HEDGEFUNDIE's excellent adventure Part II: The next journey
Re: HEDGEFUNDIE's excellent adventure Part II: The next journey
It's a real shame he isn't around. I feel like people on this forum have opened up a lot more to the idea of leveraged portfolios than they were 1/2 years ago.
Re: HEDGEFUNDIE's excellent adventure Part II: The next journey
Thanks for doing this Ramjet!
Please do continue to do so. That would be really helpful!
Please do continue to do so. That would be really helpful!
Ramjet wrote: ↑Fri Oct 01, 2021 7:51 am Since Hedgefundie is no longer around to post his quarterly updates, I thought for fun, I would take a stab at it to see where his portfolio would be at
The methodology I used in Portfolio Visualizer is as follows:
Start date: Feb 2019, i.e., when the original thread was created
Initial Allocation: 40% UPRO/60% TMF through July 2019
Updated Allocation: 55% URPO/45% TMF beginning Aug 2019, i.e., when HFEA Part 2 was established
Results
Initial Balance: $100,000
Current Balance: $291,139 (reached as high as $330,000 in August 2021)
CAGR: 45% (since 55/45 update)
If I remember, I may keep posting this every quarter, next time with pictures, etc.
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey
That'd be great if you can keep posting quarterly updates!Ramjet wrote: ↑Fri Oct 01, 2021 7:51 am Since Hedgefundie is no longer around to post his quarterly updates, I thought for fun, I would take a stab at it to see where his portfolio would be at
<snip>
Results
Initial Balance: $100,000
Current Balance: $291,139 (reached as high as $330,000 in August 2021)
CAGR: 45% (since 55/45 update)
If I remember, I may keep posting this every quarter, next time with pictures, etc.
Every time I go to post 1 of the entire HFEA series of posts, I chuckle looking at that last tracker update. Perfectly fine with it being left like that, because IMHO, those who do not have high risk tolerance should not be playing with LETFs at all. I want those folks to see what the potential movements would look like so that chart was a perfect illustration of that.
But at the same time, that chart wouldn't show what happens if one sticks to the strategy and not panic-sell. Doesn't take much (like playing with PortfolioVisualizer) to realize that Hedgefundie (I'd assume he sticked behind his strategy, I would hope he did haha) got all HFEA portfolio value, and then much more.
Re: HEDGEFUNDIE's excellent adventure Part II: The next journey
Alright, cool. I keep updating it every quarter
Re: HEDGEFUNDIE's excellent adventure Part II: The next journey
There is also a thread specifically for HFEA results, Riding HEDGEFUNDIE’s excellent adventure
Re: HEDGEFUNDIE's excellent adventure Part II: The next journey
Any thoughts on EDV vs VGLT? Duration seems roughly the same, not sure what else to consider.
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey
o thanks! looks like i confused maturity w/ duration
Re: HEDGEFUNDIE's excellent adventure Part II: The next journey
Just curious - Has anyone been aware of these articles on seekingalpha that brought up the whole UPRO/TMF idea prior to HEDGEFUNDIE's post here?
https://seekingalpha.com/article/411871 ... eraged-etf
https://seekingalpha.com/article/411925 ... raged-etfs
https://seekingalpha.com/article/412106 ... eraged-etf
It appears that these articles are posted in 2017, 2 years earlier than HEDGEFUNDIE's post here. The author used some coarse approximation to simulate UPRO/TMF to 1980s, and suggested 50/50 UPRO/TMF.
edit: someone also found one of these in this post viewtopic.php?p=4374903#p4374903
https://seekingalpha.com/article/411871 ... eraged-etf
https://seekingalpha.com/article/411925 ... raged-etfs
https://seekingalpha.com/article/412106 ... eraged-etf
It appears that these articles are posted in 2017, 2 years earlier than HEDGEFUNDIE's post here. The author used some coarse approximation to simulate UPRO/TMF to 1980s, and suggested 50/50 UPRO/TMF.
edit: someone also found one of these in this post viewtopic.php?p=4374903#p4374903
Last edited by dc93 on Sat Oct 02, 2021 2:25 pm, edited 1 time in total.
