HEDGEFUNDIE's excellent adventure Part II: The next journey

Discuss all general (i.e. non-personal) investing questions and issues, investing news, and theory.
langlands
Posts: 126
Joined: Wed Apr 03, 2019 10:05 pm

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

Post by langlands » Sat Jan 18, 2020 9:10 pm

LadyGeek wrote:
Sat Jan 18, 2020 7:27 pm
langlands wrote:
Sat Jan 18, 2020 6:34 pm
Apropos of nothing, but did anyone else's banner turn black? As in the forum design colors seem different from before. Just making sure I didn't get some sort of virus or something.
In collaboration with the forum's Advisory Board, I changed the color. This is the anniversary of Jack Bogle's death. See: Re: Tributes to Jack Bogle
Ah, ok. It did seem a bit somber. May his legacy live on in this great forum.

atorv
Posts: 1
Joined: Thu Jan 16, 2020 1:42 pm

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

Post by atorv » Sat Jan 18, 2020 11:50 pm

danielfp wrote:
Wed Jan 01, 2020 9:24 pm
For those interested, I was up 43.66% for 2019 on MIDU/TMF/TYD 34/33/33 with no rebalancing. I will rebalance the portfolio sometime within January.
This looks great in backtest but how can this be used in a real portfolio since TYD has such low trading volume. How much money would you be willing to put into this ETF?

danielfp
Posts: 23
Joined: Sat Dec 21, 2019 3:30 pm

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

Post by danielfp » Sun Jan 19, 2020 8:45 am

atorv wrote:
Sat Jan 18, 2020 11:50 pm
danielfp wrote:
Wed Jan 01, 2020 9:24 pm
For those interested, I was up 43.66% for 2019 on MIDU/TMF/TYD 34/33/33 with no rebalancing. I will rebalance the portfolio sometime within January.
This looks great in backtest but how can this be used in a real portfolio since TYD has such low trading volume. How much money would you be willing to put into this ETF?
I have put six figures into it, you should call direxion and negotiate creation shares for any significant volume.

Kbg
Posts: 49
Joined: Thu Mar 23, 2017 11:33 am

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

Post by Kbg » Sun Jan 19, 2020 7:05 pm

pepys wrote:
Wed Jan 15, 2020 9:40 am
sweetnpsycho wrote:
Wed Jan 15, 2020 9:30 am
Is there a good alternative to M1 Finance for a Roth IRA account that allows free buying and selling of leveraged ETFs? I don't mind rebalancing manually.

I'm trying to do a backdoor Roth. With M1 Finance, there is no way to do it automatically with a click of a button. I have to go through customer support and the customer support is atrocious. It has been almost 2 weeks and the money is still sitting in my traditional IRA account. And If I try to do a manual rollover, it would charge me $100.
I've been using Fidelity and Merrill for the adventure. Schwab should work too.
[ quote fixed by admin LadyGeek]

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wije
Posts: 188
Joined: Sun Jun 07, 2015 8:35 pm

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

Post by wije » Sun Jan 19, 2020 11:35 pm

Busdrvr wrote:
Mon Jan 13, 2020 7:43 pm
Just opened my TDA account. They will not charge a $49 fee for PSLDX transactions if you set up systematic investments in an IRA. Will probably look at switching my kids’ IRA’s to TD for them to take advantage.
Thank you. I already have a TDA account with my HSA and will use it to get PSLDX. For my Roth, I'll open a M1 account to set up a version of the Adventure.

If you wouldn't mind walking me through TDA: first you set up systematic deposits into your TDA sweep fund, and then you purchase PSLDX? Is there a minimum amount for these deposits? And how often do these deposits have to be?

Busdrvr
Posts: 122
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by Busdrvr » Mon Jan 20, 2020 9:24 am

wije wrote:
Sun Jan 19, 2020 11:35 pm
Busdrvr wrote:
Mon Jan 13, 2020 7:43 pm
Just opened my TDA account. They will not charge a $49 fee for PSLDX transactions if you set up systematic investments in an IRA. Will probably look at switching my kids’ IRA’s to TD for them to take advantage.
Thank you. I already have a TDA account with my HSA and will use it to get PSLDX. For my Roth, I'll open a M1 account to set up a version of the Adventure.

If you wouldn't mind walking me through TDA: first you set up systematic deposits into your TDA sweep fund, and then you purchase PSLDX? Is there a minimum amount for these deposits? And how often do these deposits have to be?
Friday a local TD advisor called me and told me that the systematic portion had to be set up over the phone, which I have yet to do. He made it sound like it is meant to automatically purchase psldx, for example, and that I must make sure there are funds in my Roth when the purchase is set to happen. He was not sure if it could be done monthly, quarterly or otherwise. I will place the call today and report back unless someone else has the gouge.

DrRocktor
Posts: 22
Joined: Mon Dec 09, 2019 4:02 pm

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

Post by DrRocktor » Mon Jan 20, 2020 2:52 pm

Lee_WSP wrote:
Fri Jan 17, 2020 11:40 am
Kbg wrote:
Fri Jan 17, 2020 11:26 am
Has NTSX vs PSLDX been analyzed?
Not exactly the same, but it gives you an idea of how they *should have* performed historically.

https://www.portfoliovisualizer.com/bac ... ion4_1=100

As expected, PSLDX is higher risk, higher reward. But that's what you get with more leverage.
I am trying to understand how to model PSLDX in backtesting. I see your asset allocations are 100% SP500, 100% Long Term Bonds, and -100% CASHX.

