo, going out your door. You step onto the road, and if you don't keep your feet, there's no knowing where you might be swept off to.” J.R.R. Tolkien,The Lord of the Rings

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

Post by MotoTrojan » Fri Dec 13, 2019 10:48 pm

guyinlaw wrote:
Fri Dec 13, 2019 10:30 pm
MotoTrojan wrote:
Fri Dec 13, 2019 9:54 pm
HawkeyePierce wrote:
Fri Dec 13, 2019 9:09 pm
I'm staying in with MotoTrojan's 43/57 UPRO/EDV. 10% of my portfolio, all in Roth space. Up a nice 12.3% since I got in.

The rest of my portfolio is 90/10 with a domestic small-cap value tilt and a mix of ex-US small cap and emerging markets for my intl allocation.
Glad it lives on without me :).
Do you still think 43/57 UPRO/EDV is the right mix? From the last EDV peak in June-Aug 2012 ($135) - Portfolio Visualizer suggests 52/48 or even 65/35.
Suggests it for what criteria? Any optimization that only looks at an equity bull will skew towards equity. I liked it, but there are many options and justifications, but only looking at the last decade is a bad start.

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

Post by Busdrvr » Fri Dec 13, 2019 10:51 pm

I abandoned the edv for tmf at 55/45 per HF’s plan. All in Roth and will plan on adding to it thru tax day.

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willthrill81
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by willthrill81 » Fri Dec 13, 2019 10:53 pm

MotoTrojan wrote:
Fri Dec 13, 2019 10:48 pm
guyinlaw wrote:
Fri Dec 13, 2019 10:30 pm
MotoTrojan wrote:
Fri Dec 13, 2019 9:54 pm
HawkeyePierce wrote:
Fri Dec 13, 2019 9:09 pm
I'm staying in with MotoTrojan's 43/57 UPRO/EDV. 10% of my portfolio, all in Roth space. Up a nice 12.3% since I got in.

The rest of my portfolio is 90/10 with a domestic small-cap value tilt and a mix of ex-US small cap and emerging markets for my intl allocation.
Glad it lives on without me :).
Do you still think 43/57 UPRO/EDV is the right mix? From the last EDV peak in June-Aug 2012 ($135) - Portfolio Visualizer suggests 52/48 or even 65/35.
Suggests it for what criteria? Any optimization that only looks at an equity bull will skew towards equity. I liked it, but there are many options and justifications, but only looking at the last decade is a bad start.
That's why I opted to use a target volatility approach rather than a static AA. Rather than using distant historic data to determine the appropriate AA, it uses recent historic data (i.e. prior month's). Some may berate this method, but any decision regarding one's AA is largely driven by historic data.
“It's a dangerous business, Frodo, going out your door. You step onto the road, and if you don't keep your feet, there's no knowing where you might be swept off to.” J.R.R. Tolkien,The Lord of the Rings

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

Post by MotoTrojan » Fri Dec 13, 2019 10:59 pm

willthrill81 wrote:
Fri Dec 13, 2019 10:53 pm
MotoTrojan wrote:
Fri Dec 13, 2019 10:48 pm
guyinlaw wrote:
Fri Dec 13, 2019 10:30 pm
MotoTrojan wrote:
Fri Dec 13, 2019 9:54 pm
HawkeyePierce wrote:
Fri Dec 13, 2019 9:09 pm
I'm staying in with MotoTrojan's 43/57 UPRO/EDV. 10% of my portfolio, all in Roth space. Up a nice 12.3% since I got in.

The rest of my portfolio is 90/10 with a domestic small-cap value tilt and a mix of ex-US small cap and emerging markets for my intl allocation.
Glad it lives on without me :).
Do you still think 43/57 UPRO/EDV is the right mix? From the last EDV peak in June-Aug 2012 ($135) - Portfolio Visualizer suggests 52/48 or even 65/35.
Suggests it for what criteria? Any optimization that only looks at an equity bull will skew towards equity. I liked it, but there are many options and justifications, but only looking at the last decade is a bad start.
That's why I opted to use a target volatility approach rather than a static AA. Rather than using distant historic data to determine the appropriate AA, it uses recent historic data (i.e. prior month's). Some may berate this method, but any decision regarding one's AA is largely driven by historic data.
Quite like your approach (with a small portion of course) but I’m trying to make conscious decisions to minimize the time I spend fussing with my finances. Nasty habit :).

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willthrill81
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by willthrill81 » Fri Dec 13, 2019 11:05 pm

MotoTrojan wrote:
Fri Dec 13, 2019 10:59 pm
willthrill81 wrote:
Fri Dec 13, 2019 10:53 pm
MotoTrojan wrote:
Fri Dec 13, 2019 10:48 pm
guyinlaw wrote:
Fri Dec 13, 2019 10:30 pm
MotoTrojan wrote:
Fri Dec 13, 2019 9:54 pm


Glad it lives on without me :).
Do you still think 43/57 UPRO/EDV is the right mix? From the last EDV peak in June-Aug 2012 ($135) - Portfolio Visualizer suggests 52/48 or even 65/35.
Suggests it for what criteria? Any optimization that only looks at an equity bull will skew towards equity. I liked it, but there are many options and justifications, but only looking at the last decade is a bad start.
That's why I opted to use a target volatility approach rather than a static AA. Rather than using distant historic data to determine the appropriate AA, it uses recent historic data (i.e. prior month's). Some may berate this method, but any decision regarding one's AA is largely driven by historic data.
Quite like your approach (with a small portion of course) but I’m trying to make conscious decisions to minimize the time I spend fussing with my finances. Nasty habit :).
I can certainly see that. Since I'm a trend follower anyway, it only takes me an additional ~45 seconds to check what the new AA should be and change it in M1 Finance.

If I took a hands-off approach, I don't think that I would want to look at the performance at all more than once per year. Even my approach is volatile as heck. In the last five months, I've swung from -8% to +17% (now). :shock:
“It's a dangerous business, Frodo, going out your door. You step onto the road, and if you don't keep your feet, there's no knowing where you might be swept off to.” J.R.R. Tolkien,The Lord of the Rings

keith6014
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by keith6014 » Fri Dec 13, 2019 11:24 pm

For the people who constantly rebalance, how do you measure performance? I have amended from UPRO to TQQQ; TMF to EDV and back to TMF several times. I did 35 trades from August till now. :P


Debating if I should use https://goo.gl/5NSnKi from https://www.bogleheads.org/wiki/Calcula ... al_returns

Would love to compare returns from S&P and my portfolio with rebalances.

