HEDGEFUNDIE's excellent adventure Part II: The next journey

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1789
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by 1789 » Thu Jul 09, 2020 5:51 pm

SVT wrote:
Thu Jul 09, 2020 5:38 pm
I read that thread and am sort of surprised that set him off so much. I mean, based on him saying it was the last straw seems to suggest there were other issues (which I'm unaware of) but just that thread in and of itself didn't seem to be that bad. There was a disagreement but from what I remember reading, it wasn't like blasting him that much.
I agree there must be something else. We are back to speculating again, now what happened to HEDGEFUNDIE... It is sad to see people leave forum.
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physixfan
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by physixfan » Thu Jul 09, 2020 6:04 pm

7th_Diagram wrote:
Thu Jul 09, 2020 4:43 pm
nisiprius wrote:
Thu Jul 09, 2020 4:28 pm
Any chance of a quarterly update of the performance chart in the initial posting?
HedgeFundie left bogleheads on June 21st...

viewtopic.php?f=1&t=318155&p=5326882#p5326882
Ahhh that's sad...

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

Post by SVT » Thu Jul 09, 2020 6:13 pm

Hopefully just needs to cool off and will be back at some point.

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

Post by SVT » Thu Jul 09, 2020 6:20 pm

nisiprius wrote:
Thu Jul 09, 2020 4:28 pm
Any chance of a quarterly update of the performance chart in the initial posting?
Since he's not here anymore (or at least for the time being), I can give you an idea, based on my own performance. It's obviously going to vary based on timing of rebalancing and exact allocation (I stuck with the OG allocation for months before going 50/50 while OP is 55/45) but I started just a week or so after OP. I doubt the numbers are too far off (plus or minus 5%?). I'm up 115% as of today.

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

Post by jolmscheid » Thu Jul 09, 2020 10:28 pm

SVT wrote:
Thu Jul 09, 2020 6:20 pm
nisiprius wrote:
Thu Jul 09, 2020 4:28 pm
Any chance of a quarterly update of the performance chart in the initial posting?
Since he's not here anymore (or at least for the time being), I can give you an idea, based on my own performance. It's obviously going to vary based on timing of rebalancing and exact allocation (I stuck with the OG allocation for months before going 50/50 while OP is 55/45) but I started just a week or so after OP. I doubt the numbers are too far off (plus or minus 5%?). I'm up 115% as of today.
And that is using UPRO/TMF (no TQQQ added in)?

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

Post by Hydromod » Thu Jul 09, 2020 10:57 pm

A good chunk of performance was in the spring last year.

I started in the beginning of June. I let the original allocation go for a few months, then started getting into adaptive allocation ideas and began shifting into TQQQ as my confidence went up. It was up 62% at the peak in the middle of February, a mix of TQQQ and TMF. This was quite a bit behind Hedgefundie, who started four months earlier.

This was the first time I paid any attention to the market during a crash. After a month of watching the death spiral, I got greedy and switched to SPXU for two weeks. On March 19. Y'all are welcome, I single-handedly turned the market around.

If I'd just left the dang thing alone, today I'd be up 71% instead of up 30%.

Valuable learning experience, mumble mumble.

I'm still in TQQQ and TMF. The market has been adjusting the weights close to the adaptive weights without me rebalancing, but it's getting a bit rich in TQQQ now and I'm due for a bit of rebalance.

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

Post by SVT » Thu Jul 09, 2020 10:59 pm

jolmscheid wrote:
Thu Jul 09, 2020 10:28 pm
SVT wrote:
Thu Jul 09, 2020 6:20 pm
nisiprius wrote:
Thu Jul 09, 2020 4:28 pm
Any chance of a quarterly update of the performance chart in the initial posting?
Since he's not here anymore (or at least for the time being), I can give you an idea, based on my own performance. It's obviously going to vary based on timing of rebalancing and exact allocation (I stuck with the OG allocation for months before going 50/50 while OP is 55/45) but I started just a week or so after OP. I doubt the numbers are too far off (plus or minus 5%?). I'm up 115% as of today.
And that is using UPRO/TMF (no TQQQ added in)?
Yes. I started like Feb 22nd (edit: 25th) 2019 at the OG allocation (40/60). I stuck with that until just maybe 3 months ago when I made a change to 50/50 (as opposed to his 55/45). I also didn't always rebalance every 3 months exactly. At one point I went probably 6 months before doing so. His performance updates each time have been only slightly worse than mine from what I remember. I was slightly better than him at his last update that's currently in the OP but it was basically at same balance as when I first started (like him). Up 115% for him should be pretty close.
Last edited by SVT on Thu Jul 09, 2020 11:10 pm, edited 1 time in total.

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

Post by SVT » Thu Jul 09, 2020 11:08 pm

Hydromod wrote:
Thu Jul 09, 2020 10:57 pm
A good chunk of performance was in the spring last year.
This UPRO/TMF portfolio is up over 100% since the March 18th low this year.

