All Weather leveraged stomps Hedgefundie and other portfolios !

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jarjarM
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Re: All Weather leveraged stomps Hedgefundie and other portfolios !

Post by jarjarM » Wed Jul 29, 2020 7:06 pm

danyboy7 wrote:
Wed Jul 29, 2020 6:52 pm

Thanks a lot for your contribution :!: :!: ,I'm reading it right now but it is very long and pretty hard math based.Would you mind to share your thoughts on those risks you have mentioned ? Doing kinda of a summary I guess
I did nothing, just a follower of the thread. Posters like siamond, hedgiefungie and many are great contributors to the thread. You can read through the thread w/o worry much about the math but focus on the actual implementation cost of the daily leveraging and "friction cost" and associated issue. I think it's quite insightful and should help you understand better before you put real :moneybag on your proposed the portfolio. Make sure you come back to report on your success :beer

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danyboy7
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Re: All Weather leveraged stomps Hedgefundie and other portfolios !

Post by danyboy7 » Wed Jul 29, 2020 7:53 pm

All right,here we go:
Here is the backtest using the actual ETFs as you have requested
https://www.portfoliovisualizer.com/bac ... mbol5=UTSL
If you wanna see the version utilities,just put the 7.5% on utsl.That fund started in 2017 so I don't find this "backtest" so interesting as you do,but you're the boss
Now the question about using Vanguard Total Stock Mkt Idx Inv and Sp500 known as Vanguard 500 Index Investor.....here are those big differences of those 2 funds https://www.portfoliovisualizer.com/bac ... ion2_2=100
Do you understand that Vanguard total stock market index is a USA index and not a World one,right ? From their website: Created in 1992, Vanguard Total Stock Market Index Fund is designed to provide investors with exposure to the entire U.S. equity market, including small-, mid-, and large-cap growth and value stocks.
Other questions ? ....
Edit: answering to nisiprius post that was later deleted by him
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firebirdparts
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Re: All Weather with utilities vs All Weather Leveraged !

Post by firebirdparts » Thu Jul 30, 2020 2:32 pm

snailderby wrote:
Tue Jul 28, 2020 8:07 am
000 wrote:
Mon Jul 27, 2020 12:57 pm
These strategies seem like they were born of backtests, not a fundamental model. I am skeptical they will perform well going forward.
nisiprius wrote:
Tue Jul 28, 2020 6:26 am
Surely you realize that it is easy to get impressive backtests if you have any vague memory of past behavior of asset classes, and are allowed to do an unlimited number of tests before presenting the results. Any change you make has about a 50% chance of improving the backtest, and if you keep doing it over and over you are going to eventually get an intriguing backtest. Expecting it to perform well out-of-sample is quite another thing.
+1.
Let's face it, you don't even need an unlimited number of tests.

I guess everybody knows this, but there are certainly people adding spices to their leveraged portfolios and talking about it in the regular HF2 thread. Gold was obvious but utilities have been mostly kicked around as a bond alternative in non-leveraged discussions.
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danyboy7
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Re: All Weather with utilities vs All Weather Leveraged !

Post by danyboy7 » Fri Jul 31, 2020 4:08 am

firebirdparts wrote:
Thu Jul 30, 2020 2:32 pm
snailderby wrote:
Tue Jul 28, 2020 8:07 am
000 wrote:
Mon Jul 27, 2020 12:57 pm
These strategies seem like they were born of backtests, not a fundamental model. I am skeptical they will perform well going forward.
nisiprius wrote:
Tue Jul 28, 2020 6:26 am
Surely you realize that it is easy to get impressive backtests if you have any vague memory of past behavior of asset classes, and are allowed to do an unlimited number of tests before presenting the results. Any change you make has about a 50% chance of improving the backtest, and if you keep doing it over and over you are going to eventually get an intriguing backtest. Expecting it to perform well out-of-sample is quite another thing.
+1.
Let's face it, you don't even need an unlimited number of tests.

I guess everybody knows this, but there are certainly people adding spices to their leveraged portfolios and talking about it in the regular HF2 thread. Gold was obvious but utilities have been mostly kicked around as a bond alternative in non-leveraged discussions.
Guys,if you don't like this strategy,there is no one forcing you to embrace it.
Just go on with HF2 strategy and pray interest rates aren't gonna rise soon.
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nisiprius
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Re: All Weather leveraged stomps Hedgefundie and other portfolios !