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willthrill81
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by willthrill81 » Fri Dec 13, 2019 11:41 pm

keith6014 wrote:
Fri Dec 13, 2019 11:24 pm
For the people who constantly rebalance, how do you measure performance?
M1 Finance shows me what my YTD return is. I could do it myself in Excel if I wanted to, but I don't.
“It's a dangerous business, Frodo, going out your door. You step onto the road, and if you don't keep your feet, there's no knowing where you might be swept off to.” J.R.R. Tolkien,The Lord of the Rings

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

Post by HEDGEFUNDIE » Sat Dec 14, 2019 12:21 am

MotoTrojan wrote:
Fri Dec 13, 2019 10:48 pm
guyinlaw wrote:
Fri Dec 13, 2019 10:30 pm
MotoTrojan wrote:
Fri Dec 13, 2019 9:54 pm
HawkeyePierce wrote:
Fri Dec 13, 2019 9:09 pm
I'm staying in with MotoTrojan's 43/57 UPRO/EDV. 10% of my portfolio, all in Roth space. Up a nice 12.3% since I got in.

The rest of my portfolio is 90/10 with a domestic small-cap value tilt and a mix of ex-US small cap and emerging markets for my intl allocation.
Glad it lives on without me :).
Do you still think 43/57 UPRO/EDV is the right mix? From the last EDV peak in June-Aug 2012 ($135) - Portfolio Visualizer suggests 52/48 or even 65/35.
Suggests it for what criteria? Any optimization that only looks at an equity bull will skew towards equity. I liked it, but there are many options and justifications, but only looking at the last decade is a bad start.
Your objection basically amounts to, “I don’t like this because it’s making too much money”

rascott
Posts: 1249
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by rascott » Sat Dec 14, 2019 12:42 am

willthrill81 wrote:
Fri Dec 13, 2019 11:05 pm
MotoTrojan wrote:
Fri Dec 13, 2019 10:59 pm
willthrill81 wrote:
Fri Dec 13, 2019 10:53 pm
MotoTrojan wrote:
Fri Dec 13, 2019 10:48 pm
guyinlaw wrote:
Fri Dec 13, 2019 10:30 pm


Do you still think 43/57 UPRO/EDV is the right mix? From the last EDV peak in June-Aug 2012 ($135) - Portfolio Visualizer suggests 52/48 or even 65/35.
Suggests it for what criteria? Any optimization that only looks at an equity bull will skew towards equity. I liked it, but there are many options and justifications, but only looking at the last decade is a bad start.
That's why I opted to use a target volatility approach rather than a static AA. Rather than using distant historic data to determine the appropriate AA, it uses recent historic data (i.e. prior month's). Some may berate this method, but any decision regarding one's AA is largely driven by historic data.
Quite like your approach (with a small portion of course) but I’m trying to make conscious decisions to minimize the time I spend fussing with my finances. Nasty habit :).
I can certainly see that. Since I'm a trend follower anyway, it only takes me an additional ~45 seconds to check what the new AA should be and change it in M1 Finance.

If I took a hands-off approach, I don't think that I would want to look at the performance at all more than once per year. Even my approach is volatile as heck. In the last five months, I've swung from -8% to +17% (now). :shock:

You should see my 100% TQQQ trend following portfolio. :beer

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

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

Post by rascott » Sat Dec 14, 2019 12:48 am

HEDGEFUNDIE wrote:
Sat Dec 14, 2019 12:21 am
MotoTrojan wrote:
Fri Dec 13, 2019 10:48 pm
guyinlaw wrote:
Fri Dec 13, 2019 10:30 pm
MotoTrojan wrote:
Fri Dec 13, 2019 9:54 pm
HawkeyePierce wrote:
Fri Dec 13, 2019 9:09 pm
I'm staying in with MotoTrojan's 43/57 UPRO/EDV. 10% of my portfolio, all in Roth space. Up a nice 12.3% since I got in.

The rest of my portfolio is 90/10 with a domestic small-cap value tilt and a mix of ex-US small cap and emerging markets for my intl allocation.
Glad it lives on without me :).
Do you still think 43/57 UPRO/EDV is the right mix? From the last EDV peak in June-Aug 2012 ($135) - Portfolio Visualizer suggests 52/48 or even 65/35.
Suggests it for what criteria? Any optimization that only looks at an equity bull will skew towards equity. I liked it, but there are many options and justifications, but only looking at the last decade is a bad start.
Your objection basically amounts to, “I don’t like this because it’s making too much money”
I'm staying the course with 55/45 with you.... along with three other leveraged portfolios (TQQQ trend following, a futures account (which I think will be a long term PITA), and some PIMCO funds.

I think I'll likely drop the futures accounts at some point. It's been fine, but after doing it for bit I could see it getting real old. And difficult to stick with. PIMCO is obviously paying them to do it, set and forget..... and the trend following is just about as passive as anything else for probably 85% of the time, taking very little time.

If nothing else, I've leaned a lot this year about these different products..... including not to be afraid of holding them long term. For that you are owed a big thank you.

Topic Author
HEDGEFUNDIE
Posts: 3973
Joined: Sun Oct 22, 2017 2:06 pm

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

Post by HEDGEFUNDIE » Sat Dec 14, 2019 1:02 am

rascott wrote:
Sat Dec 14, 2019 12:48 am
HEDGEFUNDIE wrote:
Sat Dec 14, 2019 12:21 am
MotoTrojan wrote:
Fri Dec 13, 2019 10:48 pm
guyinlaw wrote:
Fri Dec 13, 2019 10:30 pm
MotoTrojan wrote:
Fri Dec 13, 2019 9:54 pm


Glad it lives on without me :).
Do you still think 43/57 UPRO/EDV is the right mix? From the last EDV peak in June-Aug 2012 ($135) - Portfolio Visualizer suggests 52/48 or even 65/35.
Suggests it for what criteria? Any optimization that only looks at an equity bull will skew towards equity. I liked it, but there are many options and justifications, but only looking at the last decade is a bad start.
Your objection basically amounts to, “I don’t like this because it’s making too much money”
I'm staying the course with 55/45 with you.... along with three other leveraged portfolios (TQQQ trend following, a futures account (which I think will be a long term PITA), and some PIMCO funds.

I think I'll likely drop the futures accounts at some point. It's been fine, but after doing it for bit I could see it getting real old. And difficult to stick with. PIMCO is obviously paying them to do it, set and forget..... and the trend following is just about as passive as anything else for probably 85% of the time, taking very little time.