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey
Wouldn't be surprised - the concept of leverage isn't new, and the idea of applying leverage to "balanced" portfolios (mix of equities & bonds), I would imagine, isn't that new either. Hedgefundie's post (and subsequent discussions) bring more awareness to those concepts/ideas.dc93 wrote: ↑Sat Oct 02, 2021 1:55 pm Just curious - Has anyone been aware of these articles on seekingalpha that brought up the whole UPRO/TMF idea prior to HEDGEFUNDIE's post here?
https://seekingalpha.com/article/411871 ... eraged-etf
https://seekingalpha.com/article/411925 ... raged-etfs
https://seekingalpha.com/article/412106 ... eraged-etf
It appears that these articles are posted in 2017, 2 years earlier than HEDGEFUNDIE's post here. The author used some coarse approximation to simulate UPRO/TMF to 1980s, and suggested 50/50 UPRO/TMF.
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey
Does anyone know, if you do HFEA on M1Finance, can you borrow against the portfolio?
Re: HEDGEFUNDIE's excellent adventure Part II: The next journey
Is there a comparable ETF for TMF that can be used for tax loss harvesting purposes? I was looking at UBT, which is a 2x leveraged fund, but the volume is pretty low.
Re: HEDGEFUNDIE's excellent adventure Part II: The next journey
Yes but maintenance margin is 75% for UPRO, won't take much to trigger that!investor.was.here wrote: ↑Mon Oct 04, 2021 12:27 pm Does anyone know, if you do HFEA on M1Finance, can you borrow against the portfolio?
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey
I've always had it with same ratios but believe its blended. Don't believe there is a penalty as they have a grace period vs IBKRinvestor.was.here wrote: ↑Mon Oct 04, 2021 3:34 pmWhat if I have a blended portfolio? Do I get a blended maintenance rate too? And is there a liquidation penalty?
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey
So the only implication is unwanted tax/exit positions? I'll either use it for emergency funds or invest in much higher yield opportunities to boost the return.
Re: HEDGEFUNDIE's excellent adventure Part II: The next journey
I am wondering if it's better to use TMF or EDV in my taxable account.
I have a part of HFEA in my taxable (IBKR margin account at 1.08%). I feel like using TMF is not ideal here - it requires 75% maintenance margin comparing to EDV's 25%, and there is volatility decay, etc. I am wondering if buying EDV on margin will be a better choice.
Here is my calculation - please correct me if I missed anything here. Let's say I have $5500 UPRO in my taxable, for simplicity.
In terms of approximating 55/45 UPRO/TMF, a quick simulation on PV gives UPRO/EDV/CASHX 55/86/-41 as the closest approximation (see https://www.portfoliovisualizer.com/bac ... ion4_2=-41) - same 33.95% CAGR, slightly lower volatility for EDV+CASHX version (21.82% vs 22.37%).
In terms of expenses:
TMF: $4500 * (1.09% ER + 1.08% margin) = $97.65
EDV: $8600 * (0.07% ER + 1.08% margin) = $98.9
Margin Requirement:
TMF: $4500*75% = $3375
EDV: $8600*25% = $2150
So if these calculations are correct, then the EDV version just requires a very slightly higher fee (0.0125% more), in exchange for less stringent margin requirement and slightly lower volatility. EDV is also easier to TLH with, say, GOVZ and ZROZ (see viewtopic.php?t=326308).
P.S: Hedgefundie suggested that TMF is about 2x EDV (see viewtopic.php?p=4589647#p4589647), which can be confirmed here - 86% EDV is very close to 2x 45% TMF.
I have a part of HFEA in my taxable (IBKR margin account at 1.08%). I feel like using TMF is not ideal here - it requires 75% maintenance margin comparing to EDV's 25%, and there is volatility decay, etc. I am wondering if buying EDV on margin will be a better choice.
Here is my calculation - please correct me if I missed anything here. Let's say I have $5500 UPRO in my taxable, for simplicity.
In terms of approximating 55/45 UPRO/TMF, a quick simulation on PV gives UPRO/EDV/CASHX 55/86/-41 as the closest approximation (see https://www.portfoliovisualizer.com/bac ... ion4_2=-41) - same 33.95% CAGR, slightly lower volatility for EDV+CASHX version (21.82% vs 22.37%).