Post by nisiprius » Fri Jul 31, 2020 5:43 am

danyboy7 wrote:
Wed Jul 29, 2020 7:53 pm
All right,here we go:
Here is the backtest using the actual ETFs as you have requested...
Edit: answering to nisiprius post that was later deleted by him
Thank you very much. I deleted my post because it was beginning to feel too much like an argument and I didn't want to annoy you if nothing in particular was going to come out of it.

So, now we have a specific statement of your proposed portfolio. This is what I understand is your proposal, please correct if I've goofed.

UGL ProShares Ultra Gold 15.00%
UPRO ProShares UltraPro S&P500 30.00%
TMF Direxion Daily 20+ Yr Trsy Bull 3X ETF 40.00%
TYD Direxion Daily 7-10 Yr Trs Bull 3X ETF 15.00%

Image
Rebalancing to be performed according to PortfolioVisualizer's "annual rebalancing" method.

As you say, you are no longer proposing to use utilities stocks in place of commodities. I notice these differences from the Robbins/Dalio All Seasons, the big one of course being the use of leveraged ETFs. I assume the differences are due to availability of leveraged ETF products, and by an assumption that S&P-500-versus-total-stock isn't important enough to warrant the complexity.
  • No commodity futures--15% gold replaces 7.5% commodity futures, 7.5% gold.
  • S&P 500 instead of a total stock market fund, thus no small-caps and underweighted mid-caps.
  • 3X-leveraged-with-daily-rebalancing on the Treasury securities and the stocks, only 2X on the gold.
Annual income twenty pounds, annual expenditure nineteen nineteen and six, result happiness; Annual income twenty pounds, annual expenditure twenty pounds ought and six, result misery.

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danyboy7
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Re: All Weather leveraged stomps Hedgefundie and other portfolios !

Post by danyboy7 » Fri Jul 31, 2020 6:34 am

nisiprius wrote:
Fri Jul 31, 2020 5:43 am
danyboy7 wrote:
Wed Jul 29, 2020 7:53 pm
All right,here we go:
Here is the backtest using the actual ETFs as you have requested...
Edit: answering to nisiprius post that was later deleted by him
Thank you very much. I deleted my post because it was beginning to feel too much like an argument and I didn't want to annoy you if nothing in particular was going to come out of it.

So, now we have a specific statement of your proposed portfolio. This is what I understand is your proposal, please correct if I've goofed.

UGL ProShares Ultra Gold 15.00%
UPRO ProShares UltraPro S&P500 30.00%
TMF Direxion Daily 20+ Yr Trsy Bull 3X ETF 40.00%
TYD Direxion Daily 7-10 Yr Trs Bull 3X ETF 15.00%

Image
Rebalancing to be performed according to PortfolioVisualizer's "annual rebalancing" method.

As you say, you are no longer proposing to use utilities stocks in place of commodities. I notice these differences from the Robbins/Dalio All Seasons, the big one of course being the use of leveraged ETFs. I assume the differences are due to availability of leveraged ETF products, and by an assumption that S&P-500-versus-total-stock isn't important enough to warrant the complexity.
  • No commodity futures--15% gold replaces 7.5% commodity futures, 7.5% gold.
  • S&P 500 instead of a total stock market fund, thus no small-caps and underweighted mid-caps.
  • 3X-leveraged-with-daily-rebalancing on the Treasury securities and the stocks, only 2X on the gold.
You have to rebalance :arrow: quarterly to get the better results, regardless of which version you would choose.And no,I'll stick with the version using utilities.The "double gold" version proposal is for someone not being comfortable with using utilities or not being able to create a commodities stock basket. I would exclude in any case a version of using commodities leveraged etf due to its abysmal performance and contango effect :oops: but those who think differently should stick with it.
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danyboy7
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Re: All Weather leveraged stomps Hedgefundie and other portfolios !

Post by danyboy7 » Fri Jul 31, 2020 6:49 am

So here is what it would like with actual ETFs https://www.portfoliovisualizer.com/bac ... ion6_3=7.5
I've added also a version with commodities including ETF x3 leveraged NEED (Consumer staples)
For those wanting the longest backtests available,see the previous posts.
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jarjarM
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Re: All Weather leveraged stomps Hedgefundie and other portfolios !