If nothing else, I've leaned a lot this year about these different products..... including not to be afraid of holding them long term. For that you are owed a big thank you.
You’re welcome! Nothing like trying it for yourself

schismal
Posts: 164
Joined: Sat Apr 13, 2019 8:53 pm

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

Post by schismal » Sat Dec 14, 2019 6:49 am

Well, I'm still here.

My Roth is split between PSLDX and 55/45 UPRO/TMF.

In the summer, I'd started a small taxable pie that's 50/25/25 UPRO/TMF/EDV. I'm not actively contributing to this anymore, but I do toss a few hundred into it quarterly to rebalance, and I'll just let it ride until rebalancing becomes an issue. Interestingly, this allocation has been very stable compared to my Roth, so it hasn't yet moved more than a few percentage points off target. EDV does kick off distributions, unlike the leveraged funds. But aside from that, the relative stability so far has made this a superior taxable strategy compared to the OG. So that's another Moto idea still living on. ;)

caklim00
Posts: 1981
Joined: Mon May 26, 2008 10:09 am

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

Post by caklim00 » Sat Dec 14, 2019 8:23 am

rascott wrote:
Sat Dec 14, 2019 12:48 am
I think I'll likely drop the futures accounts at some point. It's been fine, but after doing it for bit I could see it getting real old. And difficult to stick with.
Haha, yeah I've learned a lot since I bought 2 ZN contracts. Like you need to make sure and have much more cushion than the original margin requirements.

I've had a couple of times where I've gotten an email like this from IKBR:
Margin cushion: 8.62% remaining
When P/L can swing 40% in one day making sure you have adequate backup cash is definitely an issue with futures.

MotoTrojan
Posts: 7559
Joined: Wed Feb 01, 2017 8:39 pm

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

Post by MotoTrojan » Sat Dec 14, 2019 10:59 am

HEDGEFUNDIE wrote:
Sat Dec 14, 2019 12:21 am
MotoTrojan wrote:
Fri Dec 13, 2019 10:48 pm
guyinlaw wrote:
Fri Dec 13, 2019 10:30 pm
MotoTrojan wrote:
Fri Dec 13, 2019 9:54 pm
HawkeyePierce wrote:
Fri Dec 13, 2019 9:09 pm
I'm staying in with MotoTrojan's 43/57 UPRO/EDV. 10% of my portfolio, all in Roth space. Up a nice 12.3% since I got in.

The rest of my portfolio is 90/10 with a domestic small-cap value tilt and a mix of ex-US small cap and emerging markets for my intl allocation.
Glad it lives on without me :).
Do you still think 43/57 UPRO/EDV is the right mix? From the last EDV peak in June-Aug 2012 ($135) - Portfolio Visualizer suggests 52/48 or even 65/35.
Suggests it for what criteria? Any optimization that only looks at an equity bull will skew towards equity. I liked it, but there are many options and justifications, but only looking at the last decade is a bad start.
Your objection basically amounts to, “I don’t like this because it’s making too much money”
I have no idea what you’re talking about.

caklim00
Posts: 1981
Joined: Mon May 26, 2008 10:09 am

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

Post by caklim00 » Sat Dec 14, 2019 2:04 pm

MotoTrojan wrote:
Sat Dec 14, 2019 10:59 am
HEDGEFUNDIE wrote:
Sat Dec 14, 2019 12:21 am
MotoTrojan wrote:
Fri Dec 13, 2019 10:48 pm
guyinlaw wrote:
Fri Dec 13, 2019 10:30 pm
MotoTrojan wrote:
Fri Dec 13, 2019 9:54 pm


Glad it lives on without me :).
Do you still think 43/57 UPRO/EDV is the right mix? From the last EDV peak in June-Aug 2012 ($135) - Portfolio Visualizer suggests 52/48 or even 65/35.
Suggests it for what criteria? Any optimization that only looks at an equity bull will skew towards equity. I liked it, but there are many options and justifications, but only looking at the last decade is a bad start.
Your objection basically amounts to, “I don’t like this because it’s making too much money”
I have no idea what you’re talking about.
I don't have a clue either. Like Moto I'm putting my faith into diversified SCV tilts. The more I put into this (hedgefundie adventure), the less I can put into funds such as SLYV/VIOV, ISCF or AVDV, or VFMF. I also have no desire to be > 100% equity (or even 100% anymore for that matter since I'm almost 40 now). I'm now just adding a bit of leverage to increase my bond allocation. I think Moto is saying he has more confidence a SCV tilted portfolio will outperform LETF S&P500 with super long bonds. I get the idea of long term bonds but I'll even admit that I'm not sure how much more room it has to run. That plus I already hold mostly intermediate bonds got me thinking I wanted to hold ZN over ZB. Perhaps it doens't provide quite as much protection if equities plummet but its a risk I'm going to take.

Hydromod
Posts: 283
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by Hydromod » Sat Dec 14, 2019 2:13 pm

willthrill81 wrote:
Fri Dec 13, 2019 10:46 pm
butricksaid wrote:
Fri Dec 13, 2019 8:04 pm
SVT wrote:
Fri Dec 13, 2019 5:48 pm
I'm still at the original 40/60 since Feb, although it's drifted to 50/50 and has been there for a couple of months now. I'm up 50% and $40k.
It's a bit easier to tolerate the recent seesaw movements if you have a thick padding of gains to fall against. Your risk-reward trade-off is much better than mine since I only discovered and started the strategy in August. Again; great strategy, wrong time.
I don't follow. A 40/60 mix of UPRO/TMF from August through November returned 15.29%, and a 55/45 mix of the same returned a nearly identical 15.24%.
August saw a huge bump, end of the month was up 11 percent over start of month. Huge difference to now depending on start date.

butricksaid
Posts: 30
Joined: Fri Nov 03, 2017 11:24 pm

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

Post by butricksaid » Sat Dec 14, 2019 6:07 pm

willthrill81 wrote:
Fri Dec 13, 2019 10:46 pm
butricksaid wrote:
Fri Dec 13, 2019 8:04 pm
SVT wrote:
Fri Dec 13, 2019 5:48 pm
I'm still at the original 40/60 since Feb, although it's drifted to 50/50 and has been there for a couple of months now. I'm up 50% and $40k.
It's a bit easier to tolerate the recent seesaw movements if you have a thick padding of gains to fall against. Your risk-reward trade-off is much better than mine since I only discovered and started the strategy in August. Again; great strategy, wrong time.
I don't follow. A 40/60 mix of UPRO/TMF from August through November returned 15.29%, and a 55/45 mix of the same returned a nearly identical 15.24%.
I'm not talking about allocation percentage, I'm talking about date of entry.
Starting in Feb + 5 months yielded a gradual climb in gains.
Starting in August + 5 months yielded an initial climb followed by sideways market meaning the risks stayed the same, while the reward dwindled a lot faster than Feb + 5 months.

