HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]

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

Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]

Post by jaj2276 » Sun Feb 10, 2019 4:30 pm

samsdad wrote:
Sun Feb 10, 2019 3:46 pm
...
Curiosity got the better of me. Here's "my" data from June 2009 to December 2018. I can't do a specific day.

Code: Select all

Jun 09-18	Final Balance	CAGR	Stdev	Best Year Worst Year	Max. Drawdown	Sharpe Sortino  US Mkt Correlation
No rebalancing: $61,344 	21.04% 	30.12%	59.40%	 -20.83%	-35.66% 	0.78	1.22	0.87
Annually: 	$59,634 	20.68% 	27.85%	54.21%	 -11.64%	-29.70% 	0.79	1.73	0.54
Semi: 		$58,522 	20.44% 	28.77%	56.44%	 -11.46%	-29.70% 	0.77	1.69	0.51
Quarterly: 	$53,619 	19.34% 	27.69%	56.47%	 -9.76%		-33.98% 	0.76	1.52	0.53
Monthly: 	$52,886 	19.16% 	29.28%	59.49%	 -12.30%	-35.40% 	0.72	1.46	0.50
Bands: 		$55,765 	19.83% 	28.78%	57.77%	 -11.31%	-33.49% 	0.75	1.56	0.52
I THINK THIS DATA IS PRETTY WORTHLESS, HOWEVER. Due to the chunkiness of the LTT 3X fund, especially its divergence at the end of the time period (which appears to be just an artifact of how things ended).
Yes, I meant using your data. I used TMF and UPRO closing prices downloaded from Yahoo for "my data." I still can't seem to replicate your no rebalancing as having the highest CAGR.

User avatar
siamond
Posts: 5016
Joined: Mon May 28, 2012 5:50 am

Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]

Post by siamond » Sun Feb 10, 2019 4:30 pm

EfficientInvestor wrote:
Sun Feb 10, 2019 3:57 pm
EfficientInvestor wrote:
Sun Feb 10, 2019 3:44 pm
See the link below that will take you to Direxion's prospectus page for TMF. Under the "Target Index" section, it states that the fund tracks the ICE U.S. Treasury 20+ Year Bond Index (IDCOT20TR), "TR" standing for Total Return. Therefore, the intent is to achieve results that meet 3X the total return, not just the underlying price. How they go about meeting that total return takes a little digging.

If you click on the "Daily Holdings" tab, you will see the current holdings. If you multiply current price of $19.78 x shares outstanding listed of 5.35MM, you get a AUM of $105.8MM. Of that, you can see that $73.4MM (2/3 of fund value) is in TLT. This is where TMF's 1.48% yield currently comes from. Everything else listed in the daily holdings is either cash (Bank of NY Cash Reserve and the Goldman products) or a derivative (ISHARES BOND ETF SWAP). However, if you add up the market value in TLT and the ETF SWAPs, you get a total of $317.2MM, which is almost exactly 3X of the $105.8MM AUM. Therefore, their market exposure is 3X their AUM, which is what it is supposed to be. As for all the derivatives, I'm not going to pretend to know the exact details of all of them. However, it is my understanding that these derivatives are inclusive of dividends and not just based on the underlying price of TLT. If they weren't there would be an arbitrage possibility because you could then just go long TLT, go short the TLT swaps, and pocket the yield you get from being long TLT without any risk.

All that being said...I believe using daily data of TLT is the best way to model the performance of TMF prior to its inception (they track the same index). However, TLT hasn't been around very long either. That is why I used VUSTX instead. As shown in my article about creating the proxy funds, my TMF proxy was created using a weighted average that consisted of 94% of the adjusted daily close of VUSTX (w/ dividend) and only 6% without and then 1% for expense ratio. In other words, the actual returns of TMF are largely influenced by the dividend (total return) of the bond fund, not just the price of the index (or the price of TLT).

http://www.direxioninvestments.com/prod ... ull-3x-etf
Now for UPRO or SPXL (Direxion's 3X S&P 500 fund). I will stick with SPXL since we are now used to navigating Direxion's prospectus page for TMF. See the link below for the SPXL prospectus page. The Target Index is SPXT which is also a total return index. As with TMF, SPXL has a large portion of their AUM in an unleveraged ETF that tracks the same index. In this case, they have what appears to be over 70% of AUM in IVV. The rest is in cash and S&P 500 index swaps. Total market value exposure in the ETF and index swaps add up to 3X the AUM. The IVV holdings produce a dividend and the index swaps are assumed to be inclusive of dividend payments due to the arbitrage opportunity that would otherwise occur (unless I'm not understanding something there). All that said, the actual return of UPRO or SPXL is somewhere in between the price return and total return due to fees or other expenses or slippages involved in operating the funds.

http://www.direxioninvestments.com/prod ... ull-3x-etf
Thanks for this perspective, those are good inputs. I've been burning my eyes this afternoon with the UPRO, SSO and S&P 500 daily numbers. I have ways to get the NAV daily numbers and the Gross Returns daily numbers (*before* the ER adjustment, one less variable to worry about), the difference being the distributions (e.g. dividends). Long story short, I continue to believe they are tracking the S&P 500 NAV, PLUS they do something smart with the daily dividends, which actually brings the numbers somewhere in-between the S&P 500 PR and TR series (times the leverage). Which is actually not terribly different from what you're saying. And maybe I got it wrong, and they do track the TR index and there are some extra frictions along the way, as you're suggesting (those would have to be really large frictions though, but who knows how this thing truly works).

Anyhoo, I was hoping that close examination of such daily numbers would reveal a pattern that we could follow for modeling in a more precise manner, notably by computing a daily reinvesting of S&P 500 dividends, but... my experiment ended up with strong inconsistencies between SSO and UPRO (I'm ready to bet your own 'curve-fitting' calibration would show something similar between the two funds - I am afraid I was doing another form of curve-fitting to be perfectly honest).

So... long story short, we're back to square 1, and yeah, all we can say at this point is that the actual return of a 2x or 3x fund is somewhere in between the price return and total return times of the index times the leverage, and I am afraid we really don't have a good handle on where this middle point is. I'll play with TMF and TYD (where I can more easily believe that they might track the TR index, as is typical for bonds) later today...
Last edited by siamond on Sun Feb 10, 2019 4:32 pm, edited 1 time in total.

EfficientInvestor
Posts: 237
Joined: Thu Nov 01, 2018 7:02 pm
Location: Alabama

Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]

Post by EfficientInvestor » Sun Feb 10, 2019 4:32 pm

samsdad wrote:
Sun Feb 10, 2019 3:46 pm
samsdad wrote:
Sun Feb 10, 2019 3:17 pm
jaj2276 wrote:
Sun Feb 10, 2019 3:03 pm
samsdad wrote:
Sun Feb 10, 2019 12:23 pm
Instead of posting pictures some more, let me just tell you what my data set says about rebalancing. Again CAUTION!

40/60 3X Initial bal:$10k

Code: Select all

1950-2018	Final Balance	CAGR	Stdev	Best Year Worst Year	Max. Drawdown	Sharpe Sortino  US Mkt Correlation
No rebalancing:   $123,159,666 	14.86% 	36.19%	124.87%	 -65.13%	-83.67% 	0.46	0.69		0.91
Annually: 	$1,723,365,187 	19.40% 	28.95%	110.13%	 -24.77%	-49.99% 	0.60	1.34		0.60
Semi: 		$1,481,610,072 	19.14% 	28.95%	118.02%	 -28.32%	-50.22% 	0.59	1.35		0.59
Quarterly:	$1,205,486,523 	18.77% 	28.88%	119.89%	 -27.70%	-50.67% 	0.58	1.31		0.61
Monthly: 	$1,070,252,880 	18.57% 	29.58%	120.28%	 -31.38%	-54.33% 	0.57	1.28		0.60
Bands: 		  $993,315,909 	18.44% 	29.31%	124.07%	 -30.42%	-54.39% 	0.57	1.26		0.61

1950-1981
No rebalancing: $162,620 	9.41% 	35.01%	110.41%	 -65.13%	-83.67% 	0.30	0.44		0.98
Annually:	$250,933 	10.96% 	20.50%	79.29%	 -24.77%	-46.34% 	0.38	0.67		0.80
Semi:		$203,021 	10.20% 	20.21%	69.54%	 -28.32%	-50.22% 	0.35	0.60		0.82
Quarterly:	$177,834 	9.73% 	20.40%	64.90%	 -27.70%	-50.67% 	0.33	0.56		0.83
Monthly:	$156,258 	9.27% 	20.59%	64.22%	 -31.38%	-54.33% 	0.31	0.52		0.83
Bands: 		$157,001 	9.29% 	20.61%	64.47%	 -30.42%	-54.39% 	0.31	0.52		0.84

1982-2018
No rebalancing: $17,512,887 	22.37% 	38.46%	101.53%	 -49.38%	-50.72% 	0.59	1.57		0.30
Annually:	$68,678,430 	26.97% 	34.34%	110.13%	 -22.43%	-49.99% 	0.74	1.81		0.53
Semi:		$72,978,304 	27.18% 	34.47%	118.02%	 -17.38%	-41.62% 	0.74	1.91		0.51
Quarterly:	$67,787,355 	26.92% 	34.26%	119.89%	 -18.04%	-43.37% 	0.74	1.86		0.52
Monthly:	$68,492,562 	26.96% 	35.25%	120.28%	 -17.04%	-45.17% 	0.73	1.84		0.52
Bands:		$63,377,287 	26.69% 	34.82%	124.07%	 -18.62%	-44.89% 	0.72	1.82		0.52
.
I don't doubt the numbers, but can you do your rebalancing bands on the time period when the things we can actually invest in (assuming we don't have the ability to do swaps and futures) are available? So maybe 6/25/2009 on (that was UPRO inception date, TMF came about a few months earlier). The reason I ask is because my rebalancing numbers show that quarterly rebal was the best (similar to the OPs). I started my portfolio in Feb of 2010 both to make sure that UPRO and TMF were around and because it was Feb when I started reading this thread.
Wait, do you want me to use my data? Or are you looking for the actual UPRO AND TMF numbers because, as you know, those would arlready be on PV.
Curiosity got the better of me. Here's "my" data from June 2009 to December 2018. I can't do a specific day.

Code: Select all

Jun 09-18	Final Balance	CAGR	Stdev	Best Year Worst Year	Max. Drawdown	Sharpe Sortino  US Mkt Correlation
No rebalancing: $61,344 	21.04% 	30.12%	59.40%	 -20.83%	-35.66% 	0.78	1.22	0.87
Annually: 	$59,634 	20.68% 	27.85%	54.21%	 -11.64%	-29.70% 	0.79	1.73	0.54
Semi: 		$58,522 	20.44% 	28.77%	56.44%	 -11.46%	-29.70% 	0.77	1.69	0.51
Quarterly: 	$53,619 	19.34% 	27.69%	56.47%	 -9.76%		-33.98% 	0.76	1.52	0.53
Monthly: 	$52,886 	19.16% 	29.28%	59.49%	 -12.30%	-35.40% 	0.72	1.46	0.50
Bands: 		$55,765 	19.83% 	28.78%	57.77%	 -11.31%	-33.49% 	0.75	1.56	0.52
I THINK THIS DATA IS PRETTY WORTHLESS, HOWEVER. Due to the chunkiness of the LTT 3X fund, especially its divergence at the end of the time period (which appears to be just an artifact of how things ended).
I know there has been a lot of talk about rebalancing quarterly. However, I actually rebalance annually because I hold these funds outside of my retirement accounts (in addition to some inside). Therefore, I can limit some of the taxation due to long term capital gains. I haven't crunched the numbers, but I assume the tax savings exceed any outperformance that may happen due to quarterly rebalance. But, as these numbers show, annual rebalance may be better anyway.

EfficientInvestor
Posts: 237
Joined: Thu Nov 01, 2018 7:02 pm
Location: Alabama

Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]

Post by EfficientInvestor » Sun Feb 10, 2019 4:39 pm

siamond wrote:
Sun Feb 10, 2019 4:30 pm
EfficientInvestor wrote:
Sun Feb 10, 2019 3:57 pm
EfficientInvestor wrote:
Sun Feb 10, 2019 3:44 pm
See the link below that will take you to Direxion's prospectus page for TMF. Under the "Target Index" section, it states that the fund tracks the ICE U.S. Treasury 20+ Year Bond Index (IDCOT20TR), "TR" standing for Total Return. Therefore, the intent is to achieve results that meet 3X the total return, not just the underlying price. How they go about meeting that total return takes a little digging.