The gain last spring (Feb 25th - till beginning of June around when you started) was somewhere around 20% from what I'm looking at with my portfolio.

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

Post by rossington » Fri Jul 10, 2020 2:08 am

1789 wrote:
Thu Jul 09, 2020 5:51 pm
SVT wrote:
Thu Jul 09, 2020 5:38 pm
I read that thread and am sort of surprised that set him off so much. I mean, based on him saying it was the last straw seems to suggest there were other issues (which I'm unaware of) but just that thread in and of itself didn't seem to be that bad. There was a disagreement but from what I remember reading, it wasn't like blasting him that much.
I agree there must be something else. We are back to speculating again, now what happened to HEDGEFUNDIE... It is sad to see people leave forum.
He got hammered on a margin call:

(From:by occambogle » Tue Jun 30, 2020 9:03 am):

Is this the guy? https://www.reddit.com/r/wallstreetbet ... call_from/

The one with 400k of 3x leveraged TMF/UPRO leveraged again 8x with margin to a total of 3.2million?
"Success is going from failure to failure without loss of enthusiasm." Winston Churchill.

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

Post by occambogle » Fri Jul 10, 2020 2:24 am

@rossington - With respect, with your quoting me out of context I feel you are very much misrepresenting my actual post.... the "is this the guy?" was replying to a previous poster commenting about someone on r/wallstreetbets who had leveraged the 3x adventure another 8x on margin, and thus doesn't reflect this adventure at all. I was not at all referring to Hedgefundie, which your quoting somehow implies, and who I wish was still here and from whom I have learned an enormous amount from this thread, and am grateful for all his posts.

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

Post by keith6014 » Fri Jul 10, 2020 10:34 am

SVT wrote:
Thu Jul 09, 2020 10:59 pm
jolmscheid wrote:
Thu Jul 09, 2020 10:28 pm
SVT wrote:
Thu Jul 09, 2020 6:20 pm
nisiprius wrote:
Thu Jul 09, 2020 4:28 pm
Any chance of a quarterly update of the performance chart in the initial posting?
Since he's not here anymore (or at least for the time being), I can give you an idea, based on my own performance. It's obviously going to vary based on timing of rebalancing and exact allocation (I stuck with the OG allocation for months before going 50/50 while OP is 55/45) but I started just a week or so after OP. I doubt the numbers are too far off (plus or minus 5%?). I'm up 115% as of today.
And that is using UPRO/TMF (no TQQQ added in)?
Yes. I started like Feb 22nd (edit: 25th) 2019 at the OG allocation (40/60). I stuck with that until just maybe 3 months ago when I made a change to 50/50 (as opposed to his 55/45). I also didn't always rebalance every 3 months exactly. At one point I went probably 6 months before doing so. His performance updates each time have been only slightly worse than mine from what I remember. I was slightly better than him at his last update that's currently in the OP but it was basically at same balance as when I first started (like him). Up 115% for him should be pretty close.
If the SPX returned 11% on average for the last 10 years, it would take ~7 years to get %115. You did it in 1.5 years. Amazing.

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

Post by RocketShipTech » Fri Jul 10, 2020 10:35 am

keith6014 wrote:
Fri Jul 10, 2020 10:34 am
SVT wrote:
Thu Jul 09, 2020 10:59 pm
jolmscheid wrote:
Thu Jul 09, 2020 10:28 pm
SVT wrote:
Thu Jul 09, 2020 6:20 pm
nisiprius wrote:
Thu Jul 09, 2020 4:28 pm
Any chance of a quarterly update of the performance chart in the initial posting?
Since he's not here anymore (or at least for the time being), I can give you an idea, based on my own performance. It's obviously going to vary based on timing of rebalancing and exact allocation (I stuck with the OG allocation for months before going 50/50 while OP is 55/45) but I started just a week or so after OP. I doubt the numbers are too far off (plus or minus 5%?). I'm up 115% as of today.
And that is using UPRO/TMF (no TQQQ added in)?
Yes. I started like Feb 22nd (edit: 25th) 2019 at the OG allocation (40/60). I stuck with that until just maybe 3 months ago when I made a change to 50/50 (as opposed to his 55/45). I also didn't always rebalance every 3 months exactly. At one point I went probably 6 months before doing so. His performance updates each time have been only slightly worse than mine from what I remember. I was slightly better than him at his last update that's currently in the OP but it was basically at same balance as when I first started (like him). Up 115% for him should be pretty close.
If the SPX returned 11% on average for the last 10 years, it would take ~7 years to get %115. You did it in 1.5 years. Amazing.
With similar volatility too!

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

Post by sean.mcgrath » Fri Jul 10, 2020 12:24 pm

I am curious how the adventure is turning out, but it's difficult to keep score now that Hedgefundie has jettisoned the thread. Could anyone start an HF III, where they show the results of their investment (hopefully starting not too long after HF)?