Morningstar Xray via TD Ameritrade is modeling closer to ~100% SP500, ~150% Long Term Bonds, and ~-150% cash. Image

Can anyone confirm which method is a more reliable indicator?

-DR
"Don't Panic" - The Hitchhiker's Guide to the Galaxy

Lee_WSP
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Location: Arizona

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

Post by Lee_WSP » Mon Jan 20, 2020 3:23 pm

DrRocktor wrote:
Mon Jan 20, 2020 2:52 pm
Lee_WSP wrote:
Fri Jan 17, 2020 11:40 am
Kbg wrote:
Fri Jan 17, 2020 11:26 am
Has NTSX vs PSLDX been analyzed?
Not exactly the same, but it gives you an idea of how they *should have* performed historically.

https://www.portfoliovisualizer.com/bac ... ion4_1=100

As expected, PSLDX is higher risk, higher reward. But that's what you get with more leverage.
I am trying to understand how to model PSLDX in backtesting. I see your asset allocations are 100% SP500, 100% Long Term Bonds, and -100% CASHX.

Morningstar Xray via TD Ameritrade is modeling closer to ~100% SP500, ~150% Long Term Bonds, and ~-150% cash.

Can anyone confirm which method is a more reliable indicator?

-DR
See for yourself.


https://www.portfoliovisualizer.com/bac ... on4_3=-100

kim.gold
Posts: 12
Joined: Sat Jan 18, 2020 10:58 am

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

Post by kim.gold » Mon Jan 20, 2020 4:20 pm

I see people using CASHX in portfoliovisualizer for modeling hedged positions all the time but I believe this is distorting the results quite a bit. CASHX has 2.13% interest for 2019.

Is there another ticker available, pure cash, no interest? TIA.

Lee_WSP
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Location: Arizona

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

Post by Lee_WSP » Mon Jan 20, 2020 4:30 pm

kim.gold wrote:
Mon Jan 20, 2020 4:20 pm
I see people using CASHX in portfoliovisualizer for modeling hedged positions all the time but I believe this is distorting the results quite a bit. CASHX has 2.13% interest for 2019.

Is there another ticker available, pure cash, no interest? TIA.
That would inflate the synthetic returns even more.

HawkeyePierce
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Location: Colorado

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

Post by HawkeyePierce » Mon Jan 20, 2020 4:32 pm

kim.gold wrote:
Mon Jan 20, 2020 4:20 pm
I see people using CASHX in portfoliovisualizer for modeling hedged positions all the time but I believe this is distorting the results quite a bit. CASHX has 2.13% interest for 2019.

Is there another ticker available, pure cash, no interest? TIA.
You can create your own CASHZERO asset and upload it yourself.

DrRocktor
Posts: 22
Joined: Mon Dec 09, 2019 4:02 pm

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

Post by DrRocktor » Mon Jan 20, 2020 4:34 pm

Lee_WSP wrote:
Mon Jan 20, 2020 3:23 pm
DrRocktor wrote:
Mon Jan 20, 2020 2:52 pm
Lee_WSP wrote:
Fri Jan 17, 2020 11:40 am
Kbg wrote:
Fri Jan 17, 2020 11:26 am
Has NTSX vs PSLDX been analyzed?
Not exactly the same, but it gives you an idea of how they *should have* performed historically.

https://www.portfoliovisualizer.com/bac ... ion4_1=100

As expected, PSLDX is higher risk, higher reward. But that's what you get with more leverage.
I am trying to understand how to model PSLDX in backtesting. I see your asset allocations are 100% SP500, 100% Long Term Bonds, and -100% CASHX.

Morningstar Xray via TD Ameritrade is modeling closer to ~100% SP500, ~150% Long Term Bonds, and ~-150% cash.

Can anyone confirm which method is a more reliable indicator?

-DR
See for yourself.


https://www.portfoliovisualizer.com/bac ... on4_3=-100
Interesting...I wonder what the discrepancy is. Thanks for sharing.
"Don't Panic" - The Hitchhiker's Guide to the Galaxy

Uncorrelated
Posts: 415
Joined: Sun Oct 13, 2019 3:16 pm

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

Post by Uncorrelated » Mon Jan 20, 2020 4:41 pm

Lee_WSP wrote:
Mon Jan 20, 2020 3:23 pm
DrRocktor wrote:
Mon Jan 20, 2020 2:52 pm
Lee_WSP wrote:
Fri Jan 17, 2020 11:40 am
Kbg wrote:
Fri Jan 17, 2020 11:26 am
Has NTSX vs PSLDX been analyzed?
Not exactly the same, but it gives you an idea of how they *should have* performed historically.

https://www.portfoliovisualizer.com/bac ... ion4_1=100

As expected, PSLDX is higher risk, higher reward. But that's what you get with more leverage.
I am trying to understand how to model PSLDX in backtesting. I see your asset allocations are 100% SP500, 100% Long Term Bonds, and -100% CASHX.