Post by jarjarM » Fri Jul 31, 2020 11:00 am

danyboy7 wrote:
Fri Jul 31, 2020 6:49 am
So here is what it would like with actual ETFs https://www.portfoliovisualizer.com/bac ... ion6_3=7.5
I've added also a version with commodities including ETF x3 leveraged NEED (Consumer staples)
For those wanting the longest backtests available,see the previous posts.
Be very careful with portfoliovisualizer... It's using monthly return for it's calculation so intra-month volatility is being taken into account. I ran a quick simulation using your ASx3 with utilities and see the data below. Max drawdown is actually higher for the ASx3 when compare to the SP500 baseline.
Actually this is a great example to show that one has to take the portfoliovisualizer backtest with grain of salt. ESPECIALLY for those running leverage on margin account. Because one can get margin calls even though monthly max drawdown is small, but the brokers don't run margin check on a monthly basis. Good luck

----------------------------VFINX Baseline-------------ASX3 Portfolio
cagr-------------------------14.30--------------------------51.92
sharpe-----------------------0.62----------------------------1.63
volatility--------------------0.27----------------------------0.28
avg_monthly_return----------1.33----------------------------3.96
period_return-------------23.44---------------------------93.24
max_drawdown-----------33.81---------------------------39.12

Image

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danyboy7
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Re: All Weather leveraged stomps Hedgefundie and other portfolios !

Post by danyboy7 » Fri Jul 31, 2020 11:07 am

jarjarM wrote:
Fri Jul 31, 2020 11:00 am
danyboy7 wrote:
Fri Jul 31, 2020 6:49 am
So here is what it would like with actual ETFs https://www.portfoliovisualizer.com/bac ... ion6_3=7.5
I've added also a version with commodities including ETF x3 leveraged NEED (Consumer staples)
For those wanting the longest backtests available,see the previous posts.
Be very careful with portfoliovisualizer... It's using monthly return for it's calculation so intra-month volatility is being taken into account. I ran a quick simulation using your ASx3 with utilities and see the data below. Max drawdown is actually higher for the ASx3 when compare to the SP500 baseline.
Actually this is a great example to show that one has to take the portfoliovisualizer backtest with grain of salt. ESPECIALLY for those running leverage on margin account. Because one can get margin calls even though monthly max drawdown is small, but the brokers don't run margin check on a monthly basis. Good luck

----------------------------VFINX Baseline-------------ASX3 Portfolio
cagr-------------------------14.30--------------------------51.92
sharpe-----------------------0.62----------------------------1.63
volatility--------------------0.27----------------------------0.28
avg_monthly_return----------1.33----------------------------3.96
period_return-------------23.44---------------------------93.24
max_drawdown-----------33.81---------------------------39.12

Image
Do you understand that I don't need a margin account to use those etfs ? I'm not shorting/goin long on leveraged etfs by buying options,I simply buy those 5 etfs and rebalance them. I won't get margin calls on holding leveraged etfs man !
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jarjarM
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Re: All Weather leveraged stomps Hedgefundie and other portfolios !

Post by jarjarM » Fri Jul 31, 2020 11:16 am

danyboy7 wrote:
Fri Jul 31, 2020 11:07 am
jarjarM wrote:
Fri Jul 31, 2020 11:00 am
danyboy7 wrote:
Fri Jul 31, 2020 6:49 am
So here is what it would like with actual ETFs https://www.portfoliovisualizer.com/bac ... ion6_3=7.5
I've added also a version with commodities including ETF x3 leveraged NEED (Consumer staples)
For those wanting the longest backtests available,see the previous posts.
Be very careful with portfoliovisualizer... It's using monthly return for it's calculation so intra-month volatility is being taken into account. I ran a quick simulation using your ASx3 with utilities and see the data below. Max drawdown is actually higher for the ASx3 when compare to the SP500 baseline.
Actually this is a great example to show that one has to take the portfoliovisualizer backtest with grain of salt. ESPECIALLY for those running leverage on margin account. Because one can get margin calls even though monthly max drawdown is small, but the brokers don't run margin check on a monthly basis. Good luck

----------------------------VFINX Baseline-------------ASX3 Portfolio
cagr-------------------------14.30--------------------------51.92
sharpe-----------------------0.62----------------------------1.63
volatility--------------------0.27----------------------------0.28
avg_monthly_return----------1.33----------------------------3.96
period_return-------------23.44---------------------------93.24
max_drawdown-----------33.81---------------------------39.12

Image
Do you understand that I don't need a margin account to use those etfs ? I'm not shorting/goin long on leveraged etfs by buying options,I simply buy those 5 etfs and rebalance them. I won't get margin calls on holding leveraged etfs man !
I understand you don't need to run margin account on these, just pointing out issues with PV backtest. Also, if your ASx3 takes off, undoubtedly there will be ppl using margin account to run these type of LETF, similar to what happen with HF2 strategy so this will serve as a warning. Who knows, if you can get this going and this give you the 50% CAGR you wanted, you may end up wanting to using margin so you can get to the finish line in a few short years.