In terms of expenses:
TMF: $4500 * (1.09% ER + 1.08% margin) = $97.65
EDV: $8600 * (0.07% ER + 1.08% margin) = $98.9
Margin Requirement:
TMF: $4500*75% = $3375
EDV: $8600*25% = $2150
So if these calculations are correct, then the EDV version just requires a very slightly higher fee (0.0125% more), in exchange for less stringent margin requirement and slightly lower volatility. EDV is also easier to TLH with, say, GOVZ and ZROZ (see viewtopic.php?t=326308).
P.S: Hedgefundie suggested that TMF is about 2x EDV (see viewtopic.php?p=4589647#p4589647), which can be confirmed here - 86% EDV is very close to 2x 45% TMF.
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey
Personally, I would go EDV in taxable.
Promise is one thing. Fulfilling that promise is quite another. - Sir Alex Ferguson |
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey
I'm in the middle of switching UPRO/TMF to 3x VTI/EDV, but I don't understand why margin requirement matters for UPRO/TMF? They're already 3x, are you margining more on top of that?dc93 wrote: ↑Tue Oct 05, 2021 2:47 pm I am wondering if it's better to use TMF or EDV in my taxable account.
I have a part of HFEA in my taxable (IBKR margin account at 1.08%). I feel like using TMF is not ideal here - it requires 75% maintenance margin comparing to EDV's 25%, and there is volatility decay, etc. I am wondering if buying EDV on margin will be a better choice.
Here is my calculation - please correct me if I missed anything here. Let's say I have $5500 UPRO in my taxable, for simplicity.
In terms of approximating 55/45 UPRO/TMF, a quick simulation on PV gives UPRO/EDV/CASHX 55/86/-41 as the closest approximation (see https://www.portfoliovisualizer.com/bac ... ion4_2=-41) - same 33.95% CAGR, slightly lower volatility for EDV+CASHX version (21.82% vs 22.37%).
In terms of expenses:
TMF: $4500 * (1.09% ER + 1.08% margin) = $97.65
EDV: $8600 * (0.07% ER + 1.08% margin) = $98.9
Margin Requirement:
TMF: $4500*75% = $3375
EDV: $8600*25% = $2150
So if these calculations are correct, then the EDV version just requires a very slightly higher fee (0.0125% more), in exchange for less stringent margin requirement and slightly lower volatility. EDV is also easier to TLH with, say, GOVZ and ZROZ (see viewtopic.php?t=326308).
P.S: Hedgefundie suggested that TMF is about 2x EDV (see viewtopic.php?p=4589647#p4589647), which can be confirmed here - 86% EDV is very close to 2x 45% TMF.
Re: HEDGEFUNDIE's excellent adventure Part II: The next journey
Being able to take out a margin loan in cash is a nice option to have at your disposal. Along the lines of this Mr$M post. If you have portfolio margin, UPRO and TMF margin requirements are quite low. Also, if you use a leveraged ETF for one but buy the other on margin, the way your broker treats the LETF becomes important. But perhaps the other poster had other concerns in mind?
Re: HEDGEFUNDIE's excellent adventure Part II: The next journey
For those of you all implementing this strategy via M1 Finance - or otherwise just generally using M1 Finance - are there any fees charged on the buy or sell of the ETFs or other funds?
I noticed this disclosure of fees on the M1 Finance website:
https://support.m1finance.com/hc/en-us/ ... ivity-Fees
The way it reads you would think these fees apply no matter what brokerage you use, but I have never seen a reference to these fees at any other brokerage.
I noticed this disclosure of fees on the M1 Finance website:
https://support.m1finance.com/hc/en-us/ ... ivity-Fees
The way it reads you would think these fees apply no matter what brokerage you use, but I have never seen a reference to these fees at any other brokerage.
Re: HEDGEFUNDIE's excellent adventure Part II: The next journey
I am not aware of any markups at M1, e.g., no transaction cost when buying or selling that I am aware ofJohnWild wrote: ↑Thu Oct 07, 2021 7:41 am For those of you all implementing this strategy via M1 Finance - or otherwise just generally using M1 Finance - are there any fees charged on the buy or sell of the ETFs or other funds?
I noticed this disclosure of fees on the M1 Finance website:
https://support.m1finance.com/hc/en-us/ ... ivity-Fees
The way it reads you would think these fees apply no matter what brokerage you use, but I have never seen a reference to these fees at any other brokerage.
