Search found 178 matches

by tomphilly
Thu Nov 10, 2022 4:54 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 14356
Views: 1989169

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

Holy batman, HFEA is up almost 20% today, that's got to be record breaking. Still deeeep underwater, but heck I'll take it.
by tomphilly
Wed Apr 20, 2022 3:11 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 14356
Views: 1989169

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

Anyone know why TMF was up today? I just have no idea these days.
by tomphilly
Mon Apr 18, 2022 4:22 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 14356
Views: 1989169

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

Can someone explain how the 20-yr par yield relates to the price of TMF?

Code: Select all

Date         Yield    TMF $    TLT $
------------------------------------
04/18/2022   3.12     14.67    120.15
04/25/2018   3.12     16.22    108.35
by tomphilly
Thu Apr 14, 2022 9:14 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 14356
Views: 1989169

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

LTT's must be oversold by now - how many times can the May half point rate hike get priced in? Treasuries only seem to be sensitive to rate hike speculation right now, and not to recession risk (which seems low, but still, there's more and more news about rising recession probability lately).
by tomphilly
Mon Apr 11, 2022 5:07 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 14356
Views: 1989169

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

Since 1989, HFEA 60/40 has dropped for 4 consecutive months only 4 times, and 5 consecutive months only once, in 1990. My bet is April will end red and there's a fighting chance May will be green. My feeling is we'll be underwater at least until the end of the year though.

Inflation figures tomorrow....really hoping we peaked in March.
by tomphilly
Wed Apr 06, 2022 5:16 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 14356
Views: 1989169

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

To be fair nobody is making money right now - maybe a handful of bears. Otherwise we're all losing money whatever strategy we're in. SPY is down 8%. SPY/TLT 60/40 is down 8%. HFEA is down 24%. It seems in line with what we signed up for.
by tomphilly
Sun Apr 03, 2022 9:02 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 14356
Views: 1989169

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

What I don't understand is why mean reversion is being assumed as a likely outcome for 20-yr yields in 10 years. Why would we apply the same "10% on average over the last 100 years" logic of stock market returns to bond yields? To me it seems like the 1980 to pre-COVID yield trend is a stronger argument than simply what goes down must come up. Imagine if market returns had consistently dropped for 40 years... would we assume that they are just going to rise back to 10% in 10 years? This is an honest question - why would an investor use historical averages as a key consideration when forecasting 20-yr US treasury yields? Not sure I follow — I referred to mean reversion and historical average but only in reference to SP500. There a...
by tomphilly
Sat Apr 02, 2022 9:57 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 14356
Views: 1989169

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

An impressive, comprehensive analysis of HFEA was posted earlier today on the HFEA subreddit. It is well worth the read for anyone interested in this strategy. https://www.reddit.com/r/HFEA/comments/tpyyqn/on_the_relationship_between_spy_and_hfea_returns/ Thanks. It's a good post. I would say though I don't think it would come as a revelation to many following this thread. The majority of this thread is people, including myself, fretting about TMF. Nobody is particularly concerned about UPRO or TQQQ. The billion dollar question in this thread is is the bond bull market over. My question to the poster would be, in the chief example of yields rising from 2.5% to 3.5% over 10 years - why would this happen? We're at 2.74% (20-yr) with seven qu...
by tomphilly
Fri Apr 01, 2022 9:20 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 14356
Views: 1989169

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

TMF tanked this morning with the jobs report. I was hoping it would break 6 consecutive green days. I closed TMF out for a loss and bought 2x EDV, which I'll hold for 31 days, and then return to TMF.
by tomphilly
Tue Mar 29, 2022 7:45 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 14356
Views: 1989169