Morningstar Xray via TD Ameritrade is modeling closer to ~100% SP500, ~150% Long Term Bonds, and ~-150% cash.

Can anyone confirm which method is a more reliable indicator?

-DR
See for yourself.


https://www.portfoliovisualizer.com/bac ... on4_3=-100
I ran a factor regression and the values are 93% S&P500 and 94% long term bonds (slightly higher if we use daily data), which aligns with the 100/100 model.
kim.gold wrote:
Mon Jan 20, 2020 4:20 pm
I see people using CASHX in portfoliovisualizer for modeling hedged positions all the time but I believe this is distorting the results quite a bit. CASHX has 2.13% interest for 2019.

Is there another ticker available, pure cash, no interest? TIA.
The proper way of simulating is to use CASHX and then add the borrowing cost yourself, which is approximately 1% for something like UPRO but almost free for treasuries. This is because the leverage is implemented with swap contracts and the interest rate on the swap contract is defined as LIBOR + spread (the overnight libor is commonly used).

Lee_WSP
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Location: Arizona

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

Post by Lee_WSP » Mon Jan 20, 2020 4:53 pm

DrRocktor wrote:
Mon Jan 20, 2020 4:34 pm
Lee_WSP wrote:
Mon Jan 20, 2020 3:23 pm
DrRocktor wrote:
Mon Jan 20, 2020 2:52 pm
Lee_WSP wrote:
Fri Jan 17, 2020 11:40 am
Kbg wrote:
Fri Jan 17, 2020 11:26 am
Has NTSX vs PSLDX been analyzed?
Not exactly the same, but it gives you an idea of how they *should have* performed historically.

https://www.portfoliovisualizer.com/bac ... ion4_1=100

As expected, PSLDX is higher risk, higher reward. But that's what you get with more leverage.
I am trying to understand how to model PSLDX in backtesting. I see your asset allocations are 100% SP500, 100% Long Term Bonds, and -100% CASHX.

Morningstar Xray via TD Ameritrade is modeling closer to ~100% SP500, ~150% Long Term Bonds, and ~-150% cash.

Can anyone confirm which method is a more reliable indicator?

-DR
See for yourself.


https://www.portfoliovisualizer.com/bac ... on4_3=-100
Interesting...I wonder what the discrepancy is. Thanks for sharing.
No clue since the prospectus itself says 100 stocks, 100 long bonds, and -100 libor.

kim.gold
Posts: 12
Joined: Sat Jan 18, 2020 10:58 am

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

Post by kim.gold » Mon Jan 20, 2020 7:20 pm

HawkeyePierce wrote:
Mon Jan 20, 2020 4:32 pm
kim.gold wrote:
Mon Jan 20, 2020 4:20 pm
I see people using CASHX in portfoliovisualizer for modeling hedged positions all the time but I believe this is distorting the results quite a bit. CASHX has 2.13% interest for 2019.

Is there another ticker available, pure cash, no interest? TIA.
You can create your own CASHZERO asset and upload it yourself.
Good advice. Thank you.

dru808
Posts: 309
Joined: Sat Oct 15, 2011 2:42 pm

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

Post by dru808 » Tue Jan 21, 2020 12:31 am

Is anyone still in or has joined in on the moto 43/57 upro/edv variant?

User avatar
willthrill81
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Location: USA

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

Post by willthrill81 » Tue Jan 21, 2020 12:53 am

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.
This strategy has paid off so far. Since 7/2/2019, I'm up 31% vs. the S&P 500's 13%.
“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

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

Post by rascott » Tue Jan 21, 2020 12:56 am

willthrill81 wrote:
Tue Jan 21, 2020 12:53 am
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.
This strategy has paid off so far. Since 7/2/2019, I'm up 31% vs. the S&P 500's 13%.

What's your volatility target?

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

Post by KaptainKrunch » Tue Jan 21, 2020 6:57 am

My broker doesn't have UPRO, but I can buy SPXL. From what I read it's similar, is there any thing I should keep in mind (like 55/45 ratio being out of whack because of this change?).

Is it fair to sum up a lot of the discussion with "it's probably a good idea if the market goes up or down fast, but maybe not so much during a flatter period" ?

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

Post by HawkeyePierce » Tue Jan 21, 2020 9:25 am

dru808 wrote:
Tue Jan 21, 2020 12:31 am
Is anyone still in or has joined in on the moto 43/57 upro/edv variant?
I'm still in it.

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lock.that.stock
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by lock.that.stock » Tue Jan 21, 2020 10:16 am

dru808 wrote:
Tue Jan 21, 2020 12:31 am
Is anyone still in or has joined in on the moto 43/57 upro/edv variant?
I was in it for a number of months but eventually pulled out (perhaps prematurely).

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willthrill81
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Location: USA

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

Post by willthrill81 » Tue Jan 21, 2020 11:17 am

rascott wrote:
Tue Jan 21, 2020 12:56 am
willthrill81 wrote:
Tue Jan 21, 2020 12:53 am
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.
This strategy has paid off so far. Since 7/2/2019, I'm up 31% vs. the S&P 500's 13%.