If you click on the "Daily Holdings" tab, you will see the current holdings. If you multiply current price of $19.78 x shares outstanding listed of 5.35MM, you get a AUM of $105.8MM. Of that, you can see that $73.4MM (2/3 of fund value) is in TLT. This is where TMF's 1.48% yield currently comes from. Everything else listed in the daily holdings is either cash (Bank of NY Cash Reserve and the Goldman products) or a derivative (ISHARES BOND ETF SWAP). However, if you add up the market value in TLT and the ETF SWAPs, you get a total of $317.2MM, which is almost exactly 3X of the $105.8MM AUM. Therefore, their market exposure is 3X their AUM, which is what it is supposed to be. As for all the derivatives, I'm not going to pretend to know the exact details of all of them. However, it is my understanding that these derivatives are inclusive of dividends and not just based on the underlying price of TLT. If they weren't there would be an arbitrage possibility because you could then just go long TLT, go short the TLT swaps, and pocket the yield you get from being long TLT without any risk.

All that being said...I believe using daily data of TLT is the best way to model the performance of TMF prior to its inception (they track the same index). However, TLT hasn't been around very long either. That is why I used VUSTX instead. As shown in my article about creating the proxy funds, my TMF proxy was created using a weighted average that consisted of 94% of the adjusted daily close of VUSTX (w/ dividend) and only 6% without and then 1% for expense ratio. In other words, the actual returns of TMF are largely influenced by the dividend (total return) of the bond fund, not just the price of the index (or the price of TLT).

http://www.direxioninvestments.com/prod ... ull-3x-etf
Now for UPRO or SPXL (Direxion's 3X S&P 500 fund). I will stick with SPXL since we are now used to navigating Direxion's prospectus page for TMF. See the link below for the SPXL prospectus page. The Target Index is SPXT which is also a total return index. As with TMF, SPXL has a large portion of their AUM in an unleveraged ETF that tracks the same index. In this case, they have what appears to be over 70% of AUM in IVV. The rest is in cash and S&P 500 index swaps. Total market value exposure in the ETF and index swaps add up to 3X the AUM. The IVV holdings produce a dividend and the index swaps are assumed to be inclusive of dividend payments due to the arbitrage opportunity that would otherwise occur (unless I'm not understanding something there). All that said, the actual return of UPRO or SPXL is somewhere in between the price return and total return due to fees or other expenses or slippages involved in operating the funds.

http://www.direxioninvestments.com/prod ... ull-3x-etf
Thanks for this perspective, those are good inputs. I've been burning my eyes this afternoon with the UPRO, SSO and S&P 500 daily numbers. I have ways to get the NAV daily numbers and the Gross Returns daily numbers (*before* the ER adjustment, one less variable to worry about), the difference being the distributions (e.g. dividends). Long story short, I continue to believe they are tracking the S&P 500 NAV, PLUS they do something smart with the daily dividends, which actually brings the numbers somewhere in-between the S&P 500 PR and TR series (times the leverage). Which is actually not terribly different from what you're saying. And maybe I got it wrong, and they do track the TR index and there are some extra frictions along the way, as you're suggesting (those would have to be really large frictions though, but who knows how this thing truly works).

Anyhoo, I was hoping that close examination of such daily numbers would reveal a pattern that we could follow for modeling in a more precise manner, notably by computing a daily reinvesting of S&P 500 dividends, but... my experiment ended up with strong inconsistencies between SSO and UPRO (I'm ready to bet your own 'curve-fitting' calibration would show something similar between the two funds - I am afraid I was doing another form of curve-fitting to be perfectly honest).

So... long story short, we're back to square 1, and yeah, all we can say at this point is that the actual return of a 2x or 3x fund is somewhere in between the price return and total return times of the index times the leverage, and I am afraid we really don't have a good handle on where this middle point is. I'll play with TMF and TYD (where I can more easily believe that they might track the TR index, as is typical for bonds) later today...
I have a feeling it's that it tracks the total return but there is more friction than what we are aware of. It would be nice to see a full breakdown of what kind of financing costs are involved with their swaps. Here is an excerpt from the UPRO report quote that samsdad just posted:

"During the year ended May 31, 2018, the Fund invested in swap agreements and futures contracts in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with swap agreements."

It would be nice to be able to quantify the "financing rates associated with swap agreements". Then I have a feeling the equation for our proxy funds would be 3X daily total return - expense ratio - financing rates + yield from money sitting in cash, or something to that effect.

samsdad
Posts: 745
Joined: Sat Jan 02, 2016 6:20 pm

Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]

Post by samsdad » Sun Feb 10, 2019 4:40 pm

I’ve edited this post to follow EfficientInvestor’s lead regarding the simulated data issue:

UPDATE (2/20/19) - The data that had previously been provided in this post was based on developing a best fit to the data of actual leveraged ETFs since their inception. Since inception of 3X ETFs in 2009, borrowing rates have been low. Therefore, this data did not take into account higher borrowing rates that occurred prior to 2009. Please disregard the data below.



jaj2276 wrote:
Sun Feb 10, 2019 4:30 pm
samsdad wrote:
Sun Feb 10, 2019 3:46 pm
...
Curiosity got the better of me. Here's "my" data from June 2009 to December 2018. I can't do a specific day.

Code: Select all

Jun 09-18	Final Balance	CAGR	Stdev	Best Year Worst Year	Max. Drawdown	Sharpe Sortino  US Mkt Correlation
No rebalancing: $61,344 	21.04% 	30.12%	59.40%	 -20.83%	-35.66% 	0.78	1.22	0.87
Annually: 	$59,634 	20.68% 	27.85%	54.21%	 -11.64%	-29.70% 	0.79	1.73	0.54
Semi: 		$58,522 	20.44% 	28.77%	56.44%	 -11.46%	-29.70% 	0.77	1.69	0.51
Quarterly: 	$53,619 	19.34% 	27.69%	56.47%	 -9.76%		-33.98% 	0.76	1.52	0.53
Monthly: 	$52,886 	19.16% 	29.28%	59.49%	 -12.30%	-35.40% 	0.72	1.46	0.50
Bands: 		$55,765 	19.83% 	28.78%	57.77%	 -11.31%	-33.49% 	0.75	1.56	0.52
I THINK THIS DATA IS PRETTY WORTHLESS, HOWEVER. Due to the chunkiness of the LTT 3X fund, especially its divergence at the end of the time period (which appears to be just an artifact of how things ended).
Yes, I meant using your data. I used TMF and UPRO closing prices downloaded from Yahoo for "my data." I still can't seem to replicate your no rebalancing as having the highest CAGR.
Well, here you go: Here's column A for LTT3X5018

Code: Select all

1950/01
1950/02
1950/03
1950/04
1950/05
1950/06
1950/07
1950/08
1950/09
1950/10
1950/11
1950/12
1951/01
1951/02
1951/03
1951/04
1951/05
1951/06
1951/07
1951/08
1951/09
1951/10
1951/11
1951/12
1952/01
1952/02
1952/03
1952/04
1952/05
1952/06
1952/07
1952/08
1952/09
1952/10
1952/11
1952/12
1953/01
1953/02
1953/03
1953/04
1953/05
1953/06
1953/07
1953/08
1953/09
1953/10
1953/11
1953/12
1954/01
1954/02
1954/03
1954/04
1954/05
1954/06
1954/07
1954/08
1954/09
1954/10
1954/11
1954/12
1955/01
1955/02
1955/03
1955/04
1955/05
1955/06
1955/07
1955/08
1955/09
1955/10
1955/11
1955/12
1956/01
1956/02
1956/03
1956/04
1956/05
1956/06
1956/07
1956/08
1956/09
1956/10
1956/11
1956/12
1957/01
1957/02
1957/03
1957/04
1957/05
1957/06
1957/07
1957/08
1957/09
1957/10
1957/11
1957/12
1958/01
1958/02
1958/03
1958/04
1958/05
1958/06
1958/07
1958/08
1958/09
1958/10
1958/11
1958/12
1959/01
1959/02
1959/03
1959/04
1959/05
1959/06
1959/07
1959/08
1959/09
1959/10
1959/11
1959/12
1960/01
1960/02
1960/03
1960/04
1960/05
1960/06
1960/07
1960/08
1960/09
1960/10
1960/11
1960/12
1961/01
1961/02
1961/03
1961/04
1961/05
1961/06
1961/07
1961/08
1961/09
1961/10
1961/11
1961/12
1962/01
1962/02
1962/03
1962/04
1962/05
1962/06
1962/07
1962/08
1962/09
1962/10
1962/11
1962/12
1963/01
1963/02
1963/03
1963/04
1963/05
1963/06
1963/07
1963/08
1963/09
1963/10
1963/11
1963/12
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1965/01
1965/02
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1965/11
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1967/01
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1968/01
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1968/10
1968/11
1968/12
1969/01
1969/02
1969/03
1969/04
1969/05
1969/06
1969/07
1969/08
1969/09
1969/10
1969/11
1969/12
1970/01
1970/02
1970/03
1970/04
1970/05
1970/06
1970/07
1970/08
1970/09
1970/10
1970/11
1970/12
1971/01
1971/02
1971/03
1971/04
1971/05
1971/06
1971/07
1971/08
1971/09
1971/10
1971/11
1971/12
1972/01
1972/02
1972/03
1972/04
1972/05
1972/06
1972/07
1972/08
1972/09
1972/10
1972/11
1972/12
1973/01
1973/02
1973/03
1973/04
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1973/08
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1973/11
1973/12
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1980/12
1981/01
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1981/06
1981/07
1981/08
1981/09
1981/10
1981/11
1981/12
1982/01
1982/02
1982/03
1982/04
1982/05
1982/06
1982/07
1982/08
1982/09
1982/10
1982/11
1982/12
1983/01
1983/02
1983/03
1983/04
1983/05
1983/06
1983/07
1983/08
1983/09
1983/10
1983/11
1983/12
1984/01
1984/02
1984/03
1984/04
1984/05
1984/06
1984/07
1984/08
1984/09
1984/10
1984/11
1984/12
1985/01
1985/02
1985/03
1985/04
1985/05
1985/06
1985/07
1985/08
1985/09
1985/10
1985/11
1985/12
1986/01
1986/02
1986/03
1986/04
1986/05
1986/06
1986/07
1986/08
1986/09
1986/10
1986/11
1986/12
1987/01
1987/02
1987/03
1987/04
1987/05
1987/06
1987/07
1987/08
1987/09
1987/10
1987/11
1987/12
1988/01
1988/02
1988/03
1988/04
1988/05
1988/06
1988/07
1988/08
1988/09
1988/10
1988/11
1988/12
1989/01
1989/02
1989/03
1989/04
1989/05
1989/06
1989/07
1989/08
1989/09
1989/10
1989/11
1989/12
1990/01
1990/02
1990/03
1990/04
1990/05
1990/06
1990/07
1990/08
1990/09
1990/10
1990/11
1990/12
1991/01
1991/02
1991/03
1991/04
1991/05
1991/06
1991/07
1991/08
1991/09
1991/10
1991/11
1991/12
1992/01
1992/02
1992/03
1992/04
1992/05
1992/06
1992/07
1992/08
1992/09
1992/10
1992/11
1992/12
1993/01
1993/02
1993/03
1993/04
1993/05
1993/06
1993/07
1993/08
1993/09
1993/10
1993/11
1993/12
1994/01
1994/02
1994/03
1994/04
1994/05
1994/06
1994/07
1994/08
1994/09
1994/10
1994/11
1994/12
1995/01
1995/02
1995/03
1995/04
1995/05
1995/06
1995/07
1995/08
1995/09
1995/10
1995/11
1995/12
1996/01
1996/02
1996/03
1996/04
1996/05
1996/06
1996/07
1996/08
1996/09
1996/10
1996/11
1996/12
1997/01
1997/02
1997/03
1997/04
1997/05
1997/06
1997/07
1997/08
1997/09
1997/10
1997/11
1997/12
1998/01
1998/02
1998/03
1998/04
1998/05
1998/06
1998/07
1998/08
1998/09
1998/10
1998/11
1998/12
1999/01
1999/02
1999/03
1999/04
1999/05
1999/06
1999/07
1999/08
1999/09
1999/10
1999/11
1999/12
2000/01
2000/02
2000/03
2000/04
2000/05
2000/06
2000/07
2000/08
2000/09
2000/10
2000/11
2000/12
2001/01
2001/02
2001/03
2001/04
2001/05
2001/06
2001/07
2001/08
2001/09
2001/10
2001/11
2001/12
2002/01
2002/02
2002/03
2002/04
2002/05
2002/06
2002/07
2002/08
2002/09
2002/10
2002/11
2002/12
2003/01
2003/02
2003/03
2003/04
2003/05
2003/06
2003/07
2003/08
2003/09
2003/10
2003/11
2003/12
2004/01
2004/02
2004/03
2004/04
2004/05
2004/06
2004/07
2004/08
2004/09
2004/10
2004/11
2004/12
2005/01
2005/02
2005/03
2005/04
2005/05
2005/06
2005/07
2005/08
2005/09
2005/10
2005/11
2005/12
2006/01
2006/02
2006/03
2006/04
2006/05
2006/06
2006/07
2006/08
2006/09
2006/10
2006/11
2006/12
2007/01
2007/02
2007/03
2007/04
2007/05
2007/06
2007/07
2007/08
2007/09
2007/10
2007/11
2007/12
2008/01
2008/02
2008/03
2008/04
2008/05
2008/06
2008/07
2008/08
2008/09
2008/10
2008/11
2008/12
2009/01
2009/02
2009/03
2009/04
2009/05
2009/06
2009/07
2009/08
2009/09
2009/10
2009/11
2009/12
2010/01
2010/02
2010/03
2010/04
2010/05
2010/06
2010/07
2010/08
2010/09
2010/10
2010/11
2010/12
2011/01
2011/02
2011/03
2011/04
2011/05
2011/06
2011/07
2011/08
2011/09
2011/10
2011/11
2011/12
2012/01
2012/02
2012/03
2012/04
2012/05
2012/06
2012/07
2012/08
2012/09
2012/10
2012/11
2012/12
2013/01
2013/02
2013/03
2013/04
2013/05
2013/06
2013/07
2013/08
2013/09
2013/10
2013/11
2013/12
2014/01
2014/02
2014/03
2014/04
2014/05
2014/06
2014/07
2014/08
2014/09
2014/10
2014/11
2014/12
2015/01
2015/02
2015/03
2015/04
2015/05
2015/06
2015/07
2015/08
2015/09
2015/10
2015/11
2015/12
2016/01
2016/02
2016/03
2016/04
2016/05
2016/06
2016/07
2016/08
2016/09
2016/10
2016/11
2016/12
2017/01
2017/02
2017/03
2017/04
2017/05
2017/06
2017/07
2017/08
2017/09
2017/10
2017/11
2017/12
2018/01
2018/02
2018/03
2018/04
2018/05
2018/06
2018/07
2018/08
2018/09
2018/10
2018/11
2018/12
Here's column B for LTT3X5018:

Code: Select all

0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.33%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
-7.80%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
2.67%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
10.74%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
9.63%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
-1.02%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
-12.42%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
18.42%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
-20.49%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
-9.48%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
39.09%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
3.15%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
20.01%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.81%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
12.12%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
-1.56%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
13.86%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
-20.73%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
-5.28%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
-18.66%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
52.11%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
27.33%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
-6.78%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
-1.02%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
9.06%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
18.54%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
44.10%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
2.13%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
-3.48%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
-10.53%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
-12.57%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
-5.64%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
138.48%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
1.29%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
42.54%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
96.57%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
84.12%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
-17.01%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
25.02%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
58.38%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
16.62%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
53.22%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
23.19%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
57.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
-26.01%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
93.69%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
-4.53%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
44.10%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
45.06%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
-29.70%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
61.14%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
13.92%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
52.05%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
3.39%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
22.83%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
21.03%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
1.98%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
30.93%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
85.08%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
-51.66%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
30.72%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
81.96%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
9.93%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
-33.84%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
66.75%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
-0.03%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
5.19%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
19.65%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
-3.72%
Here's column A for GSPC3X5018:

Code: Select all

Date
1950/01
1950/02
1950/03
1950/04
1950/05
1950/06
1950/07
1950/08
1950/09
1950/10
1950/11
1950/12
1951/01
1951/02
1951/03
1951/04
1951/05
1951/06
1951/07
1951/08
1951/09
1951/10
1951/11
1951/12
1952/01
1952/02
1952/03
1952/04
1952/05
1952/06
1952/07
1952/08
1952/09
1952/10
1952/11
1952/12
1953/01
1953/02
1953/03
1953/04
1953/05
1953/06
1953/07
1953/08
1953/09
1953/10
1953/11
1953/12
1954/01
1954/02
1954/03
1954/04
1954/05
1954/06
1954/07
1954/08
1954/09
1954/10
1954/11
1954/12
1955/01
1955/02
1955/03
1955/04
1955/05
1955/06
1955/07
1955/08
1955/09
1955/10
1955/11
1955/12
1956/01
1956/02
1956/03
1956/04
1956/05
1956/06
1956/07
1956/08
1956/09
1956/10
1956/11
1956/12
1957/01
1957/02
1957/03
1957/04
1957/05
1957/06
1957/07
1957/08
1957/09
1957/10
1957/11
1957/12
1958/01
1958/02
1958/03
1958/04
1958/05
1958/06
1958/07
1958/08
1958/09
1958/10
1958/11
1958/12
1959/01
1959/02
1959/03
1959/04
1959/05
1959/06
1959/07
1959/08
1959/09
1959/10
1959/11
1959/12
1960/01
1960/02
1960/03
1960/04
1960/05
1960/06
1960/07
1960/08
1960/09
1960/10
1960/11
1960/12
1961/01
1961/02
1961/03
1961/04
1961/05
1961/06
1961/07
1961/08
1961/09
1961/10
1961/11
1961/12
1962/01
1962/02
1962/03
1962/04
1962/05
1962/06
1962/07
1962/08
1962/09
1962/10
1962/11
1962/12
1963/01
1963/02
1963/03
1963/04
1963/05
1963/06
1963/07
1963/08
1963/09
1963/10
1963/11
1963/12
1964/01
1964/02
1964/03
1964/04
1964/05
1964/06
1964/07
1964/08
1964/09
1964/10
1964/11
1964/12
1965/01
1965/02
1965/03
1965/04
1965/05
1965/06
1965/07
1965/08
1965/09
1965/10
1965/11
1965/12
1966/01
1966/02
1966/03
1966/04
1966/05
1966/06
1966/07
1966/08
1966/09
1966/10
1966/11
1966/12
1967/01
1967/02
1967/03
1967/04
1967/05
1967/06
1967/07
1967/08
1967/09
1967/10
1967/11
1967/12
1968/01
1968/02
1968/03
1968/04
1968/05
1968/06
1968/07
1968/08
1968/09
1968/10
1968/11
1968/12
1969/01
1969/02
1969/03
1969/04
1969/05
1969/06
1969/07
1969/08
1969/09
1969/10
1969/11
1969/12
1970/01
1970/02
1970/03
1970/04
1970/05
1970/06
1970/07
1970/08
1970/09
1970/10
1970/11
1970/12
1971/01
1971/02
1971/03
1971/04
1971/05
1971/06
1971/07
1971/08
1971/09
1971/10
1971/11
1971/12
1972/01
1972/02
1972/03
1972/04
1972/05
1972/06
1972/07
1972/08
1972/09
1972/10
1972/11
1972/12
1973/01
1973/02
1973/03
1973/04
1973/05
1973/06
1973/07
1973/08
1973/09
1973/10
1973/11
1973/12
1974/01
1974/02
1974/03
1974/04
1974/05
1974/06
1974/07
1974/08
1974/09
1974/10
1974/11
1974/12
1975/01
1975/02
1975/03
1975/04
1975/05
1975/06
1975/07
1975/08
1975/09
1975/10
1975/11
1975/12
1976/01
1976/02
1976/03
1976/04
1976/05
1976/06
1976/07
1976/08
1976/09
1976/10
1976/11
1976/12
1977/01
1977/02
1977/03
1977/04
1977/05
1977/06
1977/07
1977/08
1977/09
1977/10
1977/11
1977/12
1978/01
1978/02
1978/03
1978/04
1978/05
1978/06
1978/07
1978/08
1978/09
1978/10
1978/11
1978/12
1979/01
1979/02
1979/03
1979/04
1979/05
1979/06
1979/07
1979/08
1979/09
1979/10
1979/11
1979/12
1980/01
1980/02
1980/03
1980/04
1980/05
1980/06
1980/07
1980/08
1980/09
1980/10
1980/11
1980/12
1981/01
1981/02
1981/03
1981/04
1981/05
1981/06
1981/07
1981/08
1981/09
1981/10
1981/11
1981/12
1982/01
1982/02
1982/03
1982/04
1982/05
1982/06
1982/07
1982/08
1982/09
1982/10
1982/11
1982/12
1983/01
1983/02
1983/03
1983/04
1983/05
1983/06
1983/07
1983/08
1983/09
1983/10
1983/11
1983/12
1984/01
1984/02
1984/03
1984/04
1984/05
1984/06
1984/07
1984/08
1984/09
1984/10
1984/11
1984/12
1985/01
1985/02
1985/03
1985/04
1985/05
1985/06
1985/07
1985/08
1985/09
1985/10
1985/11
1985/12
1986/01
1986/02
1986/03
1986/04
1986/05
1986/06
1986/07
1986/08
1986/09
1986/10
1986/11
1986/12
1987/01
1987/02
1987/03
1987/04
1987/05
1987/06
1987/07
1987/08
1987/09
1987/10
1987/11
1987/12
1988/01
1988/02
1988/03
1988/04
1988/05
1988/06
1988/07
1988/08
1988/09
1988/10
1988/11
1988/12
1989/01
1989/02
1989/03
1989/04
1989/05
1989/06
1989/07
1989/08
1989/09
1989/10
1989/11
1989/12
1990/01
1990/02
1990/03
1990/04
1990/05
1990/06
1990/07
1990/08
1990/09
1990/10
1990/11
1990/12
1991/01
1991/02
1991/03
1991/04
1991/05
1991/06
1991/07
1991/08
1991/09
1991/10
1991/11
1991/12
1992/01
1992/02
1992/03
1992/04
1992/05
1992/06
1992/07
1992/08
1992/09
1992/10
1992/11
1992/12
1993/01
1993/02
1993/03
1993/04
1993/05
1993/06
1993/07
1993/08
1993/09
1993/10
1993/11
1993/12
1994/01
1994/02
1994/03
1994/04
1994/05
1994/06
1994/07
1994/08
1994/09
1994/10
1994/11
1994/12
1995/01
1995/02
1995/03
1995/04
1995/05
1995/06
1995/07
1995/08
1995/09
1995/10
1995/11
1995/12
1996/01
1996/02
1996/03
1996/04
1996/05
1996/06
1996/07
1996/08
1996/09
1996/10
1996/11
1996/12
1997/01
1997/02
1997/03
1997/04
1997/05
1997/06
1997/07
1997/08
1997/09
1997/10
1997/11
1997/12
1998/01
1998/02
1998/03
1998/04
1998/05
1998/06
1998/07
1998/08
1998/09
1998/10
1998/11
1998/12
1999/01
1999/02
1999/03
1999/04
1999/05
1999/06
1999/07
1999/08
1999/09
1999/10
1999/11
1999/12
2000/01
2000/02
2000/03
2000/04
2000/05
2000/06
2000/07
2000/08
2000/09
2000/10
2000/11
2000/12
2001/01
2001/02
2001/03
2001/04
2001/05
2001/06
2001/07
2001/08
2001/09
2001/10
2001/11
2001/12
2002/01
2002/02
2002/03
2002/04
2002/05
2002/06
2002/07
2002/08
2002/09
2002/10
2002/11
2002/12
2003/01
2003/02
2003/03
2003/04
2003/05
2003/06
2003/07
2003/08
2003/09
2003/10
2003/11
2003/12
2004/01
2004/02
2004/03
2004/04
2004/05
2004/06
2004/07
2004/08
2004/09
2004/10
2004/11
2004/12
2005/01
2005/02
2005/03
2005/04
2005/05
2005/06
2005/07
2005/08
2005/09
2005/10
2005/11
2005/12
2006/01
2006/02
2006/03
2006/04
2006/05
2006/06
2006/07
2006/08
2006/09
2006/10
2006/11
2006/12
2007/01
2007/02
2007/03
2007/04
2007/05
2007/06
2007/07
2007/08
2007/09
2007/10
2007/11
2007/12
2008/01
2008/02
2008/03
2008/04
2008/05
2008/06
2008/07
2008/08
2008/09
2008/10
2008/11
2008/12
2009/01
2009/02
2009/03
2009/04
2009/05
2009/06
2009/07
2009/08
2009/09
2009/10
2009/11
2009/12
2010/01
2010/02
2010/03
2010/04
2010/05
2010/06
2010/07
2010/08
2010/09
2010/10
2010/11
2010/12
2011/01
2011/02
2011/03
2011/04
2011/05
2011/06
2011/07
2011/08
2011/09
2011/10
2011/11
2011/12
2012/01
2012/02
2012/03
2012/04
2012/05
2012/06
2012/07
2012/08
2012/09
2012/10
2012/11
2012/12
2013/01
2013/02
2013/03
2013/04
2013/05
2013/06
2013/07
2013/08
2013/09
2013/10
2013/11
2013/12
2014/01
2014/02
2014/03
2014/04
2014/05
2014/06
2014/07
2014/08
2014/09
2014/10
2014/11
2014/12
2015/01
2015/02
2015/03
2015/04
2015/05
2015/06
2015/07
2015/08
2015/09
2015/10
2015/11
2015/12
2016/01
2016/02
2016/03
2016/04
2016/05
2016/06
2016/07
2016/08
2016/09
2016/10
2016/11
2016/12
2017/01
2017/02
2017/03
2017/04
2017/05
2017/06
2017/07
2017/08
2017/09
2017/10
2017/11
2017/12
2018/01
2018/02
2018/03
2018/04
2018/05
2018/06
2018/07
2018/08
2018/09
2018/10
2018/11
2018/12
2019/01
Here's column B for GSPC3X5018. MAKE SURE you offset the first number of column B to the second row of column A (Feb. 1950):