P.S. This also serves as great example of understanding the limitation on online backtest sites. :beer

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danyboy7
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Re: All Weather leveraged stomps Hedgefundie and other portfolios !

Post by danyboy7 » Fri Jul 31, 2020 11:26 am

jarjarM wrote:
Fri Jul 31, 2020 11:16 am
danyboy7 wrote:
Fri Jul 31, 2020 11:07 am
jarjarM wrote:
Fri Jul 31, 2020 11:00 am
danyboy7 wrote:
Fri Jul 31, 2020 6:49 am
So here is what it would like with actual ETFs https://www.portfoliovisualizer.com/bac ... ion6_3=7.5
I've added also a version with commodities including ETF x3 leveraged NEED (Consumer staples)
For those wanting the longest backtests available,see the previous posts.
Be very careful with portfoliovisualizer... It's using monthly return for it's calculation so intra-month volatility is being taken into account. I ran a quick simulation using your ASx3 with utilities and see the data below. Max drawdown is actually higher for the ASx3 when compare to the SP500 baseline.
Actually this is a great example to show that one has to take the portfoliovisualizer backtest with grain of salt. ESPECIALLY for those running leverage on margin account. Because one can get margin calls even though monthly max drawdown is small, but the brokers don't run margin check on a monthly basis. Good luck

----------------------------VFINX Baseline-------------ASX3 Portfolio
cagr-------------------------14.30--------------------------51.92
sharpe-----------------------0.62----------------------------1.63
volatility--------------------0.27----------------------------0.28
avg_monthly_return----------1.33----------------------------3.96
period_return-------------23.44---------------------------93.24
max_drawdown-----------33.81---------------------------39.12

Image
Do you understand that I don't need a margin account to use those etfs ? I'm not shorting/goin long on leveraged etfs by buying options,I simply buy those 5 etfs and rebalance them. I won't get margin calls on holding leveraged etfs man !
I understand you don't need to run margin account on these, just pointing out issues with PV backtest. Also, if your ASx3 takes off, undoubtedly there will be ppl using margin account to run these type of LETF, similar to what happen with HF2 strategy so this will serve as a warning. Who knows, if you can get this going and this give you the 50% CAGR you wanted, you may end up wanting to using margin so you can get to the finish line in a few short years.

P.S. This also serves as great example of understanding the limitation on online backtest sites. :beer
I understand your concerns but I thought I have been pretty clear,but if it's not so i repeat it again I wouldn't use this strategy on a margin account,it's simply crazy to even think about it imho. I thought it for granted :!:
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Wrench
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Re: All Weather leveraged stomps Hedgefundie and other portfolios !

Post by Wrench » Sat Aug 01, 2020 6:22 am

Here is a simulation of the proposed portfolio with and without utilities. The sim matches the proposed portfolio reasonably well (not perfect, tho) but allows a longer time frame. The addition of 3x utilities do not seem to make much difference so if I were going to implement this I would leave utilities out. Simpler is better unless there is a good reason to make it more complex.

https://www.portfoliovisualizer.com/bac ... n10_3=-185

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Re: All Weather leveraged stomps Hedgefundie and other portfolios !

Post by nisiprius » Sat Aug 01, 2020 7:19 am

danyboy7 wrote:
Fri Jul 31, 2020 6:34 am
nisiprius wrote:
Fri Jul 31, 2020 5:43 am
danyboy7 wrote:
Wed Jul 29, 2020 7:53 pm
All right,here we go:
Here is the backtest using the actual ETFs as you have requested...
Edit: answering to nisiprius post that was later deleted by him
Thank you very much. I deleted my post because it was beginning to feel too much like an argument and I didn't want to annoy you if nothing in particular was going to come out of it.