What's your volatility target?
25%. But I cap my allocation to UPRO at 80%.
“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

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

Post by Busdrvr » Tue Jan 21, 2020 11:26 am

dru808 wrote:
Tue Jan 21, 2020 12:31 am
Is anyone still in or has joined in on the moto 43/57 upro/edv variant?

I abandoned that on 12/1 for a 35/20/45 ...upro/tqqq/tmf. Currently up 14% since 10/22 when I started.

MotoTrojan
Posts: 8178
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by MotoTrojan » Tue Jan 21, 2020 12:16 pm

willthrill81 wrote:
Tue Jan 21, 2020 11:17 am
rascott wrote:
Tue Jan 21, 2020 12:56 am
willthrill81 wrote:
Tue Jan 21, 2020 12:53 am
willthrill81 wrote:
Fri Dec 13, 2019 10:53 pm
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.
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.
This strategy has paid off so far. Since 7/2/2019, I'm up 31% vs. the S&P 500's 13%.

What's your volatility target?
25%. But I cap my allocation to UPRO at 80%.
Pure 1-month look-back, right? Thought about using an exponential one for a longer period?

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willthrill81
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Location: USA

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

Post by willthrill81 » Tue Jan 21, 2020 12:22 pm

MotoTrojan wrote:
Tue Jan 21, 2020 12:16 pm
willthrill81 wrote:
Tue Jan 21, 2020 11:17 am
rascott wrote:
Tue Jan 21, 2020 12:56 am
willthrill81 wrote:
Tue Jan 21, 2020 12:53 am
willthrill81 wrote:
Fri Dec 13, 2019 10:53 pm


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.
This strategy has paid off so far. Since 7/2/2019, I'm up 31% vs. the S&P 500's 13%.

What's your volatility target?
25%. But I cap my allocation to UPRO at 80%.
Pure 1-month look-back, right? Thought about using an exponential one for a longer period?
Yes, 1 month look back. I've got enough complexity that I'm alright with that.
“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

hilink73
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by hilink73 » Tue Jan 21, 2020 2:22 pm

willthrill81 wrote:
Tue Jan 21, 2020 12:22 pm
MotoTrojan wrote:
Tue Jan 21, 2020 12:16 pm
willthrill81 wrote:
Tue Jan 21, 2020 11:17 am
rascott wrote:
Tue Jan 21, 2020 12:56 am
willthrill81 wrote:
Tue Jan 21, 2020 12:53 am


This strategy has paid off so far. Since 7/2/2019, I'm up 31% vs. the S&P 500's 13%.

What's your volatility target?
25%. But I cap my allocation to UPRO at 80%.
Pure 1-month look-back, right? Thought about using an exponential one for a longer period?
Yes, 1 month look back. I've got enough complexity that I'm alright with that.
May I ask how that target volatility strategy works. resp. how this is being implemented?
Thank you very much!

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noraz123
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by noraz123 » Tue Jan 21, 2020 2:28 pm

Busdrvr wrote:
Tue Jan 21, 2020 11:26 am

I abandoned that on 12/1 for a 35/20/45 ...upro/tqqq/tmf. Currently up 14% since 10/22 when I started.
Perhaps I have not been staying on top of this thread as much as should. Why UPRO *and* TQQQ? There expense ratios are about the same, both 3x leveraged, and would assume their correlation would be close to 1 (S&P500 vs. 100 largest NASDAQ companies. Is there something gained by using both vs. just using one of them.

I use UPRO only for my leveraged equity portion my excellent adventure. Curious if I am missing out on something by not using TQQQ.

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

Post by willthrill81 » Tue Jan 21, 2020 2:31 pm

hilink73 wrote:
Tue Jan 21, 2020 2:22 pm
willthrill81 wrote:
Tue Jan 21, 2020 12:22 pm
MotoTrojan wrote:
Tue Jan 21, 2020 12:16 pm
willthrill81 wrote:
Tue Jan 21, 2020 11:17 am
rascott wrote:
Tue Jan 21, 2020 12:56 am
What's your volatility target?
25%. But I cap my allocation to UPRO at 80%.
Pure 1-month look-back, right? Thought about using an exponential one for a longer period?
Yes, 1 month look back. I've got enough complexity that I'm alright with that.
May I ask how that target volatility strategy works. resp. how this is being implemented?
Thank you very much!
I use Portfolio Visualizer to determine the allocation. This uses monthly volatility, so I only have to change the allocation once per month at the end of the month. The method I use looks back at the last month's volatility and adjusts the next month's allocation to match the 25% desired volatility. I set the initial allocation at 80% UPRO and 20% TMF, which caps the exposure to UPRO to 80% of the portfolio; I did this because I didn't want 100% of the portfolio in such a volatile asset. I then selected TMF as the 'out of market asset', so this approach will reduce the 80% allocation to UPRO in lieu of TMF if warranted by market volatility. This model is saved into Portfolio Visualizer, so it only takes seconds once per month to figure out what the next month's allocation should be. I then go to M1 Finance, adjust the allocation accordingly, hit the rebalance button, and I'm done until the next month.
“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

dru808
Posts: 309
Joined: Sat Oct 15, 2011 2:42 pm

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

Post by dru808 » Tue Jan 21, 2020 2:57 pm

HawkeyePierce wrote:
Tue Jan 21, 2020 9:25 am
dru808 wrote:
Tue Jan 21, 2020 12:31 am
Is anyone still in or has joined in on the moto 43/57 upro/edv variant?
I'm still in it.
Did you do exactly 43/57? I’m considering this but wonder how much more volitility I’d be in store with a 45/55 aa. I’d be at 135/55 as opposed to 129/57. Does anyone think it would be game changing doing this allocation?