Code: Select all



3.00%
1.23%
13.53%
11.79%
-17.40%
2.55%
9.75%
16.77%
1.23%
-0.30%
13.83%
18.36%
1.95%
-5.49%
14.43%
-12.18%
-7.80%
20.61%
11.79%
-0.27%
-4.14%
-0.78%
11.67%
4.68%
-10.95%
14.31%
-12.93%
6.96%
13.83%
5.28%
-4.38%
-5.88%
-0.24%
13.95%
10.65%
-2.16%
-5.46%
-7.08%
-7.95%
-0.96%
-4.89%
7.59%
-17.34%
0.39%
15.30%
2.70%
0.60%
15.36%
0.81%
9.06%
14.70%
9.87%
0.21%
17.16%
-10.20%
24.93%
-5.85%
24.24%
15.24%
5.43%
1.05%
-1.47%
11.31%
-0.39%
24.69%
18.21%
-2.34%
3.39%
-9.15%
22.47%
-0.21%
-10.95%
10.41%
20.79%
-0.63%
-19.71%
11.76%
15.45%
-11.43%
-13.65%
1.53%
-3.30%
10.59%
-12.54%
-9.78%
5.88%
11.10%
11.07%
-0.39%
3.42%
-16.83%
-18.57%
-9.63%
4.83%
-12.45%
12.84%
-6.18%
9.27%
9.54%
4.50%
7.83%
12.93%
3.57%
14.52%
7.62%
6.72%
15.60%
1.29%
-0.21%
0.15%
11.64%
5.67%
-1.08%
10.47%
-4.50%
-13.68%
3.39%
3.96%
8.28%
-21.45%
2.76%
-4.17%
-5.25%
8.07%
5.85%
-7.44%
7.83%
-18.12%
-0.72%
12.09%
13.89%
18.96%
8.07%
7.65%
1.14%
5.73%
-8.64%
9.84%
5.88%
-5.91%
8.49%
11.79%
0.96%
-11.37%
4.89%
-1.77%
-18.60%
-25.80%
-24.54%
19.08%
4.59%
-14.46%
1.32%
30.48%
4.05%
14.73%
-8.67%
10.65%
14.55%
4.29%
-6.06%
-1.05%
14.61%
-3.30%
9.66%
-3.15%
7.32%
8.07%
2.97%
4.56%
1.83%
3.45%
4.92%
5.46%
-4.86%
8.61%
2.43%
-1.56%
1.17%
9.96%
-0.45%
-4.35%
10.26%
-2.31%
-14.58%
4.02%
6.75%
9.60%
8.19%
-2.64%
2.70%
1.47%
-5.37%
-6.54%
6.15%
-16.23%
-4.83%
-4.05%
-23.34%
-2.10%
14.25%
0.93%
-0.45%
23.46%
0.60%
11.82%
12.66%
-15.72%
5.25%
13.59%
-3.51%
9.84%
-10.59%
2.25%
7.89%
-13.14%
-9.36%
2.82%
24.15%
3.75%
2.73%
-5.55%
3.45%
11.55%
2.16%
14.40%
-12.48%
-2.46%
-14.22%
10.32%
6.45%
-0.66%
-16.68%
-18.06%
12.03%
-7.50%
12.90%
-10.23%
-5.61%
-22.95%
15.81%
0.45%
-27.15%
-18.30%
-15.00%
21.99%
13.35%
10.23%
-3.75%
14.22%
17.04%
12.15%
2.73%
11.04%
10.89%
-12.48%
-2.79%
-9.48%
10.83%
-2.10%
-12.54%
-0.75%
25.86%
5.43%
7.59%
1.77%
1.32%
5.19%
-6.54%
0.69%
10.35%
-1.47%
2.79%
13.68%
3.54%
-5.13%
-11.25%
-0.42%
-12.24%
-5.67%
-1.98%
11.40%
-11.01%
12.03%
-0.39%
-34.17%
4.98%
-3.00%
-1.08%
-6.99%
-11.73%
-10.08%
-4.41%
-23.34%
-27.09%
-35.79%
48.90%
-15.96%
-6.06%
36.84%
17.97%
6.51%
14.19%
13.23%
13.29%
-20.31%
-6.33%
-10.38%
18.48%
7.41%
-3.45%
35.49%
-3.42%
9.21%
-3.30%
-4.32%
12.27%
-2.43%
-1.53%
6.78%
-6.66%
-2.34%
15.75%
-15.15%
-6.51%
-4.20%
0.06%
-7.08%
13.62%
-4.86%
-6.30%
-0.75%
-13.02%
8.10%
0.84%
-18.45%
-7.44%
7.47%
25.62%
1.26%
-5.28%
16.17%
7.77%
-2.19%
-27.48%
4.98%
4.47%
11.91%
-10.95%
16.56%
0.51%
-7.89%
11.61%
2.61%
15.93%
0.00%
-20.58%
12.78%
5.04%
17.28%
-1.32%
-30.54%
12.33%
13.98%
8.10%
19.50%
1.74%
7.56%
4.80%
30.72%
-10.17%
-13.71%
3.99%
10.80%
-7.05%
-0.51%
-3.12%
-0.66%
-18.63%
-16.14%
14.73%
10.98%
-9.03%
-5.25%
-18.15%
-3.06%
12.00%
-11.76%
-6.09%
-6.90%
34.80%
2.28%
33.12%
10.80%
4.56%
9.93%
5.70%
9.93%
22.50%
-3.72%
9.69%
-9.09%
3.39%
3.06%
-4.56%
5.22%
-2.64%
-2.76%
-11.67%
4.05%
1.65%
-17.82%
5.25%
-4.95%
31.89%
-1.05%
-0.03%
-4.53%
6.72%
22.23%
2.58%
-0.87%
-1.38%
16.23%
3.63%
-1.44%
-3.60%
-10.41%
12.75%
19.53%
13.53%
0.72%
21.45%
15.84%
-4.23%
15.06%
4.23%
-17.61%
21.36%
-25.62%
16.41%
6.45%
-8.49%
39.54%
11.07%
7.92%
-3.45%
1.80%
14.37%
14.46%
10.50%
-7.26%
-65.28%
-25.59%
21.87%
12.12%
12.54%
-9.99%
2.82%
0.96%
12.99%
-1.62%
-11.58%
11.91%
7.80%
-5.67%
4.41%
21.33%
-8.67%
6.24%
15.03%
10.53%
-2.37%
26.52%
4.65%
-1.95%
-7.56%
4.95%
6.42%
-20.64%
2.55%
7.29%
-8.07%
27.60%
-2.67%
-1.56%
-28.29%
-15.36%
-2.01%
17.97%
7.44%
12.45%
20.19%
6.66%
0.09%
11.58%
-14.37%
13.47%
5.88%
-5.73%
3.54%
-13.17%
33.48%
-5.97%
2.88%
-6.54%
8.37%
0.30%
-5.22%
11.82%
-7.20%
2.73%
0.63%
9.09%
3.03%
2.10%
3.15%
5.61%
-7.62%
6.81%
0.24%
-1.59%
10.32%
-3.00%
5.82%
-3.87%
3.03%
9.75%
-9.00%
-13.71%
3.45%
3.72%
-8.04%
9.45%
11.28%
-8.07%
6.24%
-11.85%
3.69%
7.29%
10.83%
8.19%
8.40%
10.89%
6.39%
9.54%
-0.09%
12.03%
-1.50%
12.30%
5.22%
9.78%
2.07%
2.37%
4.02%
6.87%
0.69%
-13.71%
5.64%
16.26%
7.83%
22.02%
-6.45%
18.39%
1.77%
-12.78%
17.52%
17.58%
13.05%
23.43%
-17.25%
15.96%
-10.35%
13.38%
4.71%
3.06%
21.12%
14.97%
2.73%
-5.64%
11.82%
-3.48%
-43.74%
18.72%
24.09%
17.73%
16.92%
12.30%
-9.69%
11.64%
11.37%
-7.50%
16.32%
-9.60%
-1.89%
-8.58%
18.75%
5.73%
17.34%
-15.27%
-6.03%
29.01%
-9.24%
-6.57%
7.17%
-4.89%
18.21%
-16.05%
-1.47%
-24.03%
1.23%
10.38%
-27.69%
-19.26%
23.04%
1.53%
-7.50%
-3.21%
-19.23%
-24.51%
5.43%
22.56%
2.28%
-4.68%
-6.24%
11.01%
-18.42%
-2.73%
-21.75%
-23.70%
1.47%
-33.00%
25.92%
17.13%
-18.09%
-8.22%
-5.10%
2.52%
24.30%
15.27%
3.39%
4.86%
5.37%
-3.57%
16.50%
2.13%
15.24%
5.19%
3.66%
-4.92%
-5.04%
3.63%
5.40%
-10.29%
0.69%
2.82%
4.20%
11.58%
9.75%
-7.59%
5.67%
-5.73%
-6.03%
9.00%
-0.03%
10.80%
-3.36%
2.07%
-5.31%
10.56%
-0.30%
7.65%
0.15%
3.33%
3.66%
-9.27%
0.03%
1.53%
6.39%
7.38%
9.45%
4.95%
3.78%
4.23%
-6.54%
3.00%
12.99%
9.75%
-5.34%
-9.60%
3.87%
10.74%
4.44%
-13.20%
-2.58%
-18.36%
-10.44%
-1.80%
14.25%
3.21%
-25.80%
-2.97%
3.66%
-27.24%
-50.82%
-22.44%
2.34%
-25.71%
-32.97%
25.62%
28.17%
15.93%
0.06%
22.23%
10.08%
10.71%
-5.94%
17.22%
5.34%
-11.10%
8.55%
17.64%
4.44%
-24.60%
-16.17%
20.64%
-14.22%
26.28%
11.07%
-0.69%
19.59%
6.78%
9.60%
-0.30%
8.55%
-4.05%
-5.49%
-6.45%
-17.04%
-21.54%
32.31%
-1.53%
2.55%
13.08%
12.18%
9.39%
-2.25%
-18.81%
11.88%
3.78%
5.94%
7.26%
-5.94%
0.84%
2.13%
15.12%
3.33%
10.80%
5.43%
6.24%
-4.50%
14.85%
-9.39%
8.91%
13.38%
8.40%
7.08%
-10.68%
12.93%
2.07%
1.86%
6.30%
5.73%
-4.53%
11.31%
-4.65%
6.96%
7.35%
-1.26%
-9.30%
16.47%
-5.22%
2.55%
3.15%
-6.30%
5.91%
-18.78%
-7.92%
24.90%
0.15%
-5.25%
-15.21%
-1.23%
19.80%
0.81%
4.59%
0.27%
10.68%
-0.36%
-0.36%
-5.82%
10.26%
5.46%
5.37%
11.16%
-0.12%
2.73%
3.48%
1.44%
5.79%
0.15%
5.79%
6.66%
1.11%
10.29%
16.86%
-11.67%
-8.07%
0.81%
6.48%
1.44%
10.80%
9.09%
1.29%
-20.82%
5.37%
-27.54%
23.61%
Last edited by samsdad on Wed Feb 20, 2019 12:11 pm, edited 1 time in total.

samsdad
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Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]

Post by samsdad » Sun Feb 10, 2019 4:51 pm

EfficientInvestor wrote:
Sun Feb 10, 2019 4:39 pm
siamond wrote:
Sun Feb 10, 2019 4:30 pm
EfficientInvestor wrote:
Sun Feb 10, 2019 3:57 pm
EfficientInvestor wrote:
Sun Feb 10, 2019 3:44 pm
See the link below that will take you to Direxion's prospectus page for TMF. Under the "Target Index" section, it states that the fund tracks the ICE U.S. Treasury 20+ Year Bond Index (IDCOT20TR), "TR" standing for Total Return. Therefore, the intent is to achieve results that meet 3X the total return, not just the underlying price. How they go about meeting that total return takes a little digging.