So, now we have a specific statement of your proposed portfolio. This is what I understand is your proposal, please correct if I've goofed
Image
Rebalancing to be performed according to PortfolioVisualizer's "annual rebalancing" method.
You have to rebalance :arrow: quarterly to get the better results, regardless of which version you would choose.And no,I'll stick with the version using utilities.The "double gold" version proposal is for someone not being comfortable with using utilities or not being able to create a commodities stock basket. I would exclude in any case a version of using commodities leveraged etf due to its abysmal performance and contango effect :oops: but those who think differently should stick with it.
Well, now I'm completely baffled. I've now tried a couple of times to get a clear statement of the actual strategy you plan to follow, and failed. You say you "have to rebalance quarterly," but when I asked you for a definitive statement you provided a PV link showing annual rebalancing. I am still unclear as to whether or not you intend to use commodity futures, as the All Seasons portfolio does, and whether or not you plan to use gold, as All Seasons does, and whether or not you plan to use utility stocks, which you did not include in the example you provided.

Once more, please, just list, carefully, the exact list of ETFs and allocations that represent the "Danyboy7 Portfolio," the one that you are actually planning to use, and state the rebalancing regime that you plan to use with it.

Just put it all together in one piece, without mentioning variations and alternatives. If you feel you've already done this upthread, then link or copy/paste because I couldn't find it. ETFs, percentages, rebalancing regime, and anything else that is part of the strategy.
Annual income twenty pounds, annual expenditure nineteen nineteen and six, result happiness; Annual income twenty pounds, annual expenditure twenty pounds ought and six, result misery.

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Re: All Weather leveraged stomps Hedgefundie and other portfolios !

Post by danyboy7 » Sat Aug 01, 2020 8:31 am

Wrench wrote:
Sat Aug 01, 2020 6:22 am
Here is a simulation of the proposed portfolio with and without utilities. The sim matches the proposed portfolio reasonably well (not perfect, tho) but allows a longer time frame. The addition of 3x utilities do not seem to make much difference so if I were going to implement this I would leave utilities out. Simpler is better unless there is a good reason to make it more complex.

https://www.portfoliovisualizer.com/bac ... n10_3=-185
Rebalance quarterly to get the best metrics and I wouldn't use SHY since it's a Short Term Bond Etf and not an Intermediate one :!:
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danyboy7
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Re: All Weather leveraged stomps Hedgefundie and other portfolios !

Post by danyboy7 » Sat Aug 01, 2020 8:36 am

nisiprius wrote:
Sat Aug 01, 2020 7:19 am
danyboy7 wrote:
Fri Jul 31, 2020 6:34 am
nisiprius wrote:
Fri Jul 31, 2020 5:43 am
danyboy7 wrote:
Wed Jul 29, 2020 7:53 pm
All right,here we go:
Here is the backtest using the actual ETFs as you have requested...
Edit: answering to nisiprius post that was later deleted by him
Thank you very much. I deleted my post because it was beginning to feel too much like an argument and I didn't want to annoy you if nothing in particular was going to come out of it.

So, now we have a specific statement of your proposed portfolio. This is what I understand is your proposal, please correct if I've goofed
Image
Rebalancing to be performed according to PortfolioVisualizer's "annual rebalancing" method.
You have to rebalance :arrow: quarterly to get the better results, regardless of which version you would choose.And no,I'll stick with the version using utilities.The "double gold" version proposal is for someone not being comfortable with using utilities or not being able to create a commodities stock basket. I would exclude in any case a version of using commodities leveraged etf due to its abysmal performance and contango effect :oops: but those who think differently should stick with it.
Well, now I'm completely baffled. I've now tried a couple of times to get a clear statement of the actual strategy you plan to follow, and failed. You say you "have to rebalance quarterly," but when I asked you for a definitive statement you provided a PV link showing annual rebalancing. I am still unclear as to whether or not you intend to use commodity futures, as the All Seasons portfolio does, and whether or not you plan to use gold, as All Seasons does, and whether or not you plan to use utility stocks, which you did not include in the example you provided.

Once more, please, just list, carefully, the exact list of ETFs and allocations that represent the "Danyboy7 Portfolio," the one that you are actually planning to use, and state the rebalancing regime that you plan to use with it.