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

The billion dollar question in this thread is is the bond bull market over. My question to the poster would be, in the chief example of yields rising from 2.5% to 3.5% over 10 years - why would this happen? We're at 2.74% (20-yr) with seven quarter point and one half point rate hike assumed. I find this statement rather odd. The only thing odd is how long the Fed suppressed rates at the intensity they did. That was odd. I see going to 5-6% as completely within the realm of possibilities and not an unlikely scenario. All that does is take us back to what actually was "normal." It varies but a rough of estimation 2-4% real return on 10 year treasuries (average 3% according to Yardeni) is "normal." Let's assume the Fed cou...
by tomphilly
Mon Mar 28, 2022 7:10 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 14356
Views: 1989169

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

An impressive, comprehensive analysis of HFEA was posted earlier today on the HFEA subreddit. It is well worth the read for anyone interested in this strategy. https://www.reddit.com/r/HFEA/comments/tpyyqn/on_the_relationship_between_spy_and_hfea_returns/ Thanks. It's a good post. I would say though I don't think it would come as a revelation to many following this thread. The majority of this thread is people, including myself, fretting about TMF. Nobody is particularly concerned about UPRO or TQQQ. The billion dollar question in this thread is is the bond bull market over. My question to the poster would be, in the chief example of yields rising from 2.5% to 3.5% over 10 years - why would this happen? We're at 2.74% (20-yr) with seven qu...
by tomphilly
Mon Mar 28, 2022 3:56 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 14356
Views: 1989169

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

Would anyone here recommend shorting TMV for 31 days as a way to tax harvest TMF, and then switch back? My other option is to long 3x TLT on margin, which feels a bit safer for liquidity reasons. For TMF..there are a few options listed here. https://www.reddit.com/r/HFEA/comments/t8wh5q/my_experiences_tax_loss_harvesting_hfea/ I personally moved to EDV for 31 days before switching back to TMF. < snip > ...for a margin loan of $128,285 for 40 days (a) with TD and PM ( No Box Financing) @ 7.75% pa 128285*7.75*40/365= $1089 (b) IBKR lite and PM ( No box financing) @ 2.580% pa ., 128285*2.58*40/365 =$365 (c) .... method of 3xTLT + PM + Box financing = $70 ( of $129,930 for 40 days) < snip > Good luck. Thanks for this. If I bought 2x EDV, it wo...
by tomphilly
Fri Mar 25, 2022 11:51 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 14356
Views: 1989169

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

Would anyone here recommend shorting TMV for 31 days as a way to tax harvest TMF, and then switch back? My other option is to long 3x TLT on margin, which feels a bit safer for liquidity reasons.
by tomphilly
Wed Mar 23, 2022 4:49 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 14356
Views: 1989169

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

firebirdparts wrote: Wed Mar 23, 2022 10:30 am
apex128 wrote: Tue Mar 22, 2022 7:42 pm I am probably going to move a portion of my TMF to TYD on the next rebalance unless rates stop rising. Blindly holding LTT just to 'stick with the plan' seems foolish to me. BTW, where can I backtest 1955-1982? PortfolioVisualizer only goes back to 1977 for LTT.
I am struggling with this question. I have a bit of a mix of TYD and TMF. TYD is down 20% YTD and TMF is over 30%. So it makes me want to move it the other way. FWIW.
Isn't TMF just more volatile than TYD? While it's further down YTD, today it was up 6.63% versus 1.23% for TYD.
by tomphilly
Mon Mar 21, 2022 5:16 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 14356
Views: 1989169

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

VTI wrote: Mon Mar 21, 2022 4:45 pm
TheDoctor91 wrote: Mon Mar 21, 2022 4:11 pm TMF is going to 0 at this rate
I’m not on the adventure, but why is TMF continuing to fall day after day? It’s bizarre. What happened to “priced in”?
It was Powell's comment about a half point hike today. So many hikes have been priced into TMF at this point.
by tomphilly
Fri Mar 18, 2022 10:16 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 14356
Views: 1989169

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

The interesting thing about VXX right now is that it's appreciating due to a GME-style wsb-induced short squeeze, apparently. If anyone was using VXX for HFEA ballast they're inadvertently getting a free lunch right now. I wonder how long it will continue for, and if it will crash after the short squeeze, or just resume its normal decline. Knowing wsb users they'll "HODL" VXX until death like GME. It could be an opportunity for HFEA - bit of a gamble though, and not particularly boglehead-ish to jump on it.
by tomphilly
Thu Mar 17, 2022 9:14 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 14356
Views: 1989169