If you click on the "Daily Holdings" tab, you will see the current holdings. If you multiply current price of $19.78 x shares outstanding listed of 5.35MM, you get a AUM of $105.8MM. Of that, you can see that $73.4MM (2/3 of fund value) is in TLT. This is where TMF's 1.48% yield currently comes from. Everything else listed in the daily holdings is either cash (Bank of NY Cash Reserve and the Goldman products) or a derivative (ISHARES BOND ETF SWAP). However, if you add up the market value in TLT and the ETF SWAPs, you get a total of $317.2MM, which is almost exactly 3X of the $105.8MM AUM. Therefore, their market exposure is 3X their AUM, which is what it is supposed to be. As for all the derivatives, I'm not going to pretend to know the exact details of all of them. However, it is my understanding that these derivatives are inclusive of dividends and not just based on the underlying price of TLT. If they weren't there would be an arbitrage possibility because you could then just go long TLT, go short the TLT swaps, and pocket the yield you get from being long TLT without any risk.

All that being said...I believe using daily data of TLT is the best way to model the performance of TMF prior to its inception (they track the same index). However, TLT hasn't been around very long either. That is why I used VUSTX instead. As shown in my article about creating the proxy funds, my TMF proxy was created using a weighted average that consisted of 94% of the adjusted daily close of VUSTX (w/ dividend) and only 6% without and then 1% for expense ratio. In other words, the actual returns of TMF are largely influenced by the dividend (total return) of the bond fund, not just the price of the index (or the price of TLT).

http://www.direxioninvestments.com/prod ... ull-3x-etf
Now for UPRO or SPXL (Direxion's 3X S&P 500 fund). I will stick with SPXL since we are now used to navigating Direxion's prospectus page for TMF. See the link below for the SPXL prospectus page. The Target Index is SPXT which is also a total return index. As with TMF, SPXL has a large portion of their AUM in an unleveraged ETF that tracks the same index. In this case, they have what appears to be over 70% of AUM in IVV. The rest is in cash and S&P 500 index swaps. Total market value exposure in the ETF and index swaps add up to 3X the AUM. The IVV holdings produce a dividend and the index swaps are assumed to be inclusive of dividend payments due to the arbitrage opportunity that would otherwise occur (unless I'm not understanding something there). All that said, the actual return of UPRO or SPXL is somewhere in between the price return and total return due to fees or other expenses or slippages involved in operating the funds.

http://www.direxioninvestments.com/prod ... ull-3x-etf
Thanks for this perspective, those are good inputs. I've been burning my eyes this afternoon with the UPRO, SSO and S&P 500 daily numbers. I have ways to get the NAV daily numbers and the Gross Returns daily numbers (*before* the ER adjustment, one less variable to worry about), the difference being the distributions (e.g. dividends). Long story short, I continue to believe they are tracking the S&P 500 NAV, PLUS they do something smart with the daily dividends, which actually brings the numbers somewhere in-between the S&P 500 PR and TR series (times the leverage). Which is actually not terribly different from what you're saying. And maybe I got it wrong, and they do track the TR index and there are some extra frictions along the way, as you're suggesting (those would have to be really large frictions though, but who knows how this thing truly works).

Anyhoo, I was hoping that close examination of such daily numbers would reveal a pattern that we could follow for modeling in a more precise manner, notably by computing a daily reinvesting of S&P 500 dividends, but... my experiment ended up with strong inconsistencies between SSO and UPRO (I'm ready to bet your own 'curve-fitting' calibration would show something similar between the two funds - I am afraid I was doing another form of curve-fitting to be perfectly honest).

So... long story short, we're back to square 1, and yeah, all we can say at this point is that the actual return of a 2x or 3x fund is somewhere in between the price return and total return times of the index times the leverage, and I am afraid we really don't have a good handle on where this middle point is. I'll play with TMF and TYD (where I can more easily believe that they might track the TR index, as is typical for bonds) later today...
I have a feeling it's that it tracks the total return but there is more friction than what we are aware of. It would be nice to see a full breakdown of what kind of financing costs are involved with their swaps. Here is an excerpt from the UPRO report quote that samsdad just posted:

"During the year ended May 31, 2018, the Fund invested in swap agreements and futures contracts in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with swap agreements."

It would be nice to be able to quantify the "financing rates associated with swap agreements". Then I have a feeling the equation for our proxy funds would be 3X daily total return - expense ratio - financing rates + yield from money sitting in cash, or something to that effect.
Siamond,

I think you're gonna find some of what your looking for on page 124-125 (just over halfway into the humongous document), and then back in the back starting around page 234, then 266, and 282.
http://www.proshares.com/media/document ... 9832890959
Your eyeballs might fall out, however.

EDIT: PAGE LVII (close to the beginning) describes the underlying index thusly in note. 2:
2. The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.

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siamond
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Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]

Post by siamond » Sun Feb 10, 2019 5:32 pm

samsdad wrote:
Sun Feb 10, 2019 4:51 pm
I think you're gonna find some of what your looking for on page 124-125 (just over halfway into the humongous document), and then back in the back starting around page 234, then 266, and 282.
http://www.proshares.com/media/document ... 9832890959
Your eyeballs might fall out, however.

EDIT: PAGE LVII (close to the beginning) describes the underlying index thusly in note. 2:
2. The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
Ah, excellent, great sleuthing! Yup, page LVII does refer to UPRO. Actually, all the stock-centric leveraged fund in there (incl. the EAFE one) have a similar note.

BUT if we check page LVIII, we find information about TTT, which is a 3x LT bond fund similar to TMF. And in this case, the footnote says:
2 The Index is a total return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
Ok, that's cool, we're starting to see things a little more clearly now.

Sola Scriptura
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Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]

Post by Sola Scriptura » Sun Feb 10, 2019 5:36 pm

EfficientInvestor wrote:
Sun Feb 10, 2019 4:32 pm
samsdad wrote:
Sun Feb 10, 2019 3:46 pm
samsdad wrote:
Sun Feb 10, 2019 3:17 pm
jaj2276 wrote:
Sun Feb 10, 2019 3:03 pm
samsdad wrote:
Sun Feb 10, 2019 12:23 pm
Instead of posting pictures some more, let me just tell you what my data set says about rebalancing. Again CAUTION!

40/60 3X Initial bal:$10k

Code: Select all

1950-2018	Final Balance	CAGR	Stdev	Best Year Worst Year	Max. Drawdown	Sharpe Sortino  US Mkt Correlation
No rebalancing:   $123,159,666 	14.86% 	36.19%	124.87%	 -65.13%	-83.67% 	0.46	0.69		0.91
Annually: 	$1,723,365,187 	19.40% 	28.95%	110.13%	 -24.77%	-49.99% 	0.60	1.34		0.60
Semi: 		$1,481,610,072 	19.14% 	28.95%	118.02%	 -28.32%	-50.22% 	0.59	1.35		0.59
Quarterly:	$1,205,486,523 	18.77% 	28.88%	119.89%	 -27.70%	-50.67% 	0.58	1.31		0.61
Monthly: 	$1,070,252,880 	18.57% 	29.58%	120.28%	 -31.38%	-54.33% 	0.57	1.28		0.60
Bands: 		  $993,315,909 	18.44% 	29.31%	124.07%	 -30.42%	-54.39% 	0.57	1.26		0.61

1950-1981
No rebalancing: $162,620 	9.41% 	35.01%	110.41%	 -65.13%	-83.67% 	0.30	0.44		0.98
Annually:	$250,933 	10.96% 	20.50%	79.29%	 -24.77%	-46.34% 	0.38	0.67		0.80
Semi:		$203,021 	10.20% 	20.21%	69.54%	 -28.32%	-50.22% 	0.35	0.60		0.82
Quarterly:	$177,834 	9.73% 	20.40%	64.90%	 -27.70%	-50.67% 	0.33	0.56		0.83
Monthly:	$156,258 	9.27% 	20.59%	64.22%	 -31.38%	-54.33% 	0.31	0.52		0.83
Bands: 		$157,001 	9.29% 	20.61%	64.47%	 -30.42%	-54.39% 	0.31	0.52		0.84

1982-2018
No rebalancing: $17,512,887 	22.37% 	38.46%	101.53%	 -49.38%	-50.72% 	0.59	1.57		0.30
Annually:	$68,678,430 	26.97% 	34.34%	110.13%	 -22.43%	-49.99% 	0.74	1.81		0.53
Semi:		$72,978,304 	27.18% 	34.47%	118.02%	 -17.38%	-41.62% 	0.74	1.91		0.51
Quarterly:	$67,787,355 	26.92% 	34.26%	119.89%	 -18.04%	-43.37% 	0.74	1.86		0.52
Monthly:	$68,492,562 	26.96% 	35.25%	120.28%	 -17.04%	-45.17% 	0.73	1.84		0.52
Bands:		$63,377,287 	26.69% 	34.82%	124.07%	 -18.62%	-44.89% 	0.72	1.82		0.52
.
I don't doubt the numbers, but can you do your rebalancing bands on the time period when the things we can actually invest in (assuming we don't have the ability to do swaps and futures) are available? So maybe 6/25/2009 on (that was UPRO inception date, TMF came about a few months earlier). The reason I ask is because my rebalancing numbers show that quarterly rebal was the best (similar to the OPs). I started my portfolio in Feb of 2010 both to make sure that UPRO and TMF were around and because it was Feb when I started reading this thread.
Wait, do you want me to use my data? Or are you looking for the actual UPRO AND TMF numbers because, as you know, those would arlready be on PV.
Curiosity got the better of me. Here's "my" data from June 2009 to December 2018. I can't do a specific day.

Code: Select all

Jun 09-18	Final Balance	CAGR	Stdev	Best Year Worst Year	Max. Drawdown	Sharpe Sortino  US Mkt Correlation
No rebalancing: $61,344 	21.04% 	30.12%	59.40%	 -20.83%	-35.66% 	0.78	1.22	0.87
Annually: 	$59,634 	20.68% 	27.85%	54.21%	 -11.64%	-29.70% 	0.79	1.73	0.54
Semi: 		$58,522 	20.44% 	28.77%	56.44%	 -11.46%	-29.70% 	0.77	1.69	0.51
Quarterly: 	$53,619 	19.34% 	27.69%	56.47%	 -9.76%		-33.98% 	0.76	1.52	0.53
Monthly: 	$52,886 	19.16% 	29.28%	59.49%	 -12.30%	-35.40% 	0.72	1.46	0.50
Bands: 		$55,765 	19.83% 	28.78%	57.77%	 -11.31%	-33.49% 	0.75	1.56	0.52
I THINK THIS DATA IS PRETTY WORTHLESS, HOWEVER. Due to the chunkiness of the LTT 3X fund, especially its divergence at the end of the time period (which appears to be just an artifact of how things ended).
I know there has been a lot of talk about rebalancing quarterly. However, I actually rebalance annually because I hold these funds outside of my retirement accounts (in addition to some inside). Therefore, I can limit some of the taxation due to long term capital gains. I haven't crunched the numbers, but I assume the tax savings exceed any outperformance that may happen due to quarterly rebalance. But, as these numbers show, annual rebalance may be better anyway.
HEDGEFUNDIE, any thoughts here regarding an annual rebalance instead of quarterly in a taxable account? Executing your strategy in a taxable account and rebalancing annually (assuming rebalancing the first year uses purely new money in order to avoid short-term capital gains), thus bringing four taxable events per year down to one, would likely reduce the overall tax drag, correct? Or do you think the total taxes paid over the entire duration you remain in the funds would amount to your strategy becoming unviable for a taxable account?