Re: HEDGEFUNDIE's excellent adventure Part II: The next journey
Ramjet wrote: ↑Thu Oct 07, 2021 7:59 amI am not aware of any markups at M1, e.g., no transaction cost when buying or selling that I am aware ofJohnWild wrote: ↑Thu Oct 07, 2021 7:41 am For those of you all implementing this strategy via M1 Finance - or otherwise just generally using M1 Finance - are there any fees charged on the buy or sell of the ETFs or other funds?
I noticed this disclosure of fees on the M1 Finance website:
https://support.m1finance.com/hc/en-us/ ... ivity-Fees
The way it reads you would think these fees apply no matter what brokerage you use, but I have never seen a reference to these fees at any other brokerage.
That is what is confusing to me. They advertise as such, and those that have posted appear to believe there are no transaction fees, but that link discloses certain fees and when I called just now a representative directed me to that link when I asked if there would be any buy/sell fees. To be fair, I don't think the particular representative was very knowledgeable, so I may try again in the future.
I'm mainly looking for a broker that is no fees, but offers a wider variety of ETF options than Vanguard (such as UPRO/TMF). I thought M1 fit the bill, but now I'm not as certain. Good to hear your experience though.
Re: HEDGEFUNDIE's excellent adventure Part II: The next journey
Did you look at the numbers in that link? It's a 0.00051% fee. It's basically nothing.JohnWild wrote: ↑Thu Oct 07, 2021 9:44 amRamjet wrote: ↑Thu Oct 07, 2021 7:59 amI am not aware of any markups at M1, e.g., no transaction cost when buying or selling that I am aware ofJohnWild wrote: ↑Thu Oct 07, 2021 7:41 am For those of you all implementing this strategy via M1 Finance - or otherwise just generally using M1 Finance - are there any fees charged on the buy or sell of the ETFs or other funds?
I noticed this disclosure of fees on the M1 Finance website:
https://support.m1finance.com/hc/en-us/ ... ivity-Fees
The way it reads you would think these fees apply no matter what brokerage you use, but I have never seen a reference to these fees at any other brokerage.
That is what is confusing to me. They advertise as such, and those that have posted appear to believe there are no transaction fees, but that link discloses certain fees and when I called just now a representative directed me to that link when I asked if there would be any buy/sell fees. To be fair, I don't think the particular representative was very knowledgeable, so I may try again in the future.
I'm mainly looking for a broker that is no fees, but offers a wider variety of ETF options than Vanguard (such as UPRO/TMF). I thought M1 fit the bill, but now I'm not as certain. Good to hear your experience though.
Re: HEDGEFUNDIE's excellent adventure Part II: The next journey
The fees described on that webpage are charged by all brokers, by law. They are not unique to M1.JohnWild wrote: ↑Thu Oct 07, 2021 7:41 am For those of you all implementing this strategy via M1 Finance - or otherwise just generally using M1 Finance - are there any fees charged on the buy or sell of the ETFs or other funds?
I noticed this disclosure of fees on the M1 Finance website:
https://support.m1finance.com/hc/en-us/ ... ivity-Fees
The way it reads you would think these fees apply no matter what brokerage you use, but I have never seen a reference to these fees at any other brokerage.
Re: HEDGEFUNDIE's excellent adventure Part II: The next journey
Can anyone present any insights into the current state of TMF/TLT? Stocks seem to be recovering but looks like the bond portion is back in a downtrend.
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey
Re: HEDGEFUNDIE's excellent adventure Part II: The next journey
Post by nolegs » Mon Oct 04, 2021 12:57 pm
Is there a comparable ETF for TMF that can be used for tax loss harvesting purposes? I was looking at UBT, which is a 2x leveraged fund, but the volume is pretty low.
--I haven't been able to find one. Would be cautious about tax loss harvesting for TMF, since that's your insurance against a market crash.
Post by nolegs » Mon Oct 04, 2021 12:57 pm
Is there a comparable ETF for TMF that can be used for tax loss harvesting purposes? I was looking at UBT, which is a 2x leveraged fund, but the volume is pretty low.
--I haven't been able to find one. Would be cautious about tax loss harvesting for TMF, since that's your insurance against a market crash.
Re: HEDGEFUNDIE's excellent adventure Part II: The next journey
Sometimes investments go up, sometimes they go down. Bonds have been going down recently.