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

Some people in this thread have been using VXX as a hedge. Barclays stopped sales and issuance of its VXX etn, meaning the price can become disconnected from the vix. It had a crazy spike on the 15th, but it's back down now. I think the risks of this sort of thing happening are more severe in ETNs vs ETFs because ETNs don't necessarily have the underlying securities in the same way that ETFs have them. https://www.reuters.com/business/finance/barclays-suspends-sales-notes-linked-oil-volatility-2022-03-14/ That's odd... VXX and VIXY were always identical but just started to diverge - PV . I ran UPRO/TMF/VXX 70/25/5 for about 6 months - I should have kept running it - and I was considering re-entering it but seeing what VXX is doing today ma...
by tomphilly
Fri Mar 11, 2022 12:26 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 14356
Views: 1989169

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

Remember that this strategy is thoroughly researched and high risk, high reward.... Mind showing us the thorough research of this strategy starting 1966? The story I heard is that HEDGEFUNDIE assumed that the 1970s won't repeat in the future. I asked a similar question some pages back. It has been covered over and over. I'm a bit haunted by some very early comments in this thread that this strategy would never have gotten traction if HedgeFundie had included 1950-1980 backtests in the initial thread. The key criticism was that this strategy only looks good because of the bull run in bonds since the 80's, which many consider is unrepeatable - and this was a strong view in mid-2019, well before rates going to 0. The point about the bull run ...
by tomphilly
Fri Mar 11, 2022 11:51 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 14356
Views: 1989169

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

I bought more TMF yesterday. Hang in there folks. It seems some investors relish these opportunities to say "i told you so", but nobody knows what the market will do tomorrow. Actually, tomorrow the market will be flat - because it's closed :)

Remember that this strategy is thoroughly researched and high risk, high reward....
by tomphilly
Thu Feb 24, 2022 8:42 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 14356
Views: 1989169

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

TMF working handsomely this morning. I'm about -30% YTD though, ouch (UPRO/TQQQ/TMF 45/15/40).
by tomphilly
Fri Jan 28, 2022 12:48 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 14356
Views: 1989169

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

Afrofreak wrote: Fri Jan 28, 2022 12:12 am
oldnewb wrote: Thu Jan 27, 2022 11:51 pm I wonder how Hedgefundie portfolio is doing these days?
Down. Badly.
Aren't you running TQQQ/TMF 70/30? Hang in there. I'm running UPRO/TQQQ/TMF 45/15/40 and down about ~20% since the ATH. I made major contributions toward the end of 2021, so I've lost over a year of gains due to buying near the peak. I'm not sure if there's a better way to make contributions than to just make them when you have them, so that's what I did. Anyway, I'm not fazed - I added to UPRO & TQQQ earlier this week.
by tomphilly
Sat Jan 22, 2022 5:53 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 14356
Views: 1989169

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

zeejee wrote: Sat Jan 22, 2022 10:06 am This excellent adventure strategy has become quite popular across this forum, Reddit, and everywhere. Many dumped their portfolios into it. Conventional wisdom says a strategy will stop working if everyone practices it. Will HFEA be an exception? Maybe the rising interest rate kills it sooner than the conventional wisdom comes true. Time will tell.
I have noticed this too - it is in a lot of places. There's even an /r/HFEA subreddit. But as DarkMatter731 pointed out earlier, TMF has only $400MM assets under management.
by tomphilly
Sat Jan 22, 2022 6:26 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 14356
Views: 1989169