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HEDGEFUNDIE
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Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]

Post by HEDGEFUNDIE » Sun Feb 10, 2019 5:56 pm

Sola Scriptura wrote:
Sun Feb 10, 2019 5:36 pm
HEDGEFUNDIE, any thoughts here regarding an annual rebalance instead of quarterly in a taxable account? Executing your strategy in a taxable account and rebalancing annually (assuming rebalancing the first year uses purely new money in order to avoid short-term capital gains), thus bringing four taxable events per year down to one, would likely reduce the overall tax drag, correct? Or do you think the total taxes paid over the entire duration you remain in the funds would amount to your strategy becoming unviable for a taxable account?
In the best case scenario in a taxable account, you’ll be paying LTCG taxes from $100k to $10M. That’s 15% of $9.9M paid in federal income tax, assuming you will actually withdraw the money to spend in your lifetime.

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HomerJ
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Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]

Post by HomerJ » Sun Feb 10, 2019 6:16 pm

HEDGEFUNDIE wrote:
Sun Feb 10, 2019 5:56 pm
Sola Scriptura wrote:
Sun Feb 10, 2019 5:36 pm
HEDGEFUNDIE, any thoughts here regarding an annual rebalance instead of quarterly in a taxable account? Executing your strategy in a taxable account and rebalancing annually (assuming rebalancing the first year uses purely new money in order to avoid short-term capital gains), thus bringing four taxable events per year down to one, would likely reduce the overall tax drag, correct? Or do you think the total taxes paid over the entire duration you remain in the funds would amount to your strategy becoming unviable for a taxable account?
In the best case scenario in a taxable account, you’ll be paying LTCG taxes from $100k to $10M. That’s 15% of $9.9M paid in federal income tax, assuming you will actually withdraw the money to spend in your lifetime.
It's so funny that you're actually already thinking about how best to handle taxes on your $9.9 million gain. :)
The J stands for Jay

staythecourse
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Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]

Post by staythecourse » Sun Feb 10, 2019 8:20 pm

Just to recap about the specific funds available as suggested on this thread...

Looks like both invest in 70-80% of the securities in each index tracked (sp500 companies and LTT) and the other 20-30% is split between cash and the swaps to do the leveraging?

Just want to be clear. From reading the last couple pages it seems SPXL says specific it is the TOTAL return index for sp500 and actually names IVV as the ETF UPRO doesn't seem to specify it is the TOTAL return and doesn't mention an exact ETF instead mentions the exact companies it holds. Does that mean they are holding companies TRYING to imitate the return of the Sp500 vs an index fund like IVV? Does that matter when it comes to tracking issues going forward? UPRO has not been around long enough so could see this being an issue if that is true.

Thoughts on counterparty risk here between SPXL and UPRO for the 3x SP500 component?

Good luck.
"The stock market [fluctuation], therefore, is noise. A giant distraction from the business of investing.” | -Jack Bogle

Risky Dude
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Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]

Post by Risky Dude » Sun Feb 10, 2019 8:46 pm

It would be interesting to here what the late Jack Bogle thinks about this strategy.

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Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]

Post by GrowthSeeker » Sun Feb 10, 2019 10:40 pm

Any thoughts on adding an extra layer of complexity such as a momentum-based timing scheme to switch from UPRO to TMF? Clearly this would be market timing and there is a danger of excessive curve fitting when identifying parameters, but if successful, it might partial protection against the possibility of a wipe out.

If so, then one could do a weighted average of a fixed ratio and a switching scheme. For example, instead of UPRO/TMF = 40/60, the ratio might vary from 30/70 to 50/50; it could be for example UPRO/TMF/variable = 30/50/20 where "variable" is either UPRO or TMF depending on which one the timing algorithm designates "the winner".

Thoughts?
Just because you're paranoid doesn't mean they're NOT out to get you.

skeptical
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Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]

Post by skeptical » Sun Feb 10, 2019 10:42 pm

Not to take anything away from HEDGEFUNDIE's excellent contribution, there are quite a number of threads about this strategy around the internet, providing some additional analysis and other perspectives. This is also called the "hell on fire" strategy by some people. :)

Some in depth analysis:
https://logical-invest.com/leveraged-un ... -strategy/
http://www.the-lazy-trader.com/2017/12/ ... art-4.html

a few other threads:
https://www.quantopian.com/posts/3-x-et ... ot-dot-dot
https://www.reddit.com/r/wallstreetbets ... h/uprotmf/
https://seekingalpha.com/article/411925 ... raged-etfs

or, google "long equity bond leverage hedge"

sparksfly
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Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]

Post by sparksfly » Sun Feb 10, 2019 10:54 pm

Watching this thread with lot of interest...will likely jump in. Like many others in the forum, the 3X leverage does concern me...especially in a market like 2008. Did a quick check on 2X funds (SSO, UBT) in 50/50 ratio and compared them to OP's mix. Returns are obviously much lower but with significantly lower volatility.

https://www.portfoliovisualizer.com/bac ... ion5_3=100

Image

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hdas
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Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]

Post by hdas » Sun Feb 10, 2019 10:55 pm

skeptical wrote:
Sun Feb 10, 2019 10:42 pm
Not to take anything away from HEDGEFUNDIE's excellent contribution, there are quite a number of threads about this strategy around the internet, providing some additional analysis and other perspectives. This is also called the "hell on fire" strategy by some people. :)

Some in depth analysis:
https://logical-invest.com/leveraged-un ... -strategy/
http://www.the-lazy-trader.com/2017/12/ ... art-4.html

a few other threads:
https://www.quantopian.com/posts/3-x-et ... ot-dot-dot
https://www.reddit.com/r/wallstreetbets ... h/uprotmf/
https://seekingalpha.com/article/411925 ... raged-etfs

or, google "long equity bond leverage hedge"
In Quantitative Finance Stack as well. :greedy
"whenever there is a randomized way of doing something, then there is a nonrandomized way that delivers better performance but requires more thought" ET Jaynes

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Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]

Post by mrspock » Sun Feb 10, 2019 10:58 pm

HEDGEFUNDIE wrote:
Sat Feb 09, 2019 5:54 pm
Let me just say thank you to everyone who wished me good luck, and welcome to the club for everyone who is jumping in. May we all be filthy rich in a few decades time :moneybag :moneybag :moneybag :beer
I've been reading this thread for the last couple days (still not done), but I'm in for $17k of my Roth, it's a tiny percentage (well under 5%) of my nest egg, but I've been looking for something interesting to do with the Roth given the unique tax advantages (in effect giving you a better return for a given risk premium). I'll also put every future Roth IRA contribution under this plan and see how it goes.

I do have a good chunk more in my Roth 401k (to make this more interesting... say a solid 5% which gets me into the 6 figures), but it's sitting at Fidelity, so I'd have to figure out a way of liberating this money to keep the rebalancing costs sane.

Thanks for sharing this idea, and thank to all those who scrutinized it. :sharebeer

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Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]

Post by hdas » Sun Feb 10, 2019 10:59 pm

GrowthSeeker wrote:
Sun Feb 10, 2019 10:40 pm
Any thoughts on adding an extra layer of complexity such as a momentum-based timing scheme to switch from UPRO to TMF? Clearly this would be market timing and there is a danger of excessive curve fitting when identifying parameters, but if successful, it might partial protection against the possibility of a wipe out.

If so, then one could do a weighted average of a fixed ratio and a switching scheme. For example, instead of UPRO/TMF = 40/60, the ratio might vary from 30/70 to 50/50; it could be for example UPRO/TMF/variable = 30/50/20 where "variable" is either UPRO or TMF depending on which one the timing algorithm designates "the winner".

Thoughts?
An option presented upthread :greedy
"whenever there is a randomized way of doing something, then there is a nonrandomized way that delivers better performance but requires more thought" ET Jaynes

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Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]

Post by HEDGEFUNDIE » Mon Feb 11, 2019 1:59 am

pdavi21 wrote:
Sun Feb 10, 2019 2:00 pm
Fine, skip EM, but are you saying a Developed Markets or Total INTL or Total Global (x3 exists?) will be more volatile than a US market Fund in the next decade?

EDIT: I guess I'm trying to say, is a diversified portfolio including higher volatility assets (like small cap and INTL) is likely to have a lower volatility than just one less risky holding. Two ways to approach would be a Global x3 fund (if it exists) which could theorhetically have lower volatility amd higher risk adjusted return than US large cap, or to simply hold a basket of lower correlation assets x3, any one of which could have outsized gains and low volatility over the next decade, driving returns for the portfolio (like US large cap over the last decade).

I like your idea (although I won't be trying x3 funds unless the market tanks so low, I feel compelled to change my AA to 100% stocks, have no low APY debt available, and want to bet more money). I just don't see your justification for holding one country. I do see your justification for holding one type of bond.
This argument for diversifying the equity portion of the strategy sounded reasonable to me, so I decided to backtest 20/20/60 UPRO/DKZ/TMF using a simulated version of DKZ going back to 1997. The data is here if anyone wants to play with it.

Here are the results. Portfolio 1 is UPRO/DKZ/TMF and Portfolio 2 is the original UPRO/TMF.

Image

Image

Mainly what I was looking for was whether adding Intl Developed Markets helped mitigate the drawdowns of the equity portion. This does not appear to be the case, and so I will proceed with my original strategy of UPRO only.

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Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]

Post by mrspock » Mon Feb 11, 2019 2:16 am

A few follow-up questions:

1. Market cycle - In prior late stages of market cycles, how did this strategy fair (w/ synthetic data)?
2. UPRO - What happens to the liquidity of the instruments they use to approximate the S&P 500? Are the mechanisms (i.e. options & derivatives) they use vulnerable in times of market stress? Is there a good chance this thing just breaks down should the market crash (*not* including the 33.3% single day decline scenario)? i.e. the bottom just falls out similar to what we saw with XIV in 2018 .

My main worry is #2: this strategy works fine when the market is bearish and under minimal or no stress, but just falls apart when the market is under stress (volatility, lower liquidity). Am I off base here? Do we have data on how the UPRO's (and TMF's) underlying instruments performed during 2007 or 1997, 2000 etc? Thoughts?

It's probably worth digging a bit into just how UPRO/TMF work, and then doing the thought experiment to see if the wheels would have come off...

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Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]

Post by CuriousTacos » Mon Feb 11, 2019 2:38 am

Very interesting thread. I like the theory behind levering up a conservative portfolio, but I'd have to think through this implementation quite a bit before doing it myself.

I do have some initial questions/thoughts:

1. If I understand leveraged ETFs correctly, then the cost of the leverage must somehow be related to the interest rate, right (either directly through interest on borrowed assets or implied within the derivatives)? And this would be in addition to volatility drag?

Or another way I'm thinking of it...the slope of the tangency line from the risk-free asset to the un-leveraged portfolio defines how much the return will increase as you go out to the leveraged portfolio...at least I don't see how these leveraged ETFs could perform any better than this.

If that's all correct, then the performance depends on the risk-free rate. This works in your favor for now since interest rates are very low, and you'd have time to abandon the strategy if interest rates rise, so this isn't a deal-breaker. I just wouldn't count on it forever, and I imagine it would affect backtests as well.


2. I think the callable bonds before 1982 were only callable after 20 years (for 25-year bonds) or 25 years (for 30 year bonds):
https://www.treasurydirect.gov/indiv/re ... _bonds.htm

I'm not sure exactly how that affects things, but I would guess that means these bonds performed more like current bonds than was being discussed earlier in this thread. If I were to invest in this strategy, I would definitely want to know what would happen if long term bonds and stocks both fall at the same time, so being able to backtest in this time period seems valuable to me even if those bonds weren't exactly like current ones.

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Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]

Post by AlohaJoe » Mon Feb 11, 2019 2:54 am

Per siamond's request, here is a simulated "long term Treasury" bond fund with monthly returns:

https://docs.google.com/spreadsheets/d/ ... sp=sharing

It goes back to 1871 for reasons -- but really you should only look at the 1953-onwards data, since that's when GS20 + GS30 started being published. A quick spot check show the returns are broadly similar (but not identical) with what VUSUX (Vanguard Long-Term Treasury) has seen in the past few years.

The methodology is based on longinvest's "from rates to returns" -- viewtopic.php?t=179425 -- but extended to work on a monthly, rather than annual, basis.

The rates used are from FRED: GS1, GS2, GS3, GS5, GS7, GS10, GS20, GS30.

The interpolated yield curve is a simple linear interpolation, not any of the fancy methods that central banks use, e.g. https://www.federalreserve.gov/pubs/fed ... 628pap.pdf

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Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]

Post by HEDGEFUNDIE » Mon Feb 11, 2019 3:18 am

While I may be the OP, I certainly do not take credit for this idea, as it has been discussed on BH before (although certainly not to this length).