Really not worth thinking about it any further than that. As Bogleheads, we're in it for the long term.
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey
The whole reason this works so well is that stocks and bonds are negatively correlated (would more accurately be described as uncorrelated). For the last few weeks they were positively correlated, so it's good to see the correlation reduced again. And as DMoogle said, this is a long-term strategy, short terms things like this should be completely ignored. I wouldn't even biggen to evaluate this strategy on any time horizon less than 10 years, preferably 20.
Re: HEDGEFUNDIE's excellent adventure Part II: The next journey
There will be period of time when stock/bond is positively correlated (like the last few weeks). You can try to market time a bit and reduce rebalancing frequency (let the stock run while watching the bond allocation suffer). I'm waiting for 10yr yield to be >2% based on Fed's recent decision/announcement before rebalancing back into bond. Of course, that will mean I'll have less bond cushion during a real crisis but I'll take that risk for a bit more return.
Re: HEDGEFUNDIE's excellent adventure Part II: The next journey
Now. https://www.nasdaq.com/market-activity/ ... d-etfs/tya
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey
This calculation assumes you are buying TMF on margin.. which is a ton of leverage. Let's do the calculation for an account with 10k in it. Either 4.5k TMF not on margin, or 9k EDV using margin.dc93 wrote: ↑Tue Oct 05, 2021 2:47 pm I am wondering if it's better to use TMF or EDV in my taxable account.
I have a part of HFEA in my taxable (IBKR margin account at 1.08%). I feel like using TMF is not ideal here - it requires 75% maintenance margin comparing to EDV's 25%, and there is volatility decay, etc. I am wondering if buying EDV on margin will be a better choice.
Here is my calculation - please correct me if I missed anything here. Let's say I have $5500 UPRO in my taxable, for simplicity.
In terms of approximating 55/45 UPRO/TMF, a quick simulation on PV gives UPRO/EDV/CASHX 55/86/-41 as the closest approximation (see https://www.portfoliovisualizer.com/bac ... ion4_2=-41) - same 33.95% CAGR, slightly lower volatility for EDV+CASHX version (21.82% vs 22.37%).
In terms of expenses:
TMF: $4500 * (1.09% ER + 1.08% margin) = $97.65
EDV: $8600 * (0.07% ER + 1.08% margin) = $98.9
Margin Requirement:
TMF: $4500*75% = $3375
EDV: $8600*25% = $2150
So if these calculations are correct, then the EDV version just requires a very slightly higher fee (0.0125% more), in exchange for less stringent margin requirement and slightly lower volatility. EDV is also easier to TLH with, say, GOVZ and ZROZ (see viewtopic.php?t=326308).
P.S: Hedgefundie suggested that TMF is about 2x EDV (see viewtopic.php?p=4589647#p4589647), which can be confirmed here - 86% EDV is very close to 2x 45% TMF.
TMF: $4500 * 1.09% ER = $49
EDV: $9000 * .07% ER + $4,500 * 1.08% margin = $55
However, this analysis ignores the financing costs implicit in TMF. $4500 of TMF is buying $9000 of bonds on through derivatives with implicit financing costs. Assume those costs are 0.1% currently. This would add $9, making TMF slightly more expensive overal ($58 vs $55).
However, I really don't like EDV. The duration of the bonds is far too long. The risk-adjusted returns of long-duration bonds have historically been terrible. I would prefer TMF. Of course, if you have read my other posts in this thread, I don't like TMF either for the same reason.
What are the portfolio margin requirements on TYA and TYD? If they are low enough, this might be a reasonable alternative to futures. I also think 45/55 or 50/50 UPRO/TYA will be enough leverage for most people.
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey
This calculation assumes you are buying TMF on margin.. which is a ton of leverage. Let's do the calculation for an account with 10k in it. Either 4.5k TMF not on margin, or 9k EDV using margin.dc93 wrote: ↑Tue Oct 05, 2021 2:47 pm I am wondering if it's better to use TMF or EDV in my taxable account.
I have a part of HFEA in my taxable (IBKR margin account at 1.08%). I feel like using TMF is not ideal here - it requires 75% maintenance margin comparing to EDV's 25%, and there is volatility decay, etc. I am wondering if buying EDV on margin will be a better choice.
Here is my calculation - please correct me if I missed anything here. Let's say I have $5500 UPRO in my taxable, for simplicity.