Just put it all together in one piece, without mentioning variations and alternatives. If you feel you've already done this upthread, then link or copy/paste because I couldn't find it. ETFs, percentages, rebalancing regime, and anything else that is part of the strategy.
Look,I'm trying to be as patient as possible but I need to understand if you're making some sad jokes or if you're serious :oops: :oops: .I must have said 1 milion times NO COMMODITY FUTURES as far as I am concerned.The only portfolio with Annual rebalancing was meant to show you that there is no difference between sp500 and Vanguard total market,I didn't change that feature because the main aspect of that PV sim was to show you that comparison.....nevermind.
Again,the version of ASx3 I'm gonna use includes utilties and a quarterly rebalancing. I hope this time it's all clear...
Last edited by danyboy7 on Sat Aug 01, 2020 8:38 am, edited 1 time in total.
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Wrench
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Re: All Weather leveraged stomps Hedgefundie and other portfolios !

Post by Wrench » Sat Aug 01, 2020 8:38 am

danyboy7 wrote:
Sat Aug 01, 2020 8:31 am
Wrench wrote:
Sat Aug 01, 2020 6:22 am
Here is a simulation of the proposed portfolio with and without utilities. The sim matches the proposed portfolio reasonably well (not perfect, tho) but allows a longer time frame. The addition of 3x utilities do not seem to make much difference so if I were going to implement this I would leave utilities out. Simpler is better unless there is a good reason to make it more complex.

https://www.portfoliovisualizer.com/bac ... n10_3=-185
Rebalance quarterly to get the best metrics and I wouldn't use SHY since it's a Short Term Bond Etf and not an Intermediate one :!:
Right. I tried IEF, 7-10 year intermediate treasury ETF, but it did not give nearly as close a match. I have no idea why - maybe you do? Rebalancing monthly or quarterly made very little difference so quarterly would obviously be easier.

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danyboy7
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Re: All Weather leveraged stomps Hedgefundie and other portfolios !

Post by danyboy7 » Sat Aug 01, 2020 8:41 am

Wrench wrote:
Sat Aug 01, 2020 8:38 am
danyboy7 wrote:
Sat Aug 01, 2020 8:31 am
Wrench wrote:
Sat Aug 01, 2020 6:22 am
Here is a simulation of the proposed portfolio with and without utilities. The sim matches the proposed portfolio reasonably well (not perfect, tho) but allows a longer time frame. The addition of 3x utilities do not seem to make much difference so if I were going to implement this I would leave utilities out. Simpler is better unless there is a good reason to make it more complex.

https://www.portfoliovisualizer.com/bac ... n10_3=-185
Rebalance quarterly to get the best metrics and I wouldn't use SHY since it's a Short Term Bond Etf and not an Intermediate one :!:
Right. I tried IEF, 7-10 year intermediate treasury ETF, but it did not give nearly as close a match. I have no idea why - maybe you do? Rebalancing monthly or quarterly made very little difference so quarterly would obviously be easier.
What's the problem with using IEF ?
Here is the backtest https://www.portfoliovisualizer.com/bac ... n10_3=-185
Quarterly do always give the better metrics,even with Hedgefundie's strategy.
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firebirdparts
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Re: All Weather leveraged stomps Hedgefundie and other portfolios !

Post by firebirdparts » Sat Aug 01, 2020 11:26 am

Given the current realities for bonds, and the availability of all sorts of 3X funds, and would it make sense to :
A. Fudge toward higher equities?
B Try to simulate this through the 1970's?

Even if this does outperform the HF in the 1970's, and I'm sure it would, I really don't like presuming gold will do what it did in the 70's. That's just a personal preference.
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Re: All Weather leveraged stomps Hedgefundie and other portfolios !

Post by Wrench » Sat Aug 01, 2020 2:59 pm

I simulated back to ~1970 in Simba spreadsheet. Not surprisingly, there are two regimes. One from about 1985 to the present where results are similar to the portfolio visualizer data. From ~1968 to ~1982, it does much worse. Obvious when you plot on log scale - two different slopes, Sharpe is lower (0.60 vs. 1.08) and one very large drawdown (~20%) and bad year (-25%) in 1969. Returns are still OK just not as high, and volatility is much higher in the earlier period. Not sure it is really a fair comparison because gold just started to float in the earlier period so it was "new". But, there is certainly reason to believe that a portfolio with a large fraction in bonds would not do as well in a rising rate environment than in a falling rate environment.

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Re: All Weather leveraged stomps Hedgefundie and other portfolios !

Post by nisiprius » Sat Aug 01, 2020 3:15 pm

danyboy7 wrote:
Sat Aug 01, 2020 8:36 am
nisiprius wrote:
Sat Aug 01, 2020 7:19 am
...Once more, please, just list, carefully, the exact list of ETFs and allocations that represent the "Danyboy7 Portfolio," the one that you are actually planning to use, and state the rebalancing regime that you plan to use with it.