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

I stumbled across a pretty comprehensive summary of HFEA on reddit . It covers TLH using SPXL for UPRO and synthetic long stocks for TMF, with an example of how to calculate the option positions to mimic TMF. To rule out any ambiguity around wash sale rules for UPRO/SPXL you could also use the same synthetic long stock method. I like how it’s accepted that we don’t know the future, but when it comes to rising rates people are much better at predicting and forecasting and building that in to their models than trillions of dollars of pensions and sovereign wealth funds. You're right - FUD has gripped the market and headlines and there is currently only one perceivable future for many. Declining PPI ( link ), PBOC cutting rates, VIX inversion ...
by tomphilly
Fri Jan 21, 2022 3:50 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 14356
Views: 1989169

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

At -15.23% HFEA 60/40 is (so far) just shy of the worst monthly drawdown in nearly 13 years, which was Oct 2018 (-16.11%). Thankfully, TMF has come to the rescue the past 2 days.
by tomphilly
Fri Jan 21, 2022 10:09 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 14356
Views: 1989169

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

Semantics wrote: Fri Jan 21, 2022 10:01 am Even SPY and VOO are not considered substantially identical, so QQQ and TQQQ are absolutely not.
That seems crazy, they're virtually a single line on PV dating back to 2011. Are UPRO and SPXL considered different?
by tomphilly
Fri Jan 21, 2022 9:28 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 14356
Views: 1989169

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

Don’t know if this has been discussed before but has anyone used their taxable to do mega TLH? I’m buying VOO, QQQ, and a SC index fund. If any of these drop 20% or more I will sell for a loss, claim loss on taxes and buy UPRO, TQQQ, TNA. Seems like a win win. Have your cake and eat it too? Anybody doing this? I did something like this late last year - I closed my VXX hedge (formerly 5% of my HFEA) for an $8k loss and bought TMF. Not exactly a win win considering TMF continued to tank, but better than nothing. It made me think that there are occasional opportunities to TLH HFEA with alternating hedges. Is selling QQQ and buying TQQQ considered a wash sale? I would be careful with that. You could sell VOO and buy TQQQ, wait thirty days, sel...
by tomphilly
Fri Jan 21, 2022 8:29 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 14356
Views: 1989169

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

peturano wrote: Fri Jan 21, 2022 8:13 am This is exactly the situation when one has to exchange 3x LTT (TMF) for 3x ITT (TYD, maybe rather 2.5x TYA) and add 2x Gold (UGL). This combination earned significantly more between 1955 and 1980 (which is much closer to today's situation given the evolution of rates). And not just relying on UPRO, but combining all the caps, on the thirds of UPRO / UMDD / URTY.
I don't know about switching out all components of HFEA, it's a lot of changes for the assumption we are entering a 1950-1980 period. I will just take out some black swan insurance today, probably SPY puts, and call it a day.
by tomphilly
Fri Jan 21, 2022 8:07 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 14356
Views: 1989169

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

coingaroo wrote: Fri Jan 21, 2022 6:03 am The last time this happened HFEA lost ~90-95% of its balance, and like they say, there's no free lunch
What period did HFEA lose 90-95% of its value?
by tomphilly
Thu Jan 20, 2022 8:48 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 14356
Views: 1989169

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

What's the consensus on replacing UPRO with TQQQ? I know that people often cite the Y2K crash as a reason, but the tech industry now is significantly different than the dot com nothing companies. I hold 15% TQQQ, 45% UPRO in my HFEA 60/40. TQQQ is more volatile than UPRO, and it also correlates more with TMF. When there's FUD about rate hikes, TMF and TQQQ will tank together, which will be very painful. If you were to go 60% TQQQ you're in for a wild ride - actually it only just caught up to UPRO/TMF 60/40 if you start in 2000. With UPRO you're already getting a lot of the biggest names in QQQ. That said, I hold some TQQQ because I believe QQQ is to SPY what SPY was to the DOW - its eventual successor as the premier index - could be wrong,...
by tomphilly
Tue Jan 18, 2022 4:40 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 14356
Views: 1989169