EDIT, perhaps SVT?
SVT wrote:
Thu Jul 09, 2020 6:20 pm
Since he's not here anymore (or at least for the time being), I can give you an idea, based on my own performance. It's obviously going to vary based on timing of rebalancing and exact allocation (I stuck with the OG allocation for months before going 50/50 while OP is 55/45) but I started just a week or so after OP. I doubt the numbers are too far off (plus or minus 5%?). I'm up 115% as of today.
Last edited by sean.mcgrath on Fri Jul 10, 2020 12:39 pm, edited 1 time in total.

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

Post by RocketShipTech » Fri Jul 10, 2020 12:26 pm

sean.mcgrath wrote:
Fri Jul 10, 2020 12:24 pm
I am curious how the adventure is turning out, but it's difficult to keep score now that Hedgefundie has jettisoned the thread. Could anyone start a HF III, where they show the results of their investment (hopefully starting not too long after HF)?
Just use PV:

https://www.portfoliovisualizer.com/bac ... tion2_1=45

(If HF had started with 55/45 at the beginning)

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

Post by tchoupitoulas » Fri Jul 10, 2020 12:35 pm

RocketShipTech wrote:
Fri Jul 10, 2020 12:26 pm
sean.mcgrath wrote:
Fri Jul 10, 2020 12:24 pm
I am curious how the adventure is turning out, but it's difficult to keep score now that Hedgefundie has jettisoned the thread. Could anyone start a HF III, where they show the results of their investment (hopefully starting not too long after HF)?
Just use PV:

https://www.portfoliovisualizer.com/bac ... tion2_1=45

(If HF had started with 55/45 at the beginning)
I was going to say the same thing. One caveat: as others have noted, PV doesn't show intra-month highs or lows, so the max drawdown figures will be way less in some cases than what you'd actually experience if you watched on a day to day basis. My chart on M1 looks way scarier than the backtest in PV. Luckily I stayed the course and am at all time highs today (+75% since 4/3/19).

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

Post by rossington » Fri Jul 10, 2020 12:43 pm

occambogle wrote:
Fri Jul 10, 2020 2:24 am
@rossington - With respect, with your quoting me out of context I feel you are very much misrepresenting my actual post.... the "is this the guy?" was replying to a previous poster commenting about someone on r/wallstreetbets who had leveraged the 3x adventure another 8x on margin, and thus doesn't reflect this adventure at all. I was not at all referring to Hedgefundie, which your quoting somehow implies, and who I wish was still here and from whom I have learned an enormous amount from this thread, and am grateful for all his posts.
Thanks for the clarification, glad to hear it.
"Success is going from failure to failure without loss of enthusiasm." Winston Churchill.

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

Post by IntolerableOptimism » Fri Jul 10, 2020 12:49 pm

This post has been eye opening.

From the multiple posts, the two big factors to consider is volatility drag, and interest rates. From my view, the volatility drag is a factor that can be managed based on portfolio weighting and rebalancing based on an individual's risk profile.

The second, and more important factor to me are interest rates. From the posts, the impact of interest rates impacts the borrowing costs of the leveraged etfs. This shows up through changes in the expense ratio of the funds from my understanding.

I did a quick calculation of ^GSPC, ^GSPC*3, and UPRO daily total returns since January 5, 2009 using log returns. The sums are:
^GSPC: 1.23 total return
^GSPC*3: 3.69 (x3 of ^GSPC) total return
UPRO: 2.99 (x2.43 of ^GSPC) total return

With the maximum fed fund rate during this time period at 2.42%, could I assume that as long as I can stomach the volatility and the impact of volatility drag in my portfolio, I don't really need to worry about revisiting using leverage until the fed fund rates rise to 2.4 - 3 percent?

At what interest rate does the cost of borrowing eliminate the benefits of leveraging the S&P 500? And how would that reflect in USPRO's or similar expense ratio? For example, if USPRO states that the annual expense ratio will change from .95% to say 2%, how does that impact how much leverage to apply or if any leverage should be applied?

In my case explicitly, I have been using leverage slightly different in my traditional IRA for a while now without really digging into the math and risk of using leverage. I have not been too diligent with the account as I tend to balance either quarterly or semi-annually. In terms of significant market changes, I kind of just wait to see what the market does, and then rebalance as necessary. In terms of the drop that happened this year, I didn't really sell much. Rather, I just kept adding my contributions to UPRO, and SCHD as necessary to boost the percentages in my account.

* My target weightings are:

UPRO - 17%
SCHD - 70%
EDV - 13%

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

Post by nigel_ht » Fri Jul 10, 2020 1:17 pm

Is there a good synopsis post of the current implementation or is it the same as the OP? I (think) I see some variations within the thread.

vijaym73
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by vijaym73 » Fri Jul 10, 2020 3:25 pm

Okay...here's something and I am sure i will get backlash but welcome it.

Why not go 100% TQQQ or 100% UPRO or 50/50 ??