Just put it all together in one piece, without mentioning variations and alternatives. If you feel you've already done this upthread, then link or copy/paste because I couldn't find it. ETFs, percentages, rebalancing regime, and anything else that is part of the strategy....
Look,I'm trying to be as patient as possible but I need to understand if you're making some sad jokes or if you're serious :oops: :oops: .I must have said 1 milion times NO COMMODITY FUTURES as far as I am concerned.The only portfolio with Annual rebalancing was meant to show you that there is no difference between sp500 and Vanguard total market,I didn't change that feature because the main aspect of that PV sim was to show you that comparison.....nevermind.
Again,the version of ASx3 I'm gonna use includes utilties and a quarterly rebalancing. I hope this time it's all clear...
Sorry, we're not communicating. Apologies for annoying you.
Annual income twenty pounds, annual expenditure nineteen nineteen and six, result happiness; Annual income twenty pounds, annual expenditure twenty pounds ought and six, result misery.

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danyboy7
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Re: All Weather leveraged stomps Hedgefundie and other portfolios !

Post by danyboy7 » Sat Aug 01, 2020 3:39 pm

Wrench wrote:
Sat Aug 01, 2020 2:59 pm
I simulated back to ~1970 in Simba spreadsheet. Not surprisingly, there are two regimes. One from about 1985 to the present where results are similar to the portfolio visualizer data. From ~1968 to ~1982, it does much worse. Obvious when you plot on log scale - two different slopes, Sharpe is lower (0.60 vs. 1.08) and one very large drawdown (~20%) and bad year (-25%) in 1969. Returns are still OK just not as high, and volatility is much higher in the earlier period. Not sure it is really a fair comparison because gold just started to float in the earlier period so it was "new". But, there is certainly reason to believe that a portfolio with a large fraction in bonds would not do as well in a rising rate environment than in a falling rate environment.
Great,can you PM that simulation ?
Is the last sentence referred to ASx3 or H2f ? Also you should consider that going back to pre-Volcker policy environment it is very unlikely to happen in the future,just my 2 cents.
Last edited by danyboy7 on Sat Aug 01, 2020 3:45 pm, edited 1 time in total.
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Re: All Weather leveraged stomps Hedgefundie and other portfolios !

Post by danyboy7 » Sat Aug 01, 2020 3:42 pm

firebirdparts wrote:
Sat Aug 01, 2020 11:26 am
Given the current realities for bonds, and the availability of all sorts of 3X funds, and would it make sense to :
A. Fudge toward higher equities?
B Try to simulate this through the 1970's?

Even if this does outperform the HF in the 1970's, and I'm sure it would, I really don't like presuming gold will do what it did in the 70's. That's just a personal preference.
I'm pretty sure this porfolio would stomp H2f during 1970s but it would be nice to see a comparison of simulation from 1930 for both of them.
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Re: All Weather leveraged stomps Hedgefundie and other portfolios !

Post by 000 » Sat Aug 01, 2020 4:14 pm

danyboy7 wrote:
Sat Aug 01, 2020 3:42 pm
firebirdparts wrote:
Sat Aug 01, 2020 11:26 am
Given the current realities for bonds, and the availability of all sorts of 3X funds, and would it make sense to :
A. Fudge toward higher equities?
B Try to simulate this through the 1970's?

Even if this does outperform the HF in the 1970's, and I'm sure it would, I really don't like presuming gold will do what it did in the 70's. That's just a personal preference.
I'm pretty sure this porfolio would stomp H2f during 1970s but it would be nice to see a comparison of simulation from 1930 for both of them.
Why would it matter? Will the US emerge victorious from another world war in your lifetime?

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Re: All Weather leveraged stomps Hedgefundie and other portfolios !