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

The market is now pricing in the possibility of a 0.5% rate hike in March, which would be the first 0.5% hike since 2000 - that is the red we saw today. I slightly regret dumping VXX and pumping TMF back up to 40%, but c’est la vie. 20-yr yields are at 2.18% as of today - they went as high as 2.43% last March.
by tomphilly
Fri Jan 07, 2022 8:52 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 14356
Views: 1989169

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

The following chart shows the difference in annualized return for quarterly compared to daily rebalancing based on which day of the quarter is used for rebalancing. I also deducted a 0.1% expense on the amount being transferred between the two funds in each rebalance (current 30 day bid ask spread is .04% for TMF and .02% for UPRO). Sure enough, rebalancing right on the quarter has significantly outperformed other rebalancing periods. But on average, there is a significant benefit to rebalancing daily. Over the simulated Hedgefundie 1986-2019 dataset, this works out to a 92 basis point premium for rebalancing daily over quarterly. I'm inclined to believe the benefit of rebalancing on/around the quarter over the actual life of UPRO/TMF is j...
by tomphilly
Thu Jan 06, 2022 3:45 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 14356
Views: 1989169

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

Afrofreak wrote: Thu Jan 06, 2022 3:36 pm
tomphilly wrote: Thu Jan 06, 2022 3:34 pm Those using crypto as an alternate hedge to TMF for HFEA should be very careful as this most recent drop revealed they may correlate with equities.
Who on earth..? :oops:
I should clarify - I didn't mean some HFEA hedges being entirely crypto. I believe some folks here are using a bit of it (or a bit of gold) with TMF. It's come up in the thread, somewhere.
by tomphilly
Thu Jan 06, 2022 3:34 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 14356
Views: 1989169

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

Those using crypto as an alternate hedge to TMF for HFEA should be very careful as this most recent drop revealed it may closely correlate with equities - and therefore, may not be a hedge at all.
by tomphilly
Tue Jan 04, 2022 7:50 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 14356
Views: 1989169

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

Hydromod wrote: Wed Dec 29, 2021 8:11 am My backtesting suggests that there's a mathematical advantage to rebalancing every day or two when TMF has a negative correlation to the equity, because you ratchet the daily counter-movements thousands of times to boost returns.
I missed this - sorry if it's a bit late - but by this do you mean that when they negatively correlate one day it is more likely than not that the down asset will be up the next day, and rebalancing in to it is essentially "buying the dip" many times per year?
by tomphilly
Tue Jan 04, 2022 9:21 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 14356
Views: 1989169

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

Why would you use VIX-based ETFs tho? Way I see it, those ones are beneficial only if markets are constantly crashing. But that's not the case. And when markets is relatively stable, those ETFs are just a drag on your portfolio overall. You'd actually perform better over long term if you swap out those VIX-based ETFs for cash. Even though using cash for hedging is bad too. Switching 10% VXZ for 10% CASHX seems to provide the same return, though the drawdown is greater. So VXZ is slightly better than CASHX since 2004. But I see your point. https://i.imgur.com/HoDDCtj.png If the hedge can be done less expensively via VXX call options, I would love to know the details of this. I just have no way of knowing or testing the percentage of portfol...
by tomphilly
Tue Jan 04, 2022 8:29 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 14356
Views: 1989169

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

I'm a bit haunted by some very early comments in this thread that this strategy would never have gotten traction if HedgeFundie had included 1950-1980 backtests in the initial thread. The key criticism was that this strategy only looks good because of the bull run in bonds since the 80's, which many consider is unrepeatable - and this was a strong view in mid-2019, well before rates going to 0. So yes, my FUD about TMF has returned (.....it might have had something to do with TMF's -7.5% drop yesterday). Last December I ended my UPRO/TMF/VXX experiment after seeing its performance since 2008, but I may revert to a similar ratio that uses VXZ instead (which I found recently and which seems to do better than VXX in backtests). With the full u...
by tomphilly
Mon Jan 03, 2022 7:13 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 14356
Views: 1989169

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

horan_kim wrote: Mon Jan 03, 2022 6:39 pm I was wondering if the rising interest rate might have changed the UPRO/TMF ratio.
It could, folks here have different opinions about it. Rising rates to some degree have already been priced into TMF, as 3 hikes are expected. HedgeFundie backtested 1955-1980, a rising rate environment which was devastating for this strategy at 55/45.
horan_kim wrote: Mon Jan 03, 2022 6:39 pm Also, I am just curious why it isn't UPRO/TMF 60/40. Isn't 60/40 better in terms of backtesting?
UPRO/TMF 60/40 is pretty common - I do this ratio myself. You could experience greater drawdowns though.