I have a large rental portfolio that keeps spilling out monthly income; in fact even with COVID crisis my monthly payments haven't skipped a beat. Why not keep this as my "bond" portion and forego TMF ?

thanks

VJ

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

Post by langlands » Fri Jul 10, 2020 3:38 pm

vijaym73 wrote:
Fri Jul 10, 2020 3:25 pm
Okay...here's something and I am sure i will get backlash but welcome it.

Why not go 100% TQQQ or 100% UPRO or 50/50 ??

I have a large rental portfolio that keeps spilling out monthly income; in fact even with COVID crisis my monthly payments haven't skipped a beat. Why not keep this as my "bond" portion and forego TMF ?

thanks

VJ
It could make sense. There are two groups of people posting in this thread: those who want to dabble in the "adventure" and want a clean siloed "adventure" portfolio and those who buy the fundamental principles of leveraging a diversified portfolio and are essentially doing a variant of the "adventure" with their entire portfolio. It sounds like you are tentatively considering the second camp.

When you say "100% TQQQ," I assume you don't really mean that and just mean that you don't plan on adding TMF. Just think about how much QQQ/SPY you want as a percentage of your portfolio and how much leverage you want to take. Those two numbers will tell you how much TQQQ/UPRO to buy.

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

Post by Semantics » Fri Jul 10, 2020 4:37 pm

vijaym73 wrote:
Fri Jul 10, 2020 3:25 pm
Okay...here's something and I am sure i will get backlash but welcome it.

Why not go 100% TQQQ or 100% UPRO or 50/50 ??

I have a large rental portfolio that keeps spilling out monthly income; in fact even with COVID crisis my monthly payments haven't skipped a beat. Why not keep this as my "bond" portion and forego TMF ?
Did your rental portfolio return +35% of its value from Feb-Apr? Because that's what TMF did, and will likely do going forward when equities go down. Plus, when equities soar, you're not likely to be able to add to your rental portfolio at bargain prices.

100% UPRO should *on average* produce better returns over most time intervals, but you run the risk of a major drawdown that takes out most of the holdings (e.g. 2008) and from there it may take decades to recover. E.g. if you bought in 2003 (had UPRO existed then), you would only have 1/5th the value of the balanced version. Even contributing 10% of the original principal per year, you would only have 1/4th the value of the balanced version.

https://www.portfoliovisualizer.com/bac ... on3_2=-200

Now, if you're willing to sell a big chunk of your rental portfolio to rebalance into UPRO the next time there's a big drawdown in UPRO then the 100% approach would do better. But chances are you aren't, and even if you were, chances are your rental portfolio isn't strongly negatively correlated to UPRO the way TMF is (in fact, it's probably positively correlated), so you'd still end up being better off with TMF in the portfolio. And even if you were okay with the risk of 100% UPRO in that part of your portfolio, you could theoretically get better returns for that same risk by doing 55/45 with 5x-6x leverage instead of 3x.

vijaym73
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by vijaym73 » Fri Jul 10, 2020 5:23 pm

Appreciate the insights

Thanks

Yep, i will stick with my current allotment -- its actually 60/40 instead of 55/45

thanks

VJ

mr_mac3
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by mr_mac3 » Fri Jul 10, 2020 7:00 pm

I was thinking about shorting leveraged 3x inverse etfs instead. Volatility decay would be on my side. When the index dips I would essentially be buying into the dip instead of deleveraging. This is because when the index dips, the inverse etf increases in value so that the daily reset would require increasing exposure. The disadvantage is not selling into downturns, which means long periods of negative returns would really hurt.

I could implement this by selling synthetic longs (buy a put sell the same strike call). This would let me short the etfs at near risk free rate. Since inverse etfs have small face value it would be easier to set the right exposure (SPXS @ $7.13 means $713 of SPXS short exposure per contract. Idk what I'd do with the collateral cash.

Has anyone given this any thought?

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

Post by ChrisBenn » Fri Jul 10, 2020 7:35 pm

mr_mac3 wrote:
Fri Jul 10, 2020 7:00 pm
I was thinking about shorting leveraged 3x inverse etfs instead. Volatility decay would be on my side. When the index dips I would essentially be buying into the dip instead of deleveraging. This is because when the index dips, the inverse etf increases in value so that the daily reset would require increasing exposure. The disadvantage is not selling into downturns, which means long periods of negative returns would really hurt.

I could implement this by selling synthetic longs (buy a put sell the same strike call). This would let me short the etfs at near risk free rate. Since inverse etfs have small face value it would be easier to set the right exposure (SPXS @ $7.13 means $713 of SPXS short exposure per contract. Idk what I'd do with the collateral cash.

Has anyone given this any thought?
https://iborrowdesk.com/report/SPXU

Looks like ~1.1% borrow cost. I have no stats on the callability. Even if you could hold for a year think shorting is always stcg no matter what (assuming you are borrowing the shares) - so if it's in taxable some definite headwind.

Actually you would have to roll your shorts effectively or you become capped at 100% gain. I am not sure what would be an optimal holding period, but for a 3x inverse I could def see it being less than a year.