Edit.. I don’t mean game changing like I’m getting greedy and want a bump in return. If the 43/57 made it through 2000-2002 and 2008 how much different would it have looked with 45/55?

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

Post by HawkeyePierce » Tue Jan 21, 2020 3:11 pm

dru808 wrote:
Tue Jan 21, 2020 2:57 pm
HawkeyePierce wrote:
Tue Jan 21, 2020 9:25 am
dru808 wrote:
Tue Jan 21, 2020 12:31 am
Is anyone still in or has joined in on the moto 43/57 upro/edv variant?
I'm still in it.
Did you do exactly 43/57? I’m considering this but wonder how much more volitility I’d be in store with a 45/55 aa. I’d be at 135/55 as opposed to 129/57. Does anyone think it would be game changing doing this allocation?

Edit.. I don’t mean game changing like I’m getting greedy and want a bump in return. If the 43/57 made it through 2000-2002 and 2008 how much different would it have looked with 45/55?
I can't imagine you're going to see meaningful differences between 43/57 and 45/55.

hilink73
Posts: 347
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by hilink73 » Tue Jan 21, 2020 3:18 pm

willthrill81 wrote:
Tue Jan 21, 2020 2:31 pm
hilink73 wrote:
Tue Jan 21, 2020 2:22 pm

May I ask how that target volatility strategy works. resp. how this is being implemented?
Thank you very much!
I use Portfolio Visualizer to determine the allocation. This uses monthly volatility, so I only have to change the allocation once per month at the end of the month. The method I use looks back at the last month's volatility and adjusts the next month's allocation to match the 25% desired volatility. I set the initial allocation at 80% UPRO and 20% TMF, which caps the exposure to UPRO to 80% of the portfolio; I did this because I didn't want 100% of the portfolio in such a volatile asset. I then selected TMF as the 'out of market asset', so this approach will reduce the 80% allocation to UPRO in lieu of TMF if warranted by market volatility. This model is saved into Portfolio Visualizer, so it only takes seconds once per month to figure out what the next month's allocation should be. I then go to M1 Finance, adjust the allocation accordingly, hit the rebalance button, and I'm done until the next month.
Something like this:
https://www.portfoliovisualizer.com/tes ... tion2_1=20

When I look under the tab "timing periods", it reads 80% UPRO /20% TMF for the "next timing period" (February?).

Did I get this right?

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

Post by uberaeth » Tue Jan 21, 2020 3:20 pm

dru808 wrote:
Tue Jan 21, 2020 12:31 am
Is anyone still in or has joined in on the moto 43/57 upro/edv variant?
Half of my adventure is in the Moto variant.

ocrtech
Posts: 47
Joined: Sat Jul 21, 2012 2:18 pm

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

Post by ocrtech » Tue Jan 21, 2020 4:01 pm

I'm still in it as well. I'm doing inverse volatility based on the last 60 trading days (exponentially weighted). I cap my UPRO allocation percentage to 60% where it has been sitting for the last couple of months. My current gain is 42% with a XIRR of 61%.

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

Post by rascott » Tue Jan 21, 2020 4:08 pm

hilink73 wrote:
Tue Jan 21, 2020 3:18 pm
willthrill81 wrote:
Tue Jan 21, 2020 2:31 pm
hilink73 wrote:
Tue Jan 21, 2020 2:22 pm

May I ask how that target volatility strategy works. resp. how this is being implemented?
Thank you very much!
I use Portfolio Visualizer to determine the allocation. This uses monthly volatility, so I only have to change the allocation once per month at the end of the month. The method I use looks back at the last month's volatility and adjusts the next month's allocation to match the 25% desired volatility. I set the initial allocation at 80% UPRO and 20% TMF, which caps the exposure to UPRO to 80% of the portfolio; I did this because I didn't want 100% of the portfolio in such a volatile asset. I then selected TMF as the 'out of market asset', so this approach will reduce the 80% allocation to UPRO in lieu of TMF if warranted by market volatility. This model is saved into Portfolio Visualizer, so it only takes seconds once per month to figure out what the next month's allocation should be. I then go to M1 Finance, adjust the allocation accordingly, hit the rebalance button, and I'm done until the next month.
Something like this:
https://www.portfoliovisualizer.com/tes ... tion2_1=20

When I look under the tab "timing periods", it reads 80% UPRO /20% TMF for the "next timing period" (February?).