The early discussions about HFEA are quite sobering. The main criticism is that the strategy is only successful because of the bull market in LTT's over the past 30 years, which is unlikely to repeat.
by tomphilly
Mon Jan 03, 2022 6:29 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 14356
Views: 1989169

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

horan_kim wrote: Mon Jan 03, 2022 5:47 pm I just learned about the HEDGEFUNDIE's excellent adventure strategy and interested in this investment strategy.
Is it still recommended UPRO 55% and TMF 45%??
I am curious about the incoming interest rate increase and its effect on the TMF.
UPRO/TMF 55/45 was HedgeFundie's optimal ratio over about a 70 year period and probably still the best starting off point.
by tomphilly
Mon Dec 27, 2021 11:49 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 14356
Views: 1989169

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

Out of curiosity, when folks here re-balance Q4, will you rebalance in the current tax year, or wait until Jan 2?
by tomphilly
Thu Dec 23, 2021 12:07 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 14356
Views: 1989169

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

Hfearless wrote: Thu Dec 23, 2021 6:52 am But what difference do the splits make?
As I understand it, nothing to the investor.

One small benefit though, if you sell calls on UPRO to produce income, it might allow you to squeeze out an additional contract - e.g if you had 250 UPRO shares pre-split you could write 2 contracts, but post-split, with 500 shares, you could write 5 contracts. I have dabbled in this but ultimately decided to leave UPRO alone.
by tomphilly
Fri Dec 10, 2021 7:59 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 14356
Views: 1989169

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

If you had to set-and-forget a HFEA-style portfolio (that automatically rebalanced itself) for the next 50 years, would you select UPRO/TMF 55/45? Would you run TQQQ instead? (With the prediction that SPY is to QQQ what the DOW is to SPY - from a bygone era.) Would you run, say, YINN (3x China) + Chinese sovereign debt, or EURL (3x Europe) + German Bunds? Or would you run all of them, to make an "empire neutral" global HFEA flavor? Assume that the treasury ETFs exist or they can be managed with futures. When you open the portfolio in 2071, which has the best return?
by tomphilly
Thu Dec 09, 2021 8:29 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 14356
Views: 1989169

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

It's easy to say in hindsight that getting out based on the 200SMA would've been ideal, but what's to say that the 175SMA won't be better next time? Or perhaps 250? At the end of the day, it's a completely arbitrary line that just so happened to be the best this time. To be fair, quarterly rebalancing in HFEA (as opposed to weekly, monthly, yearly, etc) is also arbitrary, even HedgeFundie said so - it just provided the best result in backtests. Not that I have a better approach, I quarterly rebalance too. I have used a target volatility model in the past, which feels less arbitrary, but I didn't stick with it - it results in too many trades. For those that think going to 0 is not possible, all it would take is for the correlation of TMF an...
by tomphilly
Mon Nov 15, 2021 3:27 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 14356
Views: 1989169

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

jarjarM wrote: Mon Nov 15, 2021 2:48 pm
DMoogle wrote: Mon Nov 15, 2021 2:34 pm UPRO/TQQQ/TMF: 18.5% CAGR; 30.5% stdev.; 73.8% max drawdown; 0.66 Sharpe
UPRO/TMF: 17.2% CAGR; 26.5% stdev; 61.7% max drawdown; 0.67 Sharpe
Vanguard 500: 6.5% CAGR; 15.2% stdev; 51.0% max drawdown; 0.39 Sharpe

Reminder that Portfolio Visualizer only looks at and provides month-end results. So the max drawdowns during the financial crisis were likely higher. There isn't any easy way around this limitation AFAIK.
I just checked on my backtest sim using the same data. Max drawdown in GFC is 81% (using daily closing value) and most of the out performance is from the covid recovery.
That's a huge difference. Were our Vanguard benchmarks identical?