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

Post by Thereum » Sat Jul 11, 2020 12:54 am

Is anyone considering using a margin loan financed with a box spread instead of using leveraged ETFs? You can get a <1% interest rate on box spreads expiring in 2022. Does anyone know if Fidelity allows this strategy?

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

Post by glenmalan » Sat Jul 11, 2020 8:41 am

vijaym73 wrote:
Fri Jul 10, 2020 3:25 pm
Okay...here's something and I am sure i will get backlash but welcome it.

Why not go 100% TQQQ or 100% UPRO or 50/50 ??

I have a large rental portfolio that keeps spilling out monthly income; in fact even with COVID crisis my monthly payments haven't skipped a beat. Why not keep this as my "bond" portion and forego TMF ?

thanks

VJ
The purpose of TMF isn't to be a "bond portfolio" but to act as a hedge during the periods that UPRO is experiencing a downturn.

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

Post by kim.gold » Sat Jul 11, 2020 9:39 am

Thereum wrote:
Sat Jul 11, 2020 12:54 am
Is anyone considering using a margin loan financed with a box spread instead of using leveraged ETFs? You can get a <1% interest rate on box spreads expiring in 2022. Does anyone know if Fidelity allows this strategy?
Selling a box spread for financing, when done properly, is one of the most efective strategy to finance securities in a brokerage account. You should be getting the 13 Week Treasury Bill rate, which is 0.12% today, locked in for 3 months.

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

Post by nisiprius » Sat Jul 11, 2020 11:45 am

RocketShipTech wrote:
Fri Jul 10, 2020 12:26 pm
sean.mcgrath wrote:
Fri Jul 10, 2020 12:24 pm
I am curious how the adventure is turning out, but it's difficult to keep score now that Hedgefundie has jettisoned the thread. Could anyone start a HF III, where they show the results of their investment (hopefully starting not too long after HF)?
Just use PV:

https://www.portfoliovisualizer.com/bac ... tion2_1=45

(If HF had started with 55/45 at the beginning)
I thought it wasn't as simple as that; I thought there was something specific about his rebalancing regime that wasn't the same as PortfolioVisualizer. But I haven't been following closely. Since he did change asset allocation, another issue is that someone who wants to follow his strategy "needs" him to be available to call any future needed changes in asset allocation.
Annual income twenty pounds, annual expenditure nineteen nineteen and six, result happiness; Annual income twenty pounds, annual expenditure twenty pounds ought and six, result misery.

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

Post by RocketShipTech » Sat Jul 11, 2020 11:58 am

nisiprius wrote:
Sat Jul 11, 2020 11:45 am
RocketShipTech wrote:
Fri Jul 10, 2020 12:26 pm
sean.mcgrath wrote:
Fri Jul 10, 2020 12:24 pm
I am curious how the adventure is turning out, but it's difficult to keep score now that Hedgefundie has jettisoned the thread. Could anyone start a HF III, where they show the results of their investment (hopefully starting not too long after HF)?
Just use PV:

https://www.portfoliovisualizer.com/bac ... tion2_1=45

(If HF had started with 55/45 at the beginning)
I thought it wasn't as simple as that; I thought there was something specific about his rebalancing regime that wasn't the same as PortfolioVisualizer. But I haven't been following closely. Since he did change asset allocation, another issue is that someone who wants to follow his strategy "needs" him to be available to call any future needed changes in asset allocation.
I interpreted his change in allocation not so much as a response to new market conditions but rather what he would have started with had he heard all the arguments aired on day 1.

If we accept this, then the spirit of the strategy is not to market time and so there would be no “future needed changes in AA.”

Just my interpretation though.

There is also the matter of behavioral risk. Part of the value of following his actual strategy is also to track how he actually handles volatility. If he rebalances off schedule (as he already has once) or exits the strategy entirely due to drawdown risk, that would be relevant to the real life viability of the strategy. So I agree with you there.

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

Post by ltdshred » Sat Jul 11, 2020 2:29 pm

rossington wrote:
Fri Jul 10, 2020 2:08 am
1789 wrote:
Thu Jul 09, 2020 5:51 pm
SVT wrote:
Thu Jul 09, 2020 5:38 pm
I read that thread and am sort of surprised that set him off so much. I mean, based on him saying it was the last straw seems to suggest there were other issues (which I'm unaware of) but just that thread in and of itself didn't seem to be that bad. There was a disagreement but from what I remember reading, it wasn't like blasting him that much.
I agree there must be something else. We are back to speculating again, now what happened to HEDGEFUNDIE... It is sad to see people leave forum.
He got hammered on a margin call:

(From:by occambogle » Tue Jun 30, 2020 9:03 am):

Is this the guy? https://www.reddit.com/r/wallstreetbet ... call_from/

The one with 400k of 3x leveraged TMF/UPRO leveraged again 8x with margin to a total of 3.2million?
Don't post conjecture like that without evidence that it was him

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

Post by ltdshred » Sat Jul 11, 2020 2:35 pm

Hydromod wrote:
Thu Jul 09, 2020 10:57 pm
A good chunk of performance was in the spring last year.