Did I get this right?
Yep..... if you didn't have a cap on it at 80%..... it would have you 100% UPRO right now (and for last few months).

hilink73
Posts: 347
Joined: Tue Sep 20, 2016 3:29 pm

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

Post by hilink73 » Tue Jan 21, 2020 4:24 pm

rascott wrote:
Tue Jan 21, 2020 4:08 pm
hilink73 wrote:
Tue Jan 21, 2020 3:18 pm
willthrill81 wrote:
Tue Jan 21, 2020 2:31 pm
hilink73 wrote:
Tue Jan 21, 2020 2:22 pm

May I ask how that target volatility strategy works. resp. how this is being implemented?
Thank you very much!
I use Portfolio Visualizer to determine the allocation. This uses monthly volatility, so I only have to change the allocation once per month at the end of the month. The method I use looks back at the last month's volatility and adjusts the next month's allocation to match the 25% desired volatility. I set the initial allocation at 80% UPRO and 20% TMF, which caps the exposure to UPRO to 80% of the portfolio; I did this because I didn't want 100% of the portfolio in such a volatile asset. I then selected TMF as the 'out of market asset', so this approach will reduce the 80% allocation to UPRO in lieu of TMF if warranted by market volatility. This model is saved into Portfolio Visualizer, so it only takes seconds once per month to figure out what the next month's allocation should be. I then go to M1 Finance, adjust the allocation accordingly, hit the rebalance button, and I'm done until the next month.
Something like this:
https://www.portfoliovisualizer.com/tes ... tion2_1=20

When I look under the tab "timing periods", it reads 80% UPRO /20% TMF for the "next timing period" (February?).

Did I get this right?
Yep..... if you didn't have a cap on it at 80%..... it would have you 100% UPRO right now (and for last few months).
Great, thanks.
What's the rationale behind 25% target volatility, if there's any beside what you feel?

keith6014
Posts: 258
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by keith6014 » Tue Jan 21, 2020 8:54 pm

Lee_WSP wrote:
Wed Jan 08, 2020 5:00 pm
HEDGEFUNDIE wrote:
Tue Jan 07, 2020 11:04 pm
Lee_WSP wrote:
Tue Jan 07, 2020 10:50 pm
sfmurph wrote:
Tue Jan 07, 2020 9:54 pm
I'm curious as to what TMF and EDV (and TDY, honestly) will look like tomorrow.
My guess is it'll look like last Friday again, but more muted. Unless something new happens between now and then.
Maybe I should have stayed the course with 40/60!
I keep on riding this bull and hoping to not get bucked! I backed out briefly when I heard of the drone strike, but then got back in before it whipsawed on Friday morning.

The longer I stay on the bull, the more jaded I become with TMF though. It's so very very volatile with hardly any discernible rhyme or reason.
I have the same feeling about TMF. Its a bumpy ride. I have cash laying around because I am waiting for TMF to drop but it hasn't as much as I like. Had the cash for 6 months. I have ETF restrictions, if I buy I have to hold for 100 days according to my company policy. I am thinking of putting my cash in IEF and wait 100 days and see if anything changes in TMF.

If anyone can suggest another ETF, I am all ears.

Still sticking with 55/45 (TMF/TQQQ). Once TQQQ drops I will invert.

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lock.that.stock
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by lock.that.stock » Tue Jan 21, 2020 9:55 pm

For those employing the target volatility strategy - what’s your driver for choosing this strategy over the fixed allocation 45/55 with quarterly rebalance? Was it the higher CAGR, reduced drawdown, or controlled volatility?

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willthrill81
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Location: USA

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

Post by willthrill81 » Tue Jan 21, 2020 9:59 pm

lock.that.stock wrote:
Tue Jan 21, 2020 9:55 pm
For those employing the target volatility strategy - what’s your driver for choosing this strategy over the fixed allocation 45/55 with quarterly rebalance? Was it the higher CAGR or reduced drawdown?
Improved returns and the lack of needing to try to figure out the 'correct AA'.
“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

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willthrill81
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Location: USA

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

Post by willthrill81 » Tue Jan 21, 2020 10:02 pm

hilink73 wrote:
Tue Jan 21, 2020 4:24 pm
What's the rationale behind 25% target volatility, if there's any beside what you feel?
Higher than that and the drawdowns could be really severe. Remember that in implementing this strategy, I only trade once per month. A lot can happen during that month.
“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

Lee_WSP
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Location: Arizona

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

Post by Lee_WSP » Tue Jan 21, 2020 10:13 pm

keith6014 wrote:
Tue Jan 21, 2020 8:54 pm
Lee_WSP wrote:
Wed Jan 08, 2020 5:00 pm
HEDGEFUNDIE wrote:
Tue Jan 07, 2020 11:04 pm
Lee_WSP wrote:
Tue Jan 07, 2020 10:50 pm
sfmurph wrote:
Tue Jan 07, 2020 9:54 pm
I'm curious as to what TMF and EDV (and TDY, honestly) will look like tomorrow.
My guess is it'll look like last Friday again, but more muted. Unless something new happens between now and then.
Maybe I should have stayed the course with 40/60!
I keep on riding this bull and hoping to not get bucked! I backed out briefly when I heard of the drone strike, but then got back in before it whipsawed on Friday morning.