butricksaid
Posts: 30
Joined: Fri Nov 03, 2017 11:24 pm

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

Post by butricksaid » Sat Dec 14, 2019 6:08 pm

Hydromod wrote:
Sat Dec 14, 2019 2:13 pm
willthrill81 wrote:
Fri Dec 13, 2019 10:46 pm
butricksaid wrote:
Fri Dec 13, 2019 8:04 pm
SVT wrote:
Fri Dec 13, 2019 5:48 pm
I'm still at the original 40/60 since Feb, although it's drifted to 50/50 and has been there for a couple of months now. I'm up 50% and $40k.
It's a bit easier to tolerate the recent seesaw movements if you have a thick padding of gains to fall against. Your risk-reward trade-off is much better than mine since I only discovered and started the strategy in August. Again; great strategy, wrong time.
I don't follow. A 40/60 mix of UPRO/TMF from August through November returned 15.29%, and a 55/45 mix of the same returned a nearly identical 15.24%.
August saw a huge bump, end of the month was up 11 percent over start of month. Huge difference to now depending on start date.
Yeah, but that was it. I could've exited end of August with the same gains as I exited in December. I wasn't willing to take the risk any longer with only 11% gain after a prolonged period of hovering at 11% for months.

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willthrill81
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by willthrill81 » Sat Dec 14, 2019 6:17 pm

butricksaid wrote:
Sat Dec 14, 2019 6:08 pm
Hydromod wrote:
Sat Dec 14, 2019 2:13 pm
willthrill81 wrote:
Fri Dec 13, 2019 10:46 pm
butricksaid wrote:
Fri Dec 13, 2019 8:04 pm
SVT wrote:
Fri Dec 13, 2019 5:48 pm
I'm still at the original 40/60 since Feb, although it's drifted to 50/50 and has been there for a couple of months now. I'm up 50% and $40k.
It's a bit easier to tolerate the recent seesaw movements if you have a thick padding of gains to fall against. Your risk-reward trade-off is much better than mine since I only discovered and started the strategy in August. Again; great strategy, wrong time.
I don't follow. A 40/60 mix of UPRO/TMF from August through November returned 15.29%, and a 55/45 mix of the same returned a nearly identical 15.24%.
August saw a huge bump, end of the month was up 11 percent over start of month. Huge difference to now depending on start date.
Yeah, but that was it. I could've exited end of August with the same gains as I exited in December. I wasn't willing to take the risk any longer with only 11% gain after a prolonged period of hovering at 11% for months.
If you can't stick with the strategy despite a 0% return for a few months, then this is definitely not a good strategy for you.
“It's a dangerous business, Frodo, going out your door. You step onto the road, and if you don't keep your feet, there's no knowing where you might be swept off to.” J.R.R. Tolkien,The Lord of the Rings

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

Post by MotoTrojan » Sat Dec 14, 2019 9:25 pm

willthrill81 wrote:
Sat Dec 14, 2019 6:17 pm
butricksaid wrote:
Sat Dec 14, 2019 6:08 pm
Hydromod wrote:
Sat Dec 14, 2019 2:13 pm
willthrill81 wrote:
Fri Dec 13, 2019 10:46 pm
butricksaid wrote:
Fri Dec 13, 2019 8:04 pm


It's a bit easier to tolerate the recent seesaw movements if you have a thick padding of gains to fall against. Your risk-reward trade-off is much better than mine since I only discovered and started the strategy in August. Again; great strategy, wrong time.
I don't follow. A 40/60 mix of UPRO/TMF from August through November returned 15.29%, and a 55/45 mix of the same returned a nearly identical 15.24%.
August saw a huge bump, end of the month was up 11 percent over start of month. Huge difference to now depending on start date.
Yeah, but that was it. I could've exited end of August with the same gains as I exited in December. I wasn't willing to take the risk any longer with only 11% gain after a prolonged period of hovering at 11% for months.
If you can't stick with the strategy despite a 0% return for a few months, then this is definitely not a good strategy for you.
This. I didn’t exit solely due to the run up, although it was convenient. I fully expected years of double digit underperformance, just as I do with other tilts. That’s what diversification is.

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

Post by Gemini » Sat Dec 14, 2019 10:56 pm

caklim00 wrote:
Sat Dec 14, 2019 2:04 pm
MotoTrojan wrote:
Sat Dec 14, 2019 10:59 am
HEDGEFUNDIE wrote:
Sat Dec 14, 2019 12:21 am
MotoTrojan wrote:
Fri Dec 13, 2019 10:48 pm
guyinlaw wrote:
Fri Dec 13, 2019 10:30 pm


Do you still think 43/57 UPRO/EDV is the right mix? From the last EDV peak in June-Aug 2012 ($135) - Portfolio Visualizer suggests 52/48 or even 65/35.
Suggests it for what criteria? Any optimization that only looks at an equity bull will skew towards equity. I liked it, but there are many options and justifications, but only looking at the last decade is a bad start.
Your objection basically amounts to, “I don’t like this because it’s making too much money”
I have no idea what you’re talking about.
I don't have a clue either. Like Moto I'm putting my faith into diversified SCV tilts. The more I put into this (hedgefundie adventure), the less I can put into funds such as SLYV/VIOV, ISCF or AVDV, or VFMF. I also have no desire to be > 100% equity (or even 100% anymore for that matter since I'm almost 40 now). I'm now just adding a bit of leverage to increase my bond allocation. I think Moto is saying he has more confidence a SCV tilted portfolio will outperform LETF S&P500 with super long bonds. I get the idea of long term bonds but I'll even admit that I'm not sure how much more room it has to run. That plus I already hold mostly intermediate bonds got me thinking I wanted to hold ZN over ZB. Perhaps it doens't provide quite as much protection if equities plummet but its a risk I'm going to take.
40 is the new 30.