I started in the beginning of June. I let the original allocation go for a few months, then started getting into adaptive allocation ideas and began shifting into TQQQ as my confidence went up. It was up 62% at the peak in the middle of February, a mix of TQQQ and TMF. This was quite a bit behind Hedgefundie, who started four months earlier.

This was the first time I paid any attention to the market during a crash. After a month of watching the death spiral, I got greedy and switched to SPXU for two weeks. On March 19. Y'all are welcome, I single-handedly turned the market around.

If I'd just left the dang thing alone, today I'd be up 71% instead of up 30%.

Valuable learning experience, mumble mumble.

I'm still in TQQQ and TMF. The market has been adjusting the weights close to the adaptive weights without me rebalancing, but it's getting a bit rich in TQQQ now and I'm due for a bit of rebalance.
I went through a 55/45 TQQQ-TMF starting Jan 1st this year and went through the crisis with it based on your work on quarterly rebalancing being the most optimal. I'm up 82.09% as of yesterday. I have you and your quant analysis to thank for that man. :sharebeer

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

Post by Hydromod » Sat Jul 11, 2020 3:10 pm

ltdshred wrote:
Sat Jul 11, 2020 2:35 pm
I went through a 55/45 TQQQ-TMF starting Jan 1st this year and went through the crisis with it based on your work on quarterly rebalancing being the most optimal. I'm up 82.09% as of yesterday. I have you and your quant analysis to thank for that man. :sharebeer
A case of do as I say, not as I do, eh?

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

Post by Thereum » Sat Jul 11, 2020 3:34 pm

kim.gold wrote:
Sat Jul 11, 2020 9:39 am
Thereum wrote:
Sat Jul 11, 2020 12:54 am
Is anyone considering using a margin loan financed with a box spread instead of using leveraged ETFs? You can get a <1% interest rate on box spreads expiring in 2022. Does anyone know if Fidelity allows this strategy?
Selling a box spread for financing, when done properly, is one of the most efective strategy to finance securities in a brokerage account. You should be getting the 13 Week Treasury Bill rate, which is 0.12% today, locked in for 3 months.
Yes, I agree with you. My backtests show higher absolute and risk adjusted returns for SPY/TLT on margin compared to UPRO/TMF.

I was thinking of using long term options to lock in an interest rate and avoid commissions and the bid-ask spread. You are paying a bit more in terms of interest rate but experiencing less friction.

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

Post by kim.gold » Sat Jul 11, 2020 4:17 pm

Thereum wrote:
Sat Jul 11, 2020 3:34 pm
kim.gold wrote:
Sat Jul 11, 2020 9:39 am
Thereum wrote:
Sat Jul 11, 2020 12:54 am
Is anyone considering using a margin loan financed with a box spread instead of using leveraged ETFs? You can get a <1% interest rate on box spreads expiring in 2022. Does anyone know if Fidelity allows this strategy?
Selling a box spread for financing, when done properly, is one of the most efective strategy to finance securities in a brokerage account. You should be getting the 13 Week Treasury Bill rate, which is 0.12% today, locked in for 3 months.
Yes, I agree with you. My backtests show higher absolute and risk adjusted returns for SPY/TLT on margin compared to UPRO/TMF.

I was thinking of using long term options to lock in an interest rate and avoid commissions and the bid-ask spread. You are paying a bit more in terms of interest rate but experiencing less friction.
I am not familiar with the long term options technique. Can you share it with us? Thanks.

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

Post by Lee_WSP » Sat Jul 11, 2020 4:18 pm

kim.gold wrote:
Sat Jul 11, 2020 4:17 pm
Thereum wrote:
Sat Jul 11, 2020 3:34 pm
kim.gold wrote:
Sat Jul 11, 2020 9:39 am
Thereum wrote:
Sat Jul 11, 2020 12:54 am
Is anyone considering using a margin loan financed with a box spread instead of using leveraged ETFs? You can get a <1% interest rate on box spreads expiring in 2022. Does anyone know if Fidelity allows this strategy?
Selling a box spread for financing, when done properly, is one of the most efective strategy to finance securities in a brokerage account. You should be getting the 13 Week Treasury Bill rate, which is 0.12% today, locked in for 3 months.
Yes, I agree with you. My backtests show higher absolute and risk adjusted returns for SPY/TLT on margin compared to UPRO/TMF.

I was thinking of using long term options to lock in an interest rate and avoid commissions and the bid-ask spread. You are paying a bit more in terms of interest rate but experiencing less friction.
I am not familiar with the long term options technique. Can you share it with us? Thanks.
Long term options are options with expiration dates at least a year from the date purchased.

https://www.investingdaily.com/44771/le ... t%20prices.