In terms of approximating 55/45 UPRO/TMF, a quick simulation on PV gives UPRO/EDV/CASHX 55/86/-41 as the closest approximation (see https://www.portfoliovisualizer.com/bac ... ion4_2=-41) - same 33.95% CAGR, slightly lower volatility for EDV+CASHX version (21.82% vs 22.37%).
In terms of expenses:
TMF: $4500 * (1.09% ER + 1.08% margin) = $97.65
EDV: $8600 * (0.07% ER + 1.08% margin) = $98.9
Margin Requirement:
TMF: $4500*75% = $3375
EDV: $8600*25% = $2150
So if these calculations are correct, then the EDV version just requires a very slightly higher fee (0.0125% more), in exchange for less stringent margin requirement and slightly lower volatility. EDV is also easier to TLH with, say, GOVZ and ZROZ (see viewtopic.php?t=326308).
P.S: Hedgefundie suggested that TMF is about 2x EDV (see viewtopic.php?p=4589647#p4589647), which can be confirmed here - 86% EDV is very close to 2x 45% TMF.
TMF: $4500 * 1.09% ER = $49
EDV: $9000 * .07% ER + $4,500 * 1.08% margin = $55
However, this analysis ignores the financing costs implicit in TMF. $4500 of TMF is buying $9000 of bonds on through derivatives with implicit financing costs. Assume those costs are 0.1% currently. This would add $9, making TMF slightly more expensive overal ($58 vs $55).
However, I really don't like EDV. The duration of the bonds is far too long. The risk-adjusted returns of long-duration bonds have historically been terrible. I would prefer TMF. Of course, if you have read my other posts in this thread, I don't like TMF either for the same reason. The duration is shorter than EDV, but still far too long.
I think 45/55 UPRO/TYA will be enough leverage for most people, without using any margin. Historically, it's had nearly the same return as HFEA, but with much less risk.
Re: HEDGEFUNDIE's excellent adventure Part II: The next journey
Volume is still quite thin though, I guess we'll be watching it for a bit before seriously considering it.keith6014 wrote: ↑Fri Oct 08, 2021 11:26 amNow. https://www.nasdaq.com/market-activity/ ... d-etfs/tya
Re: HEDGEFUNDIE's excellent adventure Part II: The next journey
Underlying futures should be quite liquid though so the ETF should the the same (in theory)jarjarM wrote: ↑Fri Oct 08, 2021 12:11 pmVolume is still quite thin though, I guess we'll be watching it for a bit before seriously considering it.keith6014 wrote: ↑Fri Oct 08, 2021 11:26 amNow. https://www.nasdaq.com/market-activity/ ... d-etfs/tya
Re: HEDGEFUNDIE's excellent adventure Part II: The next journey
Agree, but there maybe some bid/ask spread that could be unfavorable. For now, since I'm not planning on rebalancing back into bond until 10 yr goes a bit higher, I'm okay with waiting a bit to see how the brand new ETF behaves.adamhg wrote: ↑Fri Oct 08, 2021 12:49 pmUnderlying futures should be quite liquid though so the ETF should the the same (in theory)jarjarM wrote: ↑Fri Oct 08, 2021 12:11 pmVolume is still quite thin though, I guess we'll be watching it for a bit before seriously considering it.keith6014 wrote: ↑Fri Oct 08, 2021 11:26 amNow. https://www.nasdaq.com/market-activity/ ... d-etfs/tya
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey
Someone make the TMF bleeding stop!
Re: HEDGEFUNDIE's excellent adventure Part II: The next journey
Look at it as a cut in your insurance premium: you'll scoop up more TMF shares at the next rebalancing. It only hurts if you happen to be cashing out of HFEA right now.
The real question about TMF is "is inflation transitory or does the Fed miss the boat?". And more broadly is the Volcker area about to close (MMT or a variation of it displacing the anti inflation consensus)? That one would be an existential issue for TMF in HFEA.
Better lucky than smart.
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey
People are missing the point of TMF and inflation--- bond yields will go down but value will go up-- so while the doom and gloom of TMF, EDV, VGLT are grossly exaggerated, HFEA will continue to reap the rewards.taojaxx wrote: ↑Sat Oct 09, 2021 10:07 amLook at it as a cut in your insurance premium: you'll scoop up more TMF shares at the next rebalancing. It only hurts if you happen to be cashing out of HFEA right now.