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

Post by butricksaid » Sun Dec 15, 2019 3:10 am

willthrill81 wrote:
Sat Dec 14, 2019 6:17 pm
butricksaid wrote:
Sat Dec 14, 2019 6:08 pm
Hydromod wrote:
Sat Dec 14, 2019 2:13 pm
willthrill81 wrote:
Fri Dec 13, 2019 10:46 pm
butricksaid wrote:
Fri Dec 13, 2019 8:04 pm


It's a bit easier to tolerate the recent seesaw movements if you have a thick padding of gains to fall against. Your risk-reward trade-off is much better than mine since I only discovered and started the strategy in August. Again; great strategy, wrong time.
I don't follow. A 40/60 mix of UPRO/TMF from August through November returned 15.29%, and a 55/45 mix of the same returned a nearly identical 15.24%.
August saw a huge bump, end of the month was up 11 percent over start of month. Huge difference to now depending on start date.
Yeah, but that was it. I could've exited end of August with the same gains as I exited in December. I wasn't willing to take the risk any longer with only 11% gain after a prolonged period of hovering at 11% for months.
If you can't stick with the strategy despite a 0% return for a few months, then this is definitely not a good strategy for you.
Wow, insightful. It's almost like that was exactly why I exited as I stated earlier. The risk was not worth the reward so I exited. Did I ever say the strategy was poor? [OT comment removed by admin LadyGeek]

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

Post by privatefarmer » Sun Dec 15, 2019 7:36 am

butricksaid wrote:
Sun Dec 15, 2019 3:10 am
willthrill81 wrote:
Sat Dec 14, 2019 6:17 pm
butricksaid wrote:
Sat Dec 14, 2019 6:08 pm
Hydromod wrote:
Sat Dec 14, 2019 2:13 pm
willthrill81 wrote:
Fri Dec 13, 2019 10:46 pm


I don't follow. A 40/60 mix of UPRO/TMF from August through November returned 15.29%, and a 55/45 mix of the same returned a nearly identical 15.24%.
August saw a huge bump, end of the month was up 11 percent over start of month. Huge difference to now depending on start date.
Yeah, but that was it. I could've exited end of August with the same gains as I exited in December. I wasn't willing to take the risk any longer with only 11% gain after a prolonged period of hovering at 11% for months.
If you can't stick with the strategy despite a 0% return for a few months, then this is definitely not a good strategy for you.
Wow, insightful. It's almost like that was exactly why I exited as I stated earlier. The risk was not worth the reward so I exited. Did I ever say the strategy was poor? [OT comment removed by admin LadyGeek]
It’s kinda ridiculous to judge any investment strategy over the course of a few months... the s&p had an entire “lost decade” not too long ago, how could anyone possibly stick with that if they expect their investments to not even have a few months with no return?? If that’s the expectation, then you’re only option is like a bank CD or something where you know it’ll steadily go up over time.

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

Post by Lee_WSP » Sun Dec 15, 2019 9:59 am

privatefarmer wrote:
Sun Dec 15, 2019 7:36 am

This strategy, from all the data I’ve seen, has largely had shorter underwater periods than being 100% equities. But it’s still extremely common to be underwater for months or even years at a time.
With the exception of '87, '95 & '15, yes, but since we're talking about ~6 major drawdown events, that's a 50% chance of being underwater longer. Therefore, I disagree with your assessment.

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

Post by HEDGEFUNDIE » Sun Dec 15, 2019 11:28 am

Lee_WSP wrote:
Sun Dec 15, 2019 9:59 am
privatefarmer wrote:
Sun Dec 15, 2019 7:36 am

This strategy, from all the data I’ve seen, has largely had shorter underwater periods than being 100% equities. But it’s still extremely common to be underwater for months or even years at a time.
With the exception of '87, '95 & '15, yes, but since we're talking about ~6 major drawdown events, that's a 50% chance of being underwater longer. Therefore, I disagree with your assessment.
Here are the drawdowns for 55/45 as compared to straight S&P 500:

Image

What I see are moderately sharper drawdowns and generally faster recoveries.

In return you get 21% CAGR since 1982 compared to 11% for the S&P.

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

Post by samsdad » Sun Dec 15, 2019 11:53 am

HEDGEFUNDIE wrote:
Sun Dec 15, 2019 11:28 am
Lee_WSP wrote:
Sun Dec 15, 2019 9:59 am
privatefarmer wrote:
Sun Dec 15, 2019 7:36 am

This strategy, from all the data I’ve seen, has largely had shorter underwater periods than being 100% equities. But it’s still extremely common to be underwater for months or even years at a time.
With the exception of '87, '95 & '15, yes, but since we're talking about ~6 major drawdown events, that's a 50% chance of being underwater longer. Therefore, I disagree with your assessment.
Here are the drawdowns for 55/45 as compared to straight S&P 500:

Image

What I see are moderately sharper drawdowns and generally faster recoveries.

In return you get 21% CAGR since 1982 compared to 11% for the S&P.
For those of you who haven't been following this from day 1, there's a big caveat to this data that's been discussed here before ad nauseam, and I feel somewhat obliged to follow up HEDGEFUNDIE's post with the data below from 1955 through mid-2019, in an abundance of caution, just in case you missed it earlier:

Image

I wouldn't have a large amount of money in a variation of this strategy if I felt that the likelihood of 1965-1981 repeating was probable. Moreover, as privatefarmer noted above, the S&P 500 has a history of going nowhere or worse over a decade or more at least.

caklim00
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by caklim00 » Sun Dec 15, 2019 2:07 pm

Gemini wrote:
Sat Dec 14, 2019 10:56 pm
caklim00 wrote:
Sat Dec 14, 2019 2:04 pm
MotoTrojan wrote:
Sat Dec 14, 2019 10:59 am
HEDGEFUNDIE wrote:
Sat Dec 14, 2019 12:21 am
MotoTrojan wrote:
Fri Dec 13, 2019 10:48 pm


Suggests it for what criteria? Any optimization that only looks at an equity bull will skew towards equity. I liked it, but there are many options and justifications, but only looking at the last decade is a bad start.
Your objection basically amounts to, “I don’t like this because it’s making too much money”
I have no idea what you’re talking about.
I don't have a clue either. Like Moto I'm putting my faith into diversified SCV tilts. The more I put into this (hedgefundie adventure), the less I can put into funds such as SLYV/VIOV, ISCF or AVDV, or VFMF. I also have no desire to be > 100% equity (or even 100% anymore for that matter since I'm almost 40 now). I'm now just adding a bit of leverage to increase my bond allocation. I think Moto is saying he has more confidence a SCV tilted portfolio will outperform LETF S&P500 with super long bonds. I get the idea of long term bonds but I'll even admit that I'm not sure how much more room it has to run. That plus I already hold mostly intermediate bonds got me thinking I wanted to hold ZN over ZB. Perhaps it doens't provide quite as much protection if equities plummet but its a risk I'm going to take.
40 is the new 30.
:) Totally

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

Post by guillemot » Sun Dec 15, 2019 4:52 pm

HEDGEFUNDIE, did you or can you share your data? All I have so far is the UPRO/TMF daily data from 1986 which is in the original post of the previous thread here.