In fact, some Googling reveals an article that White Coat Investor published back in 2016:

https://www.whitecoatinvestor.com/explo ... aged-etfs/

This article advocates shorting an inverse risk parity portfolio, which theoretically puts you in the same long position of UPRO/TMF discusses here but could also profit off of the volatility decay that all leveraged ETFs suffer from.

Would anyone care to start a new thread to dissect the validity of that strategy? :D
Last edited by HEDGEFUNDIE on Mon Feb 11, 2019 11:28 am, edited 2 times in total.

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Re: Strategy Optimization

Post by UKFred » Mon Feb 11, 2019 3:36 am

hdas wrote:
Thu Feb 07, 2019 5:13 pm
Within the mostly fun department. The best portfolio is the one optimizing monthly based on previous 12 months. Provided Portfolio == 40/60 3x Levered.

Incidentally, since cash is an option. The model is in cash now.
Cheers :greedy
Hdas- your analysis is quite interesting. Could you elaborate a bit what you did please? I understand optimising the Sharpe Ratio but where did the cash element come in? Are you optimising across three variables? That’s difficult!

Thanks

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Re: Strategy Optimization

Post by jminv » Mon Feb 11, 2019 6:57 am

UKFred wrote:
Mon Feb 11, 2019 3:36 am
hdas wrote:
Thu Feb 07, 2019 5:13 pm
Within the mostly fun department. The best portfolio is the one optimizing monthly based on previous 12 months. Provided Portfolio == 40/60 3x Levered.

Incidentally, since cash is an option. The model is in cash now.
Cheers :greedy
Hdas- your analysis is quite interesting. Could you elaborate a bit what you did please? I understand optimising the Sharpe Ratio but where did the cash element come in? Are you optimising across three variables? That’s difficult!

Thanks
To replicate that result, you would go to rolling portfolio optimization and use the ticker UPRO and TMF, not the constructed indexes going back to the 80s. You would then select monthly (or quarterly or annual, all show the same 100% cash in this case) optimization with a 12 month lookback period. You can then see the cash result in the results graph under 'asset allocations'.

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Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]

Post by samsdad » Mon Feb 11, 2019 7:02 am

mrspock wrote:
Mon Feb 11, 2019 2:16 am
A few follow-up questions:

1. Market cycle - In prior late stages of market cycles, how did this strategy fair (w/ synthetic data)?
2. UPRO - What happens to the liquidity of the instruments they use to approximate the S&P 500? Are the mechanisms (i.e. options & derivatives) they use vulnerable in times of market stress? Is there a good chance this thing just breaks down should the market crash (*not* including the 33.3% single day decline scenario)? i.e. the bottom just falls out similar to what we saw with XIV in 2018 .

My main worry is #2: this strategy works fine when the market is bearish and under minimal or no stress, but just falls apart when the market is under stress (volatility, lower liquidity). Am I off base here? Do we have data on how the UPRO's (and TMF's) underlying instruments performed during 2007 or 1997, 2000 etc? Thoughts?

It's probably worth digging a bit into just how UPRO/TMF work, and then doing the thought experiment to see if the wheels would have come off...
With the understanding that no two things are absolutely equal in the universe, I'd like to point out that SPXL, the Direxion version of UPRO, was started in early November 2008 and rode the rollercoaster down to the market nadir of March 2009. I looked last night and I think it started around 4 dollars a share when it was introduced and ended around a dollar per share in March 2009. I don't know enough about funds in general to tell you whether they were shoveling money into SPXL at the time, etc. Also, they didn't start it in 2007 at the market peak either. If you had to press me on my take on which part of the ride down to the bottom they started on, I'd say they got on the train at about 3/4's of the way in. What that means going forward I have no idea.

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Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]

Post by samsdad » Mon Feb 11, 2019 7:08 am

I see above that AlohaJoe has completed the LTT magnum opus, and I'm really interested to see the results.

Before I do, I'm going to make a bet that it's going to change the results on the optimum (depending on your point of view I suppose) historical rebalancing timing.

It dawned on me while falling asleep last night that the rebalancing stuff I posted above might entirely be an artifact of the chunky LTT data set that it relies on in part. When your monthly returns look like this every year: 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 3%, etc., I'd wager that it would skew the results on when to rebalance.

Downloading now...

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Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]

Post by jaj2276 » Mon Feb 11, 2019 8:02 am

samsdad wrote:
Mon Feb 11, 2019 7:08 am
I see above that AlohaJoe has completed the LTT magnum opus, and I'm really interested to see the results.

Before I do, I'm going to make a bet that it's going to change the results on the optimum (depending on your point of view I suppose) historical rebalancing timing.

It dawned on me while falling asleep last night that the rebalancing stuff I posted above might entirely be an artifact of the chunky LTT data set that it relies on in part. When your monthly returns look like this every year: 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 3%, etc., I'd wager that it would skew the results on when to rebalance.

Downloading now...
LOL

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Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]

Post by samsdad » Mon Feb 11, 2019 9:25 am

Gonna be a busy day away from bogleheads, but I just wanted to quickly comment that the data from AlohaJoe tracks VUSTX back to its inception (mid-80s) as perfectly as you might expect.

However, when doing a simple 3x of it, it wildly overshoots TMF, which I think Siamond mentioned earlier upthread with his quick take on data he had.

I’d like to take a moment to thank AlohaJoe and Siamond for their contributions to this forum overall, and to the project at hand.

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Re: Strategy Optimization

Post by staythecourse » Mon Feb 11, 2019 9:41 am

jminv wrote:
Mon Feb 11, 2019 6:57 am
UKFred wrote:
Mon Feb 11, 2019 3:36 am
hdas wrote:
Thu Feb 07, 2019 5:13 pm
Within the mostly fun department. The best portfolio is the one optimizing monthly based on previous 12 months. Provided Portfolio == 40/60 3x Levered.

Incidentally, since cash is an option. The model is in cash now.
Cheers :greedy
Hdas- your analysis is quite interesting. Could you elaborate a bit what you did please? I understand optimising the Sharpe Ratio but where did the cash element come in? Are you optimising across three variables? That’s difficult!

Thanks
To replicate that result, you would go to rolling portfolio optimization and use the ticker UPRO and TMF, not the constructed indexes going back to the 80s. You would then select monthly (or quarterly or annual, all show the same 100% cash in this case) optimization with a 12 month lookback period. You can then see the cash result in the results graph under 'asset allocations'.
Just keep in mind the definition of active management is: Security selection and/ or market timing. This starts pushing to areas of active management. IF it is losers game in the unleveraged world I would think it would be a losers game in the leveraged world.

The great part of this concept it is a passive strategy. People might not like it, but no one would argue against a 40/60 split of sp500 and LTT. The issue just comes with leveraging and/ or extra volatility. Once you add market timing I think this who strategy can go off the rails.

Good luck.
"The stock market [fluctuation], therefore, is noise. A giant distraction from the business of investing.” | -Jack Bogle

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Re: Strategy Optimization

Post by hdas » Mon Feb 11, 2019 10:33 am

UKFred wrote:
Mon Feb 11, 2019 3:36 am

Hdas- your analysis is quite interesting. Could you elaborate a bit what you did please? I understand optimising the Sharpe Ratio but where did the cash element come in? Are you optimising across three variables? That’s difficult!

Thanks
jminv wrote:
Mon Feb 11, 2019 6:57 am

To replicate that result, you would go to rolling portfolio optimization and use the ticker UPRO and TMF, not the constructed indexes going back to the 80s. You would then select monthly (or quarterly or annual, all show the same 100% cash in this case) optimization with a 12 month lookback period. You can then see the cash result in the results graph under 'asset allocations'.
Yes, but you ought have enough data. I built my synthetic 3X products using stocks and bonds futures data. Since 1997 for Mini SP500 Futures. I have bond futures data from 1980 but not data for SP500 futures (big contract that traded in the pit since the 80’s). The optimization was just a dummy example. :greedy
"whenever there is a randomized way of doing something, then there is a nonrandomized way that delivers better performance but requires more thought" ET Jaynes

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Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]

Post by PluckyDucky » Mon Feb 11, 2019 11:24 am

Has there been any discussion on the optimal amount of leveraged ETF?

I read a paper a year or 2 ago about mixing 2x and 3x leverage ETF to get the optimal amount such as 2.7x. The optimization was based on various factors that I don't remember. Of course past performance does not mean future results. :happy

I can't find the paper though.

I am on page 3 of the thread right now.

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Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]

Post by mrspock » Mon Feb 11, 2019 11:43 am

PluckyDucky wrote:
Mon Feb 11, 2019 11:24 am
Has there been any discussion on the optimal amount of leveraged ETF?

I read a paper a year or 2 ago about mixing 2x and 3x leverage ETF to get the optimal amount such as 2.7x. The optimization was based on various factors that I don't remember. Of course past performance does not mean future results. :happy

I can't find the paper though.

I am on page 3 of the thread right now.
I don’t recall any, but there’s a lot of pages...

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Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]

Post by HEDGEFUNDIE » Mon Feb 11, 2019 12:36 pm

PluckyDucky wrote:
Mon Feb 11, 2019 11:24 am
Has there been any discussion on the optimal amount of leveraged ETF?

I read a paper a year or 2 ago about mixing 2x and 3x leverage ETF to get the optimal amount such as 2.7x. The optimization was based on various factors that I don't remember. Of course past performance does not mean future results. :happy
It's a good question, and the answer has a lot to do with volatility drag.

Here is the return profile of UPRO at 3x leverage:

Image

And here is the same for SSO at 2x leverage:

Image

The long run volatility of the S&P 500 is 15%; for Long Treasuries it's 10%. At those levels of volatility you are still earning extra return for 3x leverage.

I should note that on a risk-adjusted basis 3x leverage will almost always lose to 2x leverage. But as the old saying goes, "you can't eat Sharpe ratios".

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Higher Quality References

Post by hdas » Mon Feb 11, 2019 1:00 pm

For ppl interested in a more formal in depth study of these funds, here're some resources:

Books

1. Leveraged Exchange-Traded Funds: Price Dynamics and Options Valuation. Tim Leung

2. Leveraged Exchange-Traded Funds: A Comprehensive Guide to Structure, Pricing, and Performance. Narat CharupatPeter Miu

Papers

>> Leung, Tim and Santoli, Marco, Leveraged ETFs: Admissible Leverage and Risk Horizon. Journal of Investment Strategies, 2(1): pp.39-61, 2012 .
>> Avellaneda, M. and S. Zhang, 2010: Path-dependence of leveraged ETF returns. SIAM Journal of Financial Mathematics, 1, 586–603.
>> Cheng, M. and A. Madhavan, 2009: The dynamics of leveraged and inverse exchange traded funds. Journal Of Investment Management, 4.
>> Haugh, M., 2011: A note on constant proportion trading strategies. Operations Research Letters, 39, 172–179.
>> Leung, T. and R. Sircar, 2012: Implied volatility of leveraged ETF options. working paper, Columbia University.

Pamphlets

>> Leveraged ETFs:All You Wanted to Know but Were Afraid to Ask
>> Leveraged ETFs, Holding Periods and Investment Shortfalls
>> Trading with leveraged and inverse ETFs
Last edited by hdas on Mon Feb 11, 2019 1:48 pm, edited 3 times in total.
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Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]

Post by SovereignInvestor » Mon Feb 11, 2019 1:22 pm

It seems like this strategy is statistically overfitting a historical period of rising bonds and stocks and when one fell the other rose.

In the 1970s this would have gotten destroyed.

I believe a small leveraged gold allocation would hedge loss from 170s or inflation outbreak.

If bonds and stocks sustainable got hit from.rising inflation gold generally surges big and if it were like 1973-1978 were stocks got smoked and bonds did but gold rises 5 fold, a leveraged position in something rising 5 fold would more than offset the losses in other two.

Does Bridgewater use gold or commodities too?..a tiny position..

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Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]

Post by samsdad » Mon Feb 11, 2019 1:32 pm

I’ve edited this post to follow EfficientInvestor’s lead regarding the simulated data issue:

UPDATE (2/20/19) - The data that had previously been provided in this post was based on developing a best fit to the data of actual leveraged ETFs since their inception. Since inception of 3X ETFs in 2009, borrowing rates have been low. Therefore, this data did not take into account higher borrowing rates that occurred prior to 2009. Due to this, I have removed the data I had previously provided.
Last edited by samsdad on Wed Feb 20, 2019 12:18 pm, edited 1 time in total.