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

Post by kim.gold » Sat Jul 11, 2020 4:21 pm

Lee_WSP wrote:
Sat Jul 11, 2020 4:18 pm
kim.gold wrote:
Sat Jul 11, 2020 4:17 pm
Thereum wrote:
Sat Jul 11, 2020 3:34 pm
kim.gold wrote:
Sat Jul 11, 2020 9:39 am
Thereum wrote:
Sat Jul 11, 2020 12:54 am
Is anyone considering using a margin loan financed with a box spread instead of using leveraged ETFs? You can get a <1% interest rate on box spreads expiring in 2022. Does anyone know if Fidelity allows this strategy?
Selling a box spread for financing, when done properly, is one of the most efective strategy to finance securities in a brokerage account. You should be getting the 13 Week Treasury Bill rate, which is 0.12% today, locked in for 3 months.
Yes, I agree with you. My backtests show higher absolute and risk adjusted returns for SPY/TLT on margin compared to UPRO/TMF.

I was thinking of using long term options to lock in an interest rate and avoid commissions and the bid-ask spread. You are paying a bit more in terms of interest rate but experiencing less friction.
I am not familiar with the long term options technique. Can you share it with us? Thanks.
Long term options are options with expiration dates at least a year from the date purchased.

https://www.investingdaily.com/44771/le ... t%20prices.
Are you referring to the LEAPS and treasuries combination, similar with the SWAN etf?

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

Post by Lee_WSP » Sat Jul 11, 2020 4:51 pm

kim.gold wrote:
Sat Jul 11, 2020 4:21 pm
Are you referring to the LEAPS and treasuries combination, similar with the SWAN etf?
I'm just giving you the definition you sought.

But if you wanted to simulate this using in the money LEAPS, you could. But futures might be easier. Also, the option has the possibility of expiring worthless. So I'm not entirely sure using options without selling the puts and creating a synthetic future is a good idea to begin with.

TLDR - I'd personally go with futures if you didn't want to use the ETF's.

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

Post by kim.gold » Sat Jul 11, 2020 4:57 pm

Lee_WSP wrote:
Sat Jul 11, 2020 4:51 pm
kim.gold wrote:
Sat Jul 11, 2020 4:21 pm
Are you referring to the LEAPS and treasuries combination, similar with the SWAN etf?
I'm just giving you the definition you sought.

But if you wanted to simulate this using in the money LEAPS, you could. But futures might be easier. Also, the option has the possibility of expiring worthless. So I'm not entirely sure using options without selling the puts and creating a synthetic future is a good idea to begin with.

TLDR - I'd personally go with futures if you didn't want to use the ETF's.
Still confused. You said "I was thinking of using long term options to lock in an interest rate and avoid commissions and the bid-ask spread" and I've asked you to explain it. Not looking for LEAPS definition.

So, how do you use long term options to lock in an interest rate and avoid commissions and the bid-ask spread? Thanks.

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

Post by sean.mcgrath » Sat Jul 11, 2020 5:12 pm

nisiprius wrote:
Sat Jul 11, 2020 11:45 am
I thought it wasn't as simple as that; I thought there was something specific about his rebalancing regime that wasn't the same as PortfolioVisualizer. But I haven't been following closely. Since he did change asset allocation, another issue is that someone who wants to follow his strategy "needs" him to be available to call any future needed changes in asset allocation.
Your point is absolutely valid, but there's a danger of the perfect as the enemy of the good. A "proxy HF" would be better than nothing. :D
RocketShipTech wrote:
Sat Jul 11, 2020 11:58 am
I interpreted his change in allocation not so much as a response to new market conditions but rather what he would have started with had he heard all the arguments aired on day 1.

If we accept this, then the spirit of the strategy is not to market time and so there would be no “future needed changes in AA.”

Just my interpretation though.

There is also the matter of behavioral risk. Part of the value of following his actual strategy is also to track how he actually handles volatility. If he rebalances off schedule (as he already has once) or exits the strategy entirely due to drawdown risk, that would be relevant to the real life viability of the strategy. So I agree with you there.
Exactly. If you or SVT were to start a branched thread with your results, we will be pretty close: academic strategy, behavioral traps, and proper rebalancing. Much better than PV.

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

Post by Lee_WSP » Sat Jul 11, 2020 6:09 pm

kim.gold wrote:
Sat Jul 11, 2020 4:57 pm
Lee_WSP wrote:
Sat Jul 11, 2020 4:51 pm
kim.gold wrote:
Sat Jul 11, 2020 4:21 pm
Are you referring to the LEAPS and treasuries combination, similar with the SWAN etf?
I'm just giving you the definition you sought.

But if you wanted to simulate this using in the money LEAPS, you could. But futures might be easier. Also, the option has the possibility of expiring worthless. So I'm not entirely sure using options without selling the puts and creating a synthetic future is a good idea to begin with.

TLDR - I'd personally go with futures if you didn't want to use the ETF's.
Still confused. You said "I was thinking of using long term options to lock in an interest rate and avoid commissions and the bid-ask spread" and I've asked you to explain it. Not looking for LEAPS definition.