Thinking about doing this. I was looking at Sharpe ratios using the 1986 data set and it looks like 13% real return for this strategy versus 7% for S&P 500 for about the same risk. I think I have to sign up with those kind of results. I know I really should commit a material amount to this strategy but I don't feel comfortable doing that. I decided on a 2% allocation which for me is $22k. I can save $50k a year. My savings plan looks like: 19k 401k, 8k extra 401k from after tax contributions, 9k 401k employer match, 3k HSA, 6k Roth, 6k self directed. So that would be +1k per month from the self directed portion. But! It turns out that our 401k retirement plan through T Rowe Price includes a self directed brokerage option through Schwab. Because of that I can direct almost all savings to this strategy - the HSA is the only place I wouldn't be able to. Schwab doesn't have any commissions on ETFs and I believe they will allow me to trade UPRO and TMF.

Marginal tax rate is is 27% (22% federal plus 5% state). Should I consider a Roth 401k or continue with traditional?

I have 1% cash for short term needs. The other 97% is invested in a more-or-less classic 80/20...which will not be a great ballast for this if things go south. But that's a topic for years down the road when the funds from this strategy are a greater percentage of the total. I was thinking of stopping when the funds from the strat are 50% of the total, with any excess beyond that invested into other strategies. Which will be around 13 years from now, assuming excellent adventure has 8% greater CAGR than 80/20 over the period.

The last question is forum etiquette. Is it considered rude to post one's progress (contributions and returns)? How often could I do so?

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

Post by MotoTrojan » Sun Dec 15, 2019 5:17 pm

guillemot wrote:
Sun Dec 15, 2019 4:52 pm
HEDGEFUNDIE, did you or can you share your data? All I have so far is the UPRO/TMF daily data from 1986 which is in the original post of the previous thread here.

Thinking about doing this. I was looking at Sharpe ratios using the 1986 data set and it looks like 13% real return for this strategy versus 7% for S&P 500 for about the same risk. I think I have to sign up with those kind of results. I know I really should commit a material amount to this strategy but I don't feel comfortable doing that. I decided on a 2% allocation which for me is $22k. I can save $50k a year. My savings plan looks like: 19k 401k, 8k extra 401k from after tax contributions, 9k 401k employer match, 3k HSA, 6k Roth, 6k self directed. So that would be +1k per month from the self directed portion. But! It turns out that our 401k retirement plan through T Rowe Price includes a self directed brokerage option through Schwab. Because of that I can direct almost all savings to this strategy - the HSA is the only place I wouldn't be able to. Schwab doesn't have any commissions on ETFs and I believe they will allow me to trade UPRO and TMF.

Marginal tax rate is is 27% (22% federal plus 5% state). Should I consider a Roth 401k or continue with traditional?

I have 1% cash for short term needs. The other 97% is invested in a more-or-less classic 80/20...which will not be a great ballast for this if things go south. But that's a topic for years down the road when the funds from this strategy are a greater percentage of the total. I was thinking of stopping when the funds from the strat are 50% of the total, with any excess beyond that invested into other strategies. Which will be around 13 years from now, assuming excellent adventure has 8% greater CAGR than 80/20 over the period.

The last question is forum etiquette. Is it considered rude to post one's progress (contributions and returns)? How often could I do so?
Sharpe ratio is high because the long bonds greatly exceeded their expected return. That isn’t the whole story.

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

Post by Diego_Quant » Sun Dec 15, 2019 6:46 pm

willthrill81 wrote:
Fri Dec 13, 2019 10:53 pm
MotoTrojan wrote:
Fri Dec 13, 2019 10:48 pm
guyinlaw wrote:
Fri Dec 13, 2019 10:30 pm
MotoTrojan wrote:
Fri Dec 13, 2019 9:54 pm
HawkeyePierce wrote:
Fri Dec 13, 2019 9:09 pm
I'm staying in with MotoTrojan's 43/57 UPRO/EDV. 10% of my portfolio, all in Roth space. Up a nice 12.3% since I got in.

The rest of my portfolio is 90/10 with a domestic small-cap value tilt and a mix of ex-US small cap and emerging markets for my intl allocation.
Glad it lives on without me :).
Do you still think 43/57 UPRO/EDV is the right mix? From the last EDV peak in June-Aug 2012 ($135) - Portfolio Visualizer suggests 52/48 or even 65/35.
Suggests it for what criteria? Any optimization that only looks at an equity bull will skew towards equity. I liked it, but there are many options and justifications, but only looking at the last decade is a bad start.
That's why I opted to use a target volatility approach rather than a static AA. Rather than using distant historic data to determine the appropriate AA, it uses recent historic data (i.e. prior month's). Some may berate this method, but any decision regarding one's AA is largely driven by historic data.
How do you calculate the allocations for target volatility? Portfolio Visualizer has a 2-day data delay

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willthrill81
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by willthrill81 » Sun Dec 15, 2019 6:48 pm

Diego_Quant wrote:
Sun Dec 15, 2019 6:46 pm
willthrill81 wrote:
Fri Dec 13, 2019 10:53 pm
MotoTrojan wrote:
Fri Dec 13, 2019 10:48 pm
guyinlaw wrote:
Fri Dec 13, 2019 10:30 pm
MotoTrojan wrote:
Fri Dec 13, 2019 9:54 pm


Glad it lives on without me :).
Do you still think 43/57 UPRO/EDV is the right mix? From the last EDV peak in June-Aug 2012 ($135) - Portfolio Visualizer suggests 52/48 or even 65/35.
Suggests it for what criteria? Any optimization that only looks at an equity bull will skew towards equity. I liked it, but there are many options and justifications, but only looking at the last decade is a bad start.
That's why I opted to use a target volatility approach rather than a static AA. Rather than using distant historic data to determine the appropriate AA, it uses recent historic data (i.e. prior month's). Some may berate this method, but any decision regarding one's AA is largely driven by historic data.
How do you calculate the allocations for target volatility? Portfolio Visualizer has a 2-day data delay
PV updates their data after the last business day of every month, so I'm using the last month's data to determine the current month's allocation.
“It's a dangerous business, Frodo, going out your door. You step onto the road, and if you don't keep your feet, there's no knowing where you might be swept off to.” J.R.R. Tolkien,The Lord of the Rings

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

Post by butricksaid » Mon Dec 16, 2019 11:22 am

privatefarmer wrote:
Sun Dec 15, 2019 7:36 am
It’s kinda ridiculous to judge any investment strategy over the course of a few months...
I'm not...? I think it has a lot of merit but I can also be skeptical about my entrance timing and I was uncomfortable with the potential drawdown (below principal) after not getting some more gains built up.
privatefarmer wrote:
Sun Dec 15, 2019 7:36 am
the s&p had an entire “lost decade” not too long ago, how could anyone possibly stick with that if they expect their investments to not even have a few months with no return?? If that’s the expectation, then you’re only option is like a bank CD or something where you know it’ll steadily go up over time.
It's not a binary option, privatefarmer. There's a spectrum of risk tolerance and portfolios with volatility to match like un-leveraged ETFs. I never said I could only handle investments that constantly go up. :confused

I decided that given the limited padding of gains early on plus the risk of early drawdown soon after entering the strategy, that risk was past my threshold.