The longer I stay on the bull, the more jaded I become with TMF though. It's so very very volatile with hardly any discernible rhyme or reason.
I have the same feeling about TMF. Its a bumpy ride. I have cash laying around because I am waiting for TMF to drop but it hasn't as much as I like. Had the cash for 6 months. I have ETF restrictions, if I buy I have to hold for 100 days according to my company policy. I am thinking of putting my cash in IEF and wait 100 days and see if anything changes in TMF.

If anyone can suggest another ETF, I am all ears.

Still sticking with 55/45 (TMF/TQQQ). Once TQQQ drops I will invert.
Unfortunately, EDV is probably the best alternative. Everything else is so thinly traded it makes buying & selling kind of difficult.

nocebo
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Joined: Tue Jan 21, 2020 8:39 pm

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

Post by nocebo » Tue Jan 21, 2020 10:26 pm

Threw 60k at the 55/45 allocation in my 401k. Hopefully it pans out in the long run :shock:

MotoTrojan
Posts: 8178
Joined: Wed Feb 01, 2017 8:39 pm

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

Post by MotoTrojan » Tue Jan 21, 2020 11:12 pm

dru808 wrote:
Tue Jan 21, 2020 2:57 pm
HawkeyePierce wrote:
Tue Jan 21, 2020 9:25 am
dru808 wrote:
Tue Jan 21, 2020 12:31 am
Is anyone still in or has joined in on the moto 43/57 upro/edv variant?
I'm still in it.
Did you do exactly 43/57? I’m considering this but wonder how much more volitility I’d be in store with a 45/55 aa. I’d be at 135/55 as opposed to 129/57. Does anyone think it would be game changing doing this allocation?

Edit.. I don’t mean game changing like I’m getting greedy and want a bump in return. If the 43/57 made it through 2000-2002 and 2008 how much different would it have looked with 45/55?
Agreed ^, not much difference. 43/57 just provided the same approximate volatility ratio as OP’s 55/45. I wanted to beat him with less leverage but no other skews ;). I may not have stuck around but I still feel like I won with the ~45% gain at exit after a few months, and a lot more knowledge.

uberaeth
Posts: 18
Joined: Wed Jun 12, 2019 2:29 pm

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

Post by uberaeth » Wed Jan 22, 2020 9:36 am

Lee_WSP wrote:
Tue Jan 21, 2020 10:13 pm
keith6014 wrote:
Tue Jan 21, 2020 8:54 pm
Lee_WSP wrote:
Wed Jan 08, 2020 5:00 pm
HEDGEFUNDIE wrote:
Tue Jan 07, 2020 11:04 pm
Lee_WSP wrote:
Tue Jan 07, 2020 10:50 pm


My guess is it'll look like last Friday again, but more muted. Unless something new happens between now and then.
Maybe I should have stayed the course with 40/60!
I keep on riding this bull and hoping to not get bucked! I backed out briefly when I heard of the drone strike, but then got back in before it whipsawed on Friday morning.

The longer I stay on the bull, the more jaded I become with TMF though. It's so very very volatile with hardly any discernible rhyme or reason.
I have the same feeling about TMF. Its a bumpy ride. I have cash laying around because I am waiting for TMF to drop but it hasn't as much as I like. Had the cash for 6 months. I have ETF restrictions, if I buy I have to hold for 100 days according to my company policy. I am thinking of putting my cash in IEF and wait 100 days and see if anything changes in TMF.

If anyone can suggest another ETF, I am all ears.

Still sticking with 55/45 (TMF/TQQQ). Once TQQQ drops I will invert.
Unfortunately, EDV is probably the best alternative. Everything else is so thinly traded it makes buying & selling kind of difficult.
Half of my portfolio, I'm targeting 25% volatility with 90/10 TQQQ/EDV. My tolerance for risk is very high though, so we'll see how that works out.

rascott
Posts: 1429
Joined: Wed Apr 15, 2015 10:53 am

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

Post by rascott » Wed Jan 22, 2020 9:47 am

uberaeth wrote:
Wed Jan 22, 2020 9:36 am
Lee_WSP wrote:
Tue Jan 21, 2020 10:13 pm
keith6014 wrote:
Tue Jan 21, 2020 8:54 pm
Lee_WSP wrote:
Wed Jan 08, 2020 5:00 pm
HEDGEFUNDIE wrote:
Tue Jan 07, 2020 11:04 pm


Maybe I should have stayed the course with 40/60!
I keep on riding this bull and hoping to not get bucked! I backed out briefly when I heard of the drone strike, but then got back in before it whipsawed on Friday morning.

The longer I stay on the bull, the more jaded I become with TMF though. It's so very very volatile with hardly any discernible rhyme or reason.
I have the same feeling about TMF. Its a bumpy ride. I have cash laying around because I am waiting for TMF to drop but it hasn't as much as I like. Had the cash for 6 months. I have ETF restrictions, if I buy I have to hold for 100 days according to my company policy. I am thinking of putting my cash in IEF and wait 100 days and see if anything changes in TMF.

If anyone can suggest another ETF, I am all ears.