So, how do you use long term options to lock in an interest rate and avoid commissions and the bid-ask spread? Thanks.
You're confusing me with thereum

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

Post by Micronite » Sun Jul 12, 2020 2:04 am

Is it a good idea to use the Excellent Adventure outside of a tax-advantaged account? I heard some mention that the capital gains tax from rebalancing would cause a significant drag on performance.

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

Post by Noobvestor » Sun Jul 12, 2020 2:14 am

RocketShipTech wrote:
Sat Jul 11, 2020 11:58 am
I interpreted his change in allocation not so much as a response to new market conditions but rather what he would have started with had he heard all the arguments aired on day 1.

If we accept this, then the spirit of the strategy is not to market time and so there would be no “future needed changes in AA.”

Just my interpretation though.
Faith, spirit, interpretation, a genesis moment (literally: "day 1'") - sounds like a religion in the making. :shock:
"In the absence of clarity, diversification is the only logical strategy" -= Larry Swedroe

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

Post by RocketShipTech » Sun Jul 12, 2020 2:35 am

Noobvestor wrote:
Sun Jul 12, 2020 2:14 am
RocketShipTech wrote:
Sat Jul 11, 2020 11:58 am
I interpreted his change in allocation not so much as a response to new market conditions but rather what he would have started with had he heard all the arguments aired on day 1.

If we accept this, then the spirit of the strategy is not to market time and so there would be no “future needed changes in AA.”

Just my interpretation though.
Faith, spirit, interpretation, a genesis moment (literally: "day 1'") - sounds like a religion in the making. :shock:
And don’t forget the mysteriously departed prophet...

🙏🏻

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

Post by queso » Sun Jul 12, 2020 8:24 am

Micronite wrote:
Sun Jul 12, 2020 2:04 am
Is it a good idea to use the Excellent Adventure outside of a tax-advantaged account? I heard some mention that the capital gains tax from rebalancing would cause a significant drag on performance.
I'm doing it, but I'm probably not rebalancing as much as I should.

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

Post by Meaty » Sun Jul 12, 2020 9:35 am

queso wrote:
Sun Jul 12, 2020 8:24 am
Micronite wrote:
Sun Jul 12, 2020 2:04 am
Is it a good idea to use the Excellent Adventure outside of a tax-advantaged account? I heard some mention that the capital gains tax from rebalancing would cause a significant drag on performance.
I'm doing it, but I'm probably not rebalancing as much as I should.
+1
"Discipline equals Freedom" - Jocko Willink

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

Post by Hydromod » Sun Jul 12, 2020 1:26 pm

Micronite wrote:
Sun Jul 12, 2020 2:04 am
Is it a good idea to use the Excellent Adventure outside of a tax-advantaged account? I heard some mention that the capital gains tax from rebalancing would cause a significant drag on performance.
One strategy that I've seen for tactical allocations is to break the portfolio into parts (say 5 parts for quarterly rebalancing, 13 parts for monthly rebalancing). The idea would be to cycle through the parts one after another when rebalancing the entire portfolio, so that each part is rebalanced at least a year apart and the rebalancing event is always taxed at long-term rates.

Presumably one would cycle cash additions in the same way, if adding to the portfolio.

Sounds a little complicated. I guess you'd need N accounts to keep it straight.

Alfie121
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by Alfie121 » Sun Jul 12, 2020 1:54 pm

hilink73 wrote:
Thu Jul 02, 2020 12:12 pm
TechFI wrote:
Thu Jul 02, 2020 10:34 am
Where are people buying UPRO/TMF? I tried purchasing some in my Roth IRA (Vanguard), and it would not allow me to buy leveraged products?!
Interactive Brokers
Same here.

I am in as of 5/28, with TQQQ/TMF. Investing a *very* small portion of my overall investable funds in this.

Up 30%, but, of course, a period of about one month is statically insignificant.

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

Post by Dr. Long » Sun Jul 12, 2020 10:52 pm

Micronite wrote:
Sun Jul 12, 2020 2:04 am
Is it a good idea to use the Excellent Adventure outside of a tax-advantaged account?
No
"(It's) the economy, stupid," - James Carville

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

Post by taojaxx » Mon Jul 13, 2020 4:30 am

For those with a margin account at IB, PV shows that VTI+EDV leveraged 3 times is a superior alternative to UPRO/TMF. 8.5 higher CAGR, better Sharpe, better Sortino, lower US market correlation. Max drawdown and SD are slightly higher though.

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

Post by BayStater » Mon Jul 13, 2020 8:39 am

taojaxx wrote:
Mon Jul 13, 2020 4:30 am
For those with a margin account at IB, PV shows that VTI+EDV leveraged 3 times is a superior alternative to UPRO/TMF. 8.5 higher CAGR, better Sharpe, better Sortino, lower US market correlation. Max drawdown and SD are slightly higher though.
I thought the issue was when you do this in a margin account there's not a daily leverage reset. So it's not a 1:1 comparison to the HEDGEFUNDIE strategy. I don't recall the specifics, but I believe running in a margin account has different risks than UPRO/TMF.

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