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

Post by MotoTrojan » Mon Dec 16, 2019 11:29 am

butricksaid wrote:
Mon Dec 16, 2019 11:22 am
privatefarmer wrote:
Sun Dec 15, 2019 7:36 am
It’s kinda ridiculous to judge any investment strategy over the course of a few months...
I'm not...? I think it has a lot of merit but I can also be skeptical about my entrance timing and I was uncomfortable with the potential drawdown (below principal) after not getting some more gains built up.
privatefarmer wrote:
Sun Dec 15, 2019 7:36 am
the s&p had an entire “lost decade” not too long ago, how could anyone possibly stick with that if they expect their investments to not even have a few months with no return?? If that’s the expectation, then you’re only option is like a bank CD or something where you know it’ll steadily go up over time.
It's not a binary option, privatefarmer. There's a spectrum of risk tolerance and portfolios with volatility to match like un-leveraged ETFs. I never said I could only handle investments that constantly go up. :confused

I decided that given the limited padding of gains early on plus the risk of early drawdown soon after entering the strategy, that risk was past my threshold.
Call it what you want but you clearly judged performance over a few months. Needing a cushion of gains to let a strategy ride will relegate you to CDs.

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

Post by pepys » Mon Dec 16, 2019 11:51 am

MotoTrojan wrote:
Mon Dec 16, 2019 11:29 am
butricksaid wrote:
Mon Dec 16, 2019 11:22 am
privatefarmer wrote:
Sun Dec 15, 2019 7:36 am
It’s kinda ridiculous to judge any investment strategy over the course of a few months...
I'm not...? I think it has a lot of merit but I can also be skeptical about my entrance timing and I was uncomfortable with the potential drawdown (below principal) after not getting some more gains built up.
privatefarmer wrote:
Sun Dec 15, 2019 7:36 am
the s&p had an entire “lost decade” not too long ago, how could anyone possibly stick with that if they expect their investments to not even have a few months with no return?? If that’s the expectation, then you’re only option is like a bank CD or something where you know it’ll steadily go up over time.
It's not a binary option, privatefarmer. There's a spectrum of risk tolerance and portfolios with volatility to match like un-leveraged ETFs. I never said I could only handle investments that constantly go up. :confused

I decided that given the limited padding of gains early on plus the risk of early drawdown soon after entering the strategy, that risk was past my threshold.
Call it what you want but you clearly judged performance over a few months. Needing a cushion of gains to let a strategy ride will relegate you to CDs.
They never said they needed a cushion of gains to let any strategy ride, they specifically said "plus" after that, and then went on to talk about the risks at the current stage. You can't just cut off the "plus".
"Give me enough leverage and a fund on which to place it, and I shall move the world"

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

Post by Crushtheturtle » Mon Dec 16, 2019 12:01 pm

Diego_Quant wrote:
Sun Dec 15, 2019 6:46 pm

How do you calculate the allocations for target volatility? Portfolio Visualizer has a 2-day data delay

I just Google search "UPRO Historical Volatility" and the first result is Alphaquery.com, which displays the 30-day (among others).

then,

(UPRO Target %) = (UPRO Target Volatility) / (UPRO 30-day Historical Volatility)
Last edited by Crushtheturtle on Mon Dec 16, 2019 1:51 pm, edited 1 time in total.
"A sarcasm detector? Oh, that's a REAL useful invention." | | 25% US / 25% Ex-US / 25% LETFs / 25% The Wheel

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

Post by MotoTrojan » Mon Dec 16, 2019 12:47 pm

pepys wrote:
Mon Dec 16, 2019 11:51 am
MotoTrojan wrote:
Mon Dec 16, 2019 11:29 am
butricksaid wrote:
Mon Dec 16, 2019 11:22 am
privatefarmer wrote:
Sun Dec 15, 2019 7:36 am
It’s kinda ridiculous to judge any investment strategy over the course of a few months...
I'm not...? I think it has a lot of merit but I can also be skeptical about my entrance timing and I was uncomfortable with the potential drawdown (below principal) after not getting some more gains built up.
privatefarmer wrote:
Sun Dec 15, 2019 7:36 am
the s&p had an entire “lost decade” not too long ago, how could anyone possibly stick with that if they expect their investments to not even have a few months with no return?? If that’s the expectation, then you’re only option is like a bank CD or something where you know it’ll steadily go up over time.
It's not a binary option, privatefarmer. There's a spectrum of risk tolerance and portfolios with volatility to match like un-leveraged ETFs. I never said I could only handle investments that constantly go up. :confused

I decided that given the limited padding of gains early on plus the risk of early drawdown soon after entering the strategy, that risk was past my threshold.
Call it what you want but you clearly judged performance over a few months. Needing a cushion of gains to let a strategy ride will relegate you to CDs.
They never said they needed a cushion of gains to let any strategy ride, they specifically said "plus" after that, and then went on to talk about the risks at the current stage. You can't just cut off the "plus".
A cushion is only relevant if there’s a risk of drawdown to begin with. Nobody needs a cushion for CDs. I am not sure your point. The risk never changed. The potential reward may have (hence my exit).