Post by Wrench » Sun Aug 02, 2020 7:40 am

Results from Simba for following as requested:
Danyboy7’s Levered All Weather
UGL: 15%
UPRO: 30%
TMF: 40%
TYD: 15%

Hedgefundie 2

55% UPRO / 45% TMF

Or in Simba
Danyboy7’s Levered All Weather
LCB: 90%
LTT: 120%
ITT: 45%
Gold: 30%
CASH: -185

Hedgefundie 2
LCB: 165
LTT: 135
CASH: -200

Annual rebalancing (as that is the only allowable choice in Simba) from 1968 - 2019:

Image

Image

Image

Image

My conclusions: Hedgefundie2 has somewhat higher return at the expense of higher volatility, not surprisingly with its higher correlation to the market. Danyboy7's levered all weather portfolio does have a higher Sharpe ratio. Neither portfolio does particularly well in periods of increasing rates, e.g. 1972-1981, especially in real terms though Danyboy7's all weather (arguably) does better. Draw downs for Hedgefundie 2 can be bone-crushingly high (>50% in '74) as I think everyone who has followed his thread understands. Generally, draw downs for Danyboy7 levered all weather portfolio are much more moderate.

Bottom line for me: these are both high risk, high reward portfolios. For those with a high risk tolerance, and/or long time frames (i.e., those < 40 yo) it might make sense to put a small fraction of ones portfolio into one of them. As long as the investor understands he is "swinging for the fences" so might very well strike out, then go for it.

wrench
Last edited by Wrench on Sun Aug 02, 2020 7:45 am, edited 1 time in total.

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Re: All Weather leveraged stomps Hedgefundie and other portfolios !

Post by Anon9001 » Sun Aug 02, 2020 7:44 am

It is pretty dangerous to assume past is equal to future. The interest rates in many developed countries were much higher than today for instance. I would say this is equally speculative to Bitcoin due to the fact that interest rates in many developed countries are much lower than they were in the past. All Weather is much inferior to Permanent Portfolio in that it places too much weight in long duration nominal bonds compared to PP leaving it vulnerable to high inflation scenarios.

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Re: All Weather with utilities vs All Weather Leveraged !

Post by Call_Me_Op » Sun Aug 02, 2020 7:55 am

steve321 wrote:
Sun Jul 26, 2020 10:22 am
the problem I see is that Ray Dalio has said on many occasions that you must be crazy to want to hold bonds, because of the low yields and because a lot of dollars will be printed in the coming years since it's the only way to service that debt.
So having nearly half the portfolio in bonds has worked well during the bonds bull market, but doesn't seem to be a good idea now, based on Ray's own words.
Interesting when an "All Seasons Portfolio" enters a season in which it will no longer work.
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Re: All Weather leveraged stomps Hedgefundie and other portfolios !

Post by Wrench » Sun Aug 02, 2020 8:01 am

Could not agree more - past results are not a guarantee of future returns. On the other hand, those who ignore history are doomed to repeat it.

Aphorisms aside, comparing permanent portfolio (PP) to a levered all weather portfolio is comparing apples to oranges. The risks in the latter are FAR higher than the former, but so are the potential returns. The PP is a perfectly reasonable choice for someone who wants a low draw down portfolio with low to moderate returns. I totally understand and share those proclivities myself. But for someone who wants a potential for high double digit returns and can live with periods of high loss, PP does not cut it and some form of levered portfolio does.

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Re: All Weather leveraged stomps Hedgefundie and other portfolios !

Post by hilink73 » Sun Aug 02, 2020 4:11 pm

Can I have some of those 10x stomping HF danyboy ETNs somewhere?

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Re: All Weather with utilities vs All Weather Leveraged !

Post by steve321 » Wed Aug 05, 2020 8:38 am

Call_Me_Op wrote:
Sun Aug 02, 2020 7:55 am
steve321 wrote:
Sun Jul 26, 2020 10:22 am
the problem I see is that Ray Dalio has said on many occasions that you must be crazy to want to hold bonds, because of the low yields and because a lot of dollars will be printed in the coming years since it's the only way to service that debt.
So having nearly half the portfolio in bonds has worked well during the bonds bull market, but doesn't seem to be a good idea now, based on Ray's own words.
Interesting when an "All Seasons Portfolio" enters a season in which it will no longer work.
yes this is a question I want to investigate further with my mentor Ray Dalio, however frankly the All Seasons Portfolio comes from Robbins.
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Re: All Weather leveraged stomps Hedgefundie and other portfolios !

Post by Wind_Reaver » Wed Aug 05, 2020 11:35 am

The All Seasons Portfolio is a static allocation and therefore should not be considered an All Weather Strategy. Any All Weather allocation is dynamically managed to exploit expected changing economic conditions. Creating a starting All Weather allocation begins with macro economic analysis, otherwise the resulting portfolio reduces to a dart throwing excercise.

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