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Re: Strategy Optimization

Post by UKFred » Mon Feb 11, 2019 1:46 pm

jminv wrote:
Mon Feb 11, 2019 6:57 am
To replicate that result, you would go to rolling portfolio optimization and use the ticker UPRO and TMF, not the constructed indexes going back to the 80s. You would then select monthly (or quarterly or annual, all show the same 100% cash in this case) optimization with a 12 month lookback period. You can then see the cash result in the results graph under 'asset allocations'.
Thanks

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Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]

Post by samsdad » Mon Feb 11, 2019 2:18 pm

I’ve edited this post to follow EfficientInvestor’s lead regarding the simulated data issue:

UPDATE (2/20/19) - The data that had previously been provided in this post was based on developing a best fit to the data of actual leveraged ETFs since their inception. Since inception of 3X ETFs in 2009, borrowing rates have been low. Therefore, this data did not take into account higher borrowing rates that occurred prior to 2009. Due to this, I have removed the data I had previously provided.
Last edited by samsdad on Wed Feb 20, 2019 12:20 pm, edited 1 time in total.

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Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]

Post by sabhen » Mon Feb 11, 2019 3:18 pm

HEDGEFUNDIE wrote: ↑Sat Feb 09, 2019 1:00 pm
If 2008 happened again, UPRO would get killed but TMF would skyrocket. [...]
What would be the absolute downside in this scenario?

If say S&P500 is down 50% (2008-2009), UPRO be down 150% (3 times)

Does that mean, one of the following scenarios:

1) UPRO balance goes negative and one needs to put up additional cash to bring the balance above 0?

2) UPRO balance goes to ZERO and no additional cash will be required.

3) Something else.

Sorry if the question is a repeat. I was not able to get a clear answer from reading this thread.

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Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]

Post by EfficientInvestor » Mon Feb 11, 2019 3:19 pm

samsdad wrote:
Mon Feb 11, 2019 2:18 pm
So I've given up on trying to take AlohaJoe's wonderful unleveraged LTT data set and fit it to either the real TMF, or the 1985ish-to-present TMF simulated data offered by EfficientInvestor.

While I can get a leveraged form of AlohaJoe's data to eventually meet EfficientInvestor's leveraged simulated data of TMF at the terminal point of 2018 in terms of fund value, it's really a garbage data set as it has a completely different standard deviation, maximum drop down, Sharpe ratio, etc. In other words, it's a wild guess data set, which is what I called it in simulations this morning. It's worthless.
Just to throw a wrench in all of this data simulation...after chewing on the Proshares and Direxion annual reports over the weekend, I'm realizing that there is a big missing piece to the way I developed my simulations. I had just based my simulations on a weighted average of price and total price (w/ dividend) data and iterated until I had a good fit with available data. However, the reports show that a pretty large portion of the market exposure of these funds are due to the swap contracts. For these contracts, the funds have to pay interest (based on LIBOR rate) to the bank for the privilege of having access to the contracts. That hasn't been that big of a deal since 2009, when these 3X funds hit the street. However, LIBOR was as much as 10% in the late 80s, and this would have been quite the drag on the ETFs. Take a look at the thread I started to specifically discuss the simulation of leveraged ETFs: viewtopic.php?f=10&t=272640

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Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]

Post by sparksfly » Mon Feb 11, 2019 3:33 pm

sabhen wrote:
Mon Feb 11, 2019 3:18 pm
HEDGEFUNDIE wrote: ↑Sat Feb 09, 2019 1:00 pm
If 2008 happened again, UPRO would get killed but TMF would skyrocket. [...]
What would be the absolute downside in this scenario?

If say S&P500 is down 50% (2008-2009), UPRO be down 150% (3 times)

Does that mean, one of the following scenarios:

1) UPRO balance goes negative and one needs to put up additional cash to bring the balance above 0?

2) UPRO balance goes to ZERO and no additional cash will be required.

3) Something else.

Sorry if the question is a repeat. I was not able to get a clear answer from reading this thread.
UPRO is balancing the leverage daily. Unless the index goes down 33.33% or more in a single day, the scenario will not play out. Given the market circuit breaker rules, the broad index will not go down 33% in a day...trading will be halted for the day before that happens. Technically, by end of that day, the fund will make adjustments so that the ratio of assets and leverage is back to original (and will likely sell assets in doing so).

For a very rough (excluding cost of leverage) example: Let's say the fund has 100M dollars; 70M of it is in SPY and rest 30M as cash to cover leverage via Swaps (to achieve 3X). This 30M cash is helping cushion the 230M in leverage.

If market drops 20%; the SPY portion will be 56M by end of the day. The fund will have to pay out 46M to cover the daily loss in the levered asset of 230M. That leaves the fund with total 56M (SPY)+30M (Cash) - 46M (Payout) = 40M (exactly 60% loss representing 3X loss compared to index).

To handle this situation: Assume that the fund will sell 28M in SPY and pays out 46M. That leaves the fund with 28M (SPY) + 12M (Cash). To maintain the same 3X leverage, the fund now needs to have swaps worth 92M against the cash of 12M to have the total exposure of 120M (3X of 40M left in assets).

As you can see, in a market that goes down by 50% over a period of multiple days, the fund itself will not go down by 150% of original value. It is true that it will come close to be worthless but not negative.

Having said that, the question really is: will there be market for the fund managers to wind their positions down and balance the leverage on a day with 20% or 30% drop?

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Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]

Post by SVT » Mon Feb 11, 2019 7:57 pm

Well, I just emailed M1 Finance to initiate rolling over my Roth IRAs from Merrill Edge and Vanguard. Portfolio at M1 is set. Going to invest my entire $80k Roth IRA in this. I'll take the risk.

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Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]

Post by sabhen » Mon Feb 11, 2019 10:01 pm

Thanks for the explanation. UPRO was not around in 2008-2009 recession. One big issue during the last recession was counterparty risk.

Great question
will there be a market for the fund managers to wind their positions down and balance the leverage on a day with 20% or 30% drop?

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Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]

Post by staythecourse » Mon Feb 11, 2019 10:17 pm

SVT wrote:
Mon Feb 11, 2019 7:57 pm
Well, I just emailed M1 Finance to initiate rolling over my Roth IRAs from Merrill Edge and Vanguard. Portfolio at M1 is set. Going to invest my entire $80k Roth IRA in this. I'll take the risk.
What is the process like at M1? I registered and find the website not so obvious. Maybe because there is no money sitting in it already. I opened a roth IRA there online. Do I just email them a statement from the current firm holding my roth ira and that is it? Is there any paperwork that needs to be done (i'm assuming there should be, but didnt see a link on line for it). Do they transfer the current funds in kind or do they liquidate to cash?

For those who have used their platform is the buying easy? Do you just go to your pie and start buying?

Just trying to figure out the mechanics.

Thanks in advance.

Good luck.

p.s. Again it should be noted for less experienced investor the limits should same as play money, i.e. <10% of your account.
"The stock market [fluctuation], therefore, is noise. A giant distraction from the business of investing.” | -Jack Bogle

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Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]

Post by DosCommas » Mon Feb 11, 2019 10:20 pm

For my taxable account (play money) I've narrowed my portfolio down to:
20% UPRO ProShares UltraPro S&P500 (TLH pair SPXL)
30% SSO ProShares Ultra S&P500 (TLH pair SPUU)
30% TMF Direxion Daily 20+ Yr Trsy Bull 3X ETF
20% UBT ProShares Ultra 20+ Year Treasury

In theory this portfolio will allow for more tax saving opportunities as I can swap between funds to maintain the same overall exposures (trading is the play in play money!!). The blended leverage factor is (2.4 S&P500 / 2.6 Treasuries) and looks to provide higher sharpe & sortino ratios (recent std deviation 20-25% lower with <20% lower returns). I still need to run the full simulated backtest but would love feedback on this idea. Has anyone created simulated data for UBT and SSO yet?

Image
Image

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Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]

Post by SVT » Mon Feb 11, 2019 10:31 pm

staythecourse wrote:
Mon Feb 11, 2019 10:17 pm
SVT wrote:
Mon Feb 11, 2019 7:57 pm
Well, I just emailed M1 Finance to initiate rolling over my Roth IRAs from Merrill Edge and Vanguard. Portfolio at M1 is set. Going to invest my entire $80k Roth IRA in this. I'll take the risk.
What is the process like at M1? I registered and find the website not so obvious. Maybe because there is no money sitting in it already. I opened a roth IRA there online. Do I just email them a statement from the current firm holding my roth ira and that is it? Is there any paperwork that needs to be done (i'm assuming there should be, but didnt see a link on line for it). Do they transfer the current funds in kind or do they liquidate to cash?

For those who have used their platform is the buying easy? Do you just go to your pie and start buying?

Just trying to figure out the mechanics.

Thanks in advance.

Good luck.

p.s. Again it should be noted for less experienced investor the limits should same as play money, i.e. <10% of your account.
Since you already created the account, from there you can just click on the funding link near the top, then scroll all the way down to the bottom of the page and click on "Start a Transfer". I chose "Transfer account from another brokerage", which gives you instructions on what to do, which includes emailing them a copy of your statements. Apparently, they take care of everything from there. There's also a FAQ link there as well, which is here: https://www.m1finance.com/Direct_Accoun ... rs_FAQ.pdf

It's my understanding that the money I currently have invested in my current Roths will automatically go into the funds I have in the pie I created.

I just emailed them right after the end of normal business hours today, so I haven't received a response yet. I imagine I will tomorrow.

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Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]

Post by samsdad » Mon Feb 11, 2019 10:35 pm

From the Annual Report p. LVII:
During the year ended May 31, 2018, the Fund invested in swap agreements and futures contracts in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund’s advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
http://www.proshares.com/media/document ... 9941237107
Further into the report, it lists the counterparties on p. 125:
UltraPro S&P500® had the following open non-exchange traded total return swap agreements as of May 31, 2018:
Bank of America NA Bank of America NA
BNP Paribas SA
Citibank NA
Credit Suisse International
Deutsche Bank AG
Goldman Sachs International Goldman Sachs International
Morgan Stanley & Co. International plc
Societe Generale UBS AG
That said, I'm only putting in enough to make a nice bonus if it works out, and not so much that it'll matter if it goes to zero. I also reserve the right to back out should this thread or the other thread about simulating the returns turns up something unattractive.

skeptical
Posts: 125
Joined: Fri Jul 18, 2014 12:24 pm

Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]

Post by skeptical » Mon Feb 11, 2019 11:33 pm

I am very interested in hearing from those who are implementing a UPRO/TMF strategy, specifically related to the bid/ask spread and how it impacts returns.

For example, according to M*, the bid/ask for TMF right now is 18.10/20.00, with a current "price" of 19.54, and the ETF has about 100M in assets.

I am not familiar with the details of ETF trading (I have only been using mutual funds). When the quarterly rebalancing takes place, and you need to sell of some of the TMF, does this mean you need to place a market order to sell and only get $18.10 ? Which is a 10% haircut on the sale ? Or, do you place a limit order (not sure if I am using the correct terminology) for $19.54, and hope to get that price, and if not keep trying ?

Right now, UPRO has a bid/ask spread of .1%, so it seems a lot more liquid (with $1.2B in assets).

Not sure how big an effects this is on the "backtesting" and simulations, but doing this 4X a year could mean a lot of friction, especially during periods of market stress and lack of liquidity.

Topic Author
HEDGEFUNDIE
Posts: 3649
Joined: Sun Oct 22, 2017 2:06 pm

Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]

Post by HEDGEFUNDIE » Mon Feb 11, 2019 11:47 pm

skeptical wrote:
Mon Feb 11, 2019 11:33 pm
I am very interested in hearing from those who are implementing a UPRO/TMF strategy, specifically related to the bid/ask spread and how it impacts returns.

For example, according to M*, the bid/ask for TMF right now is 18.10/20.00, with a current "price" of 19.54, and the ETF has about 100M in assets.

I am not familiar with the details of ETF trading (I have only been using mutual funds). When the quarterly rebalancing takes place, and you need to sell of some of the TMF, does this mean you need to place a market order to sell and only get $18.10 ? Which is a 10% haircut on the sale ? Or, do you place a limit order (not sure if I am using the correct terminology) for $19.54, and hope to get that price, and if not keep trying ?

Right now, UPRO has a bid/ask spread of .1%, so it seems a lot more liquid (with $1.2B in assets).

Not sure how big an effects this is on the "backtesting" and simulations, but doing this 4X a year could mean a lot of friction, especially during periods of market stress and lack of liquidity.
I have no idea how M* is calculating that ridiculous bid ask spread. Perhaps it’s the after-market spread?

Fidelity says TMF’s bid ask spread over the past month averaged 0.08%. ETF.com says it’s 0.06% over the past 60 days.

https://screener.fidelity.com/ftgw/etf/ ... ymbols=TMF

https://www.etf.com/TMF#overview

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