Walkure
Posts: 146
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by Walkure » Mon Dec 16, 2019 12:57 pm

MotoTrojan wrote:
Mon Dec 16, 2019 12:47 pm
pepys wrote:
Mon Dec 16, 2019 11:51 am
MotoTrojan wrote:
Mon Dec 16, 2019 11:29 am
butricksaid wrote:
Mon Dec 16, 2019 11:22 am
privatefarmer wrote:
Sun Dec 15, 2019 7:36 am
It’s kinda ridiculous to judge any investment strategy over the course of a few months...
I'm not...? I think it has a lot of merit but I can also be skeptical about my entrance timing and I was uncomfortable with the potential drawdown (below principal) after not getting some more gains built up.
privatefarmer wrote:
Sun Dec 15, 2019 7:36 am
the s&p had an entire “lost decade” not too long ago, how could anyone possibly stick with that if they expect their investments to not even have a few months with no return?? If that’s the expectation, then you’re only option is like a bank CD or something where you know it’ll steadily go up over time.
It's not a binary option, privatefarmer. There's a spectrum of risk tolerance and portfolios with volatility to match like un-leveraged ETFs. I never said I could only handle investments that constantly go up. :confused

I decided that given the limited padding of gains early on plus the risk of early drawdown soon after entering the strategy, that risk was past my threshold.
Call it what you want but you clearly judged performance over a few months. Needing a cushion of gains to let a strategy ride will relegate you to CDs.
They never said they needed a cushion of gains to let any strategy ride, they specifically said "plus" after that, and then went on to talk about the risks at the current stage. You can't just cut off the "plus".
A cushion is only relevant if there’s a risk of drawdown to begin with. Nobody needs a cushion for CDs. I am not sure your point. The risk never changed. The potential reward may have (hence my exit).
I would disagree; a cushion should be irrelevant even for a strategy where there is the risk of a major drawdown. It's up there with the "paper losses aren't real" crowd in terms of a psychological safety blanket, but the fact is the expected CAGRs include the drawdowns.

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

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

Post by MotoTrojan » Mon Dec 16, 2019 1:15 pm

Walkure wrote:
Mon Dec 16, 2019 12:57 pm
MotoTrojan wrote:
Mon Dec 16, 2019 12:47 pm
pepys wrote:
Mon Dec 16, 2019 11:51 am
MotoTrojan wrote:
Mon Dec 16, 2019 11:29 am
butricksaid wrote:
Mon Dec 16, 2019 11:22 am


I'm not...? I think it has a lot of merit but I can also be skeptical about my entrance timing and I was uncomfortable with the potential drawdown (below principal) after not getting some more gains built up.



It's not a binary option, privatefarmer. There's a spectrum of risk tolerance and portfolios with volatility to match like un-leveraged ETFs. I never said I could only handle investments that constantly go up. :confused

I decided that given the limited padding of gains early on plus the risk of early drawdown soon after entering the strategy, that risk was past my threshold.
Call it what you want but you clearly judged performance over a few months. Needing a cushion of gains to let a strategy ride will relegate you to CDs.
They never said they needed a cushion of gains to let any strategy ride, they specifically said "plus" after that, and then went on to talk about the risks at the current stage. You can't just cut off the "plus".
A cushion is only relevant if there’s a risk of drawdown to begin with. Nobody needs a cushion for CDs. I am not sure your point. The risk never changed. The potential reward may have (hence my exit).
I would disagree; a cushion should be irrelevant even for a strategy where there is the risk of a major drawdown. It's up there with the "paper losses aren't real" crowd in terms of a psychological safety blanket, but the fact is the expected CAGRs include the drawdowns.
I think we agree and you disagree with the other poster. I’m with you on paper losses... my favorite comparison is the retiree with $3M on $500K of contributions. So they only have $500K? And if they sell and rebuy same day it’s $3M?

langlands
Posts: 87
Joined: Wed Apr 03, 2019 10:05 pm

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

Post by langlands » Mon Dec 16, 2019 1:23 pm

If you correctly assessed your own risk threshold prior to investing, backing out after a few months when nothing material about the strategy or market conditions have changed is irrational. After all, if it doesn't make sense to stay invested after some minor gains, it made even less sense to have invested in the strategy in the first place. Obviously what's really happened is that butricksaid wasn't completely sure how he felt about the risk of the strategy in the beginning and wanted to test the waters, and has now decided it's not his cup of tea. Pretty reasonable considering how volatile the strategy is- you don't really know how you'll emotionally react to daily 5-10% swings until you've actually experienced it.

pepys
Posts: 118
Joined: Mon Nov 12, 2018 10:34 am

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

Post by pepys » Mon Dec 16, 2019 2:08 pm

MotoTrojan wrote:
Mon Dec 16, 2019 12:47 pm
pepys wrote:
Mon Dec 16, 2019 11:51 am
MotoTrojan wrote:
Mon Dec 16, 2019 11:29 am
butricksaid wrote:
Mon Dec 16, 2019 11:22 am
privatefarmer wrote:
Sun Dec 15, 2019 7:36 am
It’s kinda ridiculous to judge any investment strategy over the course of a few months...
I'm not...? I think it has a lot of merit but I can also be skeptical about my entrance timing and I was uncomfortable with the potential drawdown (below principal) after not getting some more gains built up.
privatefarmer wrote:
Sun Dec 15, 2019 7:36 am
the s&p had an entire “lost decade” not too long ago, how could anyone possibly stick with that if they expect their investments to not even have a few months with no return?? If that’s the expectation, then you’re only option is like a bank CD or something where you know it’ll steadily go up over time.
It's not a binary option, privatefarmer. There's a spectrum of risk tolerance and portfolios with volatility to match like un-leveraged ETFs. I never said I could only handle investments that constantly go up. :confused

I decided that given the limited padding of gains early on plus the risk of early drawdown soon after entering the strategy, that risk was past my threshold.
Call it what you want but you clearly judged performance over a few months. Needing a cushion of gains to let a strategy ride will relegate you to CDs.
They never said they needed a cushion of gains to let any strategy ride, they specifically said "plus" after that, and then went on to talk about the risks at the current stage. You can't just cut off the "plus".
A cushion is only relevant if there’s a risk of drawdown to begin with. Nobody needs a cushion for CDs. I am not sure your point. The risk never changed. The potential reward may have (hence my exit).
The risk at the current stage was a fundamental part of their comment. You're assuming they meant a change to the actual risk (maybe interest rates being lower, stocks being higher, or whatever else), although it could also be partially or fully because of their understanding of the risks. You're free to disagree with that, but you can't just claim that they need a cushion of gains for any strategy when they specifically said otherwise. They gave two connected reasons. You took one of those reasons, ignored the other, and used it to say it implies they should only invest in CDs, when they specifically gave that second reason as a reason to not only invest in CDs.

This is like me saying you exited for no reason, you replying that your reason was because change in potential reward, and then me responding that the potential reward never changed. You can't remove reasoning just because you disagree with it.

Also, you being confident enough that potential rewards changed to move thousands of dollars around, and then being certain that max drawdown and/or chance of a drawdown didn't change is odd. So the potential rewards changed such that making only, say, 1% more likely, but making -1%? Why, that's exactly the same, and anyone who disagrees is wrong.
"Give me enough leverage and a fund on which to place it, and I shall move the world"

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