Still sticking with 55/45 (TMF/TQQQ). Once TQQQ drops I will invert.
Unfortunately, EDV is probably the best alternative. Everything else is so thinly traded it makes buying & selling kind of difficult.
Half of my portfolio, I'm targeting 25% volatility with 90/10 TQQQ/EDV. My tolerance for risk is very high though, so we'll see how that works out.

I initiated a 100% TQQQ position in August. It is now a few points from a 100% return.... parabolic doesn't begin to describe.

Busdrvr
Posts: 122
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by Busdrvr » Wed Jan 22, 2020 10:59 am

rascott wrote:
Wed Jan 22, 2020 9:47 am
uberaeth wrote:
Wed Jan 22, 2020 9:36 am
Lee_WSP wrote:
Tue Jan 21, 2020 10:13 pm
keith6014 wrote:
Tue Jan 21, 2020 8:54 pm
Lee_WSP wrote:
Wed Jan 08, 2020 5:00 pm


I keep on riding this bull and hoping to not get bucked! I backed out briefly when I heard of the drone strike, but then got back in before it whipsawed on Friday morning.

The longer I stay on the bull, the more jaded I become with TMF though. It's so very very volatile with hardly any discernible rhyme or reason.
I have the same feeling about TMF. Its a bumpy ride. I have cash laying around because I am waiting for TMF to drop but it hasn't as much as I like. Had the cash for 6 months. I have ETF restrictions, if I buy I have to hold for 100 days according to my company policy. I am thinking of putting my cash in IEF and wait 100 days and see if anything changes in TMF.

If anyone can suggest another ETF, I am all ears.

Still sticking with 55/45 (TMF/TQQQ). Once TQQQ drops I will invert.
Unfortunately, EDV is probably the best alternative. Everything else is so thinly traded it makes buying & selling kind of difficult.
Half of my portfolio, I'm targeting 25% volatility with 90/10 TQQQ/EDV. My tolerance for risk is very high though, so we'll see how that works out.

I initiated a 100% TQQQ position in August. It is now a few points from a 100% return.... parabolic doesn't begin to describe.
WOW....your application of TQQQ prodded me to use it to bootstrap my UPRO/TMF holding and it is working well. But not THAT good. Congrats. I added more yesterday.

PluckyDucky
Posts: 210
Joined: Tue Jan 15, 2019 8:29 pm

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

Post by PluckyDucky » Wed Jan 22, 2020 11:20 am

rascott wrote:
Wed Jan 22, 2020 9:47 am
I initiated a 100% TQQQ position in August. It is now a few points from a 100% return.... parabolic doesn't begin to describe.
That's maximum pucker factor right there.

elderwise
Posts: 224
Joined: Fri Jul 22, 2016 10:27 am

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

Post by elderwise » Wed Jan 22, 2020 11:27 am

PluckyDucky wrote:
Wed Jan 22, 2020 11:20 am
rascott wrote:
Wed Jan 22, 2020 9:47 am
I initiated a 100% TQQQ position in August. It is now a few points from a 100% return.... parabolic doesn't begin to describe.
That's maximum pucker factor right there.
I rolled out of UPRO / TMF back in september to 100% TQQQ in two roth iras (spousal+ me) and its close to 45% up.

I know it can go down but the returns on TQQQ are ridiculous...is there something such as a half boglehead ? :)

sometimes i think along the lines of privatefarmer here....go big or go home :P

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Forester
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Location: UK

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

Post by Forester » Wed Jan 22, 2020 1:38 pm

When the tax-free allowances here reset this April I'll do the following;
25% 3x Nasdaq
25% 3x Europe
25% 3x Emerging
25% LT US bonds

Vol targets & the bonds are there are for re-balancing ammunition. Starting small and when the leveraged portfolio goes above 20% of my overall investments I'll sell some to benefit my normal portfolio. If the leveraged ETFs on the other hand drop below 20%, I'll leave them be, it will be a one-way street, if they don't recover then that's just tough luck.

hilink73
Posts: 347
Joined: Tue Sep 20, 2016 3:29 pm

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

Post by hilink73 » Wed Jan 22, 2020 1:42 pm

willthrill81 wrote:
Tue Jan 21, 2020 10:02 pm
hilink73 wrote:
Tue Jan 21, 2020 4:24 pm
What's the rationale behind 25% target volatility, if there's any beside what you feel?
Higher than that and the drawdowns could be really severe. Remember that in implementing this strategy, I only trade once per month. A lot can happen during that month.
Yes, a month can be a long time.
1) How would the following work: rebalancing end of January to desired allocation, then a huge drop/crash (> 30%) at the beginning of February. (Which would roughly (due to 3x leverage) translate to a 10% drop of the underlying SPY, which isn't uncommon.) Would you pull the breaks then or let it run until next rebalancing date, end of February?

2) Have you thought about implementing your trend following strategy, based on SPY moving average as baseline?

caklim00
Posts: 2035
Joined: Mon May 26, 2008 10:09 am

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

Post by caklim00 » Wed Jan 22, 2020 2:31 pm

Some of these posts are starting to get ridiculous but I'm glad this has worked out for everyone so far. I'm guessing Taylor will only jump in once the returns of TSM are greater and do a I told you so like on the tilting threads.

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