My settings:

Image

Image
by tomphilly
Mon Nov 15, 2021 2:32 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 14356
Views: 1989169

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

LeverageWBeverage wrote: Mon Nov 15, 2021 2:28 pm The image is broken on my end. Maybe I need the pro version to view it? Thanks for trying. What was the gist? Did it survive the financial crisis?
That's weird - it's an imgur upload - try: https://i.imgur.com/0aT1P1v.png
by tomphilly
Mon Nov 15, 2021 2:21 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 14356
Views: 1989169

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

LeverageWBeverage wrote: Mon Nov 15, 2021 2:14 pm Thank you! I am at
UPRO 27.5%
TQQQ 27.5%
TMF 45%
Here you go

Image
by tomphilly
Mon Nov 15, 2021 2:07 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 14356
Views: 1989169

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

P.S. I thought you only believe in QQQ back to 2004 and think everything before that is not relevant to future performance? Quite right! That's why I asked for early 2000s (meaning 2004). Having said that, I am interested to see how spectacularly this would've blown up in 2000-2002 as well even if I think it's irrelevant to future predictions. I'd love to see how my blended UPRO, TMF, TQQQ did back then too. How do you get the simulated data into portfolio visualizer. I have never done that. You need the pro plan. Let me know your ratios, I can provide a backtest to 2000 I think. I'm at 85/15 right now That's pretty brave. Good to know though, thanks. I used to run 80/20 with a target volatility model. It was fun, but I got spooked. I woul...
by tomphilly
Mon Nov 15, 2021 2:00 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 14356
Views: 1989169

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

jarjarM wrote: Mon Nov 15, 2021 1:38 pm
000 wrote: Sat Nov 13, 2021 11:00 pm I wonder if HEDGEFUNDIE will ever return with an update.

Has anyone been in contact with him (by PM or on another forum)?

Sure is interesting to ponder this strategy versus possible macro environments in the 2020s.
I'm sure he reads this thread with some amusement on his free time. :twisted:

As to the interest rate environment, it looks like some believe in moving to shorter duration (with higher leverage ratio via future), some moved to VIX future, and some move to higher equity ratio (i'm in this camp). We'll see how future will be but it's definitely interesting time.
What are your ratios, out of interest?
by tomphilly
Mon Nov 15, 2021 11:57 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 14356
Views: 1989169

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

I expect long-term interest rates will settle in the 2.5-3.5% range so to me those figures seem reasonable and I expect that the market also has similar numbers priced in. Again, if we stay the course and hike gradually, we will see a slight rise in the price of TMF. If we hike even slower than expected or cap off at 2% or lower, expect a large price increase. If the Fed hints at faster or steeper rate increases, expect large price decreases. The markets move relative to expectations, not relative to the present. TMF would rise in a slowly rising rate environment? My understanding is the market has priced in a small rate increase (0.25%) next year and not much more. Do you mean these rate increases have been priced specifically in to TMF (...
by tomphilly
Mon Nov 15, 2021 11:30 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 14356
Views: 1989169

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

A confluence of factors I guess, but maybe a key indicator would be a second consecutive decreasing CPI reading. Or even just at the first downward reading that surprises analysts. I guess the underlying question is what environment will make LTT's attractive to investors. One where inflation is not as bad as expected and thus rate hikes come later than expected or at least no premature rate hikes due to unexpected inflation. Basically what I'm getting at is, by waiting for the uncertainty to subside you're shooting yourself in the foot because TMF will have risen in price as those uncertainties alleviate. Investing is getting paid to take on risk. What's your take on ex-Fed officials predicting rate hikes to 4% ? If their predictions come...