The real question about TMF is "is inflation transitory or does the Fed miss the boat?". And more broadly is the Volcker area about to close (MMT or a variation of it displacing the anti inflation consensus)? That one would be an existential issue for TMF in HFEA.
Promise is one thing. Fulfilling that promise is quite another. - Sir Alex Ferguson |
20% IVV / 40% IBIT / 20% IXUS / 20% VGLT + chill
- cflannagan
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey
If you don't mind, could you expand a bit on this? My (admittedly very limited) understanding is LTT behaves quite differently pre vs post 1982. Because in 1982 treasuries are no longer callable (or something along those lines). HFEA does better when LTT behaves the way it does post-1982. Are you saying the Fed might make bonds callable again? What is "MMT"?
Re: HEDGEFUNDIE's excellent adventure Part II: The next journey
MMT is Modern Monetary Theory
https://en.wikipedia.org/wiki/Modern_Monetary_Theory
https://en.wikipedia.org/wiki/Modern_Monetary_Theory
55% VUG - 20% VEA - 20% EDV - 5% BNDX
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey
Another clue!dc93 wrote: ↑Sat Oct 02, 2021 1:55 pm Just curious - Has anyone been aware of these articles on seekingalpha that brought up the whole UPRO/TMF idea prior to HEDGEFUNDIE's post here?
https://seekingalpha.com/article/411871 ... eraged-etf
https://seekingalpha.com/article/411925 ... raged-etfs
https://seekingalpha.com/article/412106 ... eraged-etf
It appears that these articles are posted in 2017, 2 years earlier than HEDGEFUNDIE's post here. The author used some coarse approximation to simulate UPRO/TMF to 1980s, and suggested 50/50 UPRO/TMF.
edit: someone also found one of these in this post viewtopic.php?p=4374903#p4374903
I was listening to a random youtube video a few months back and mentioned something like he posted such strategy way earlier than hedgefundie and he doesn't even know who hedgefundie is.
I think he was also mentioning a superior strategy too.
He said he made several contributions to Seekingalpha using leverage as well long before hfea.
He was aiming for something like 50 million by the end of his retirement strategy.
I cannot seem to find it in youtube. My youtube history was blank.
I think he had some sort of southern accent.
- cflannagan
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey
Cool? I'm not sure this type of competition ("who came up with this idea first?") matters. Using leverage on blended portfolio isn't exactly a new concept either by the time Hedgefundie made his first HFEA post.anaparafunds wrote: ↑ he posted such strategy way earlier than hedgefundie and he doesn't even know who hedgefundie is.
I think he was also mentioning a superior strategy too.
He said he made several contributions to Seekingalpha using leverage as well long before hfea.
I chalked this (Hedgefundie & HFEA posts) up as one of those things that somehow took a life of its own. He took some established (read: not new) concepts, applied it, shared it, and the rest was history. I'm still thankful for Hedgefundie putting together a great series of posts in an easy-to-digest format for plebeians like myself.
Hedgefundie didn't make a claim he was the first to come up with the concept. He even said so himself in the first post of the series:
And went on to mention PSLDX is essentially doing the same thing Hedgefundie is trying to do, apply leverage toward blended portfolios.
Let's not make things more than what they are.HEDGEFUNDIE wrote:
PIMCO's StocksPLUS Long Duration Fund (PSLDX) was launched in September 2007. It holds:
100% S&P 500 futures
100% Long Bonds (actively managed, both Treasury & Corporate)
-100% 3-month LIBOR
Returns since inception have compared favorably to the S&P 500. It has a 5-star rating from Morningstar, and can be found in some 401ks.
- firebirdparts
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey
Your timing is impeccable.
This time is the same
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey
Why are you switching and what's the new portfolio like?
I brought up the margin question. My reason is that I have access to high yield, fixed income opportunities that I can use to boost the returns on the portfolio. Deposit $100k in HFEA, borrow $25k, invest at 20% APY, use the income to buy more HFEA. Repeat. Hypothetical numbers for discussion. I have lower and higher paying options, depending on how much risk and work I want to do. Position size and opportunities are also variable.
If nothing else, using it as a substitute for an emergency fund is interesting. We carry a lot of cash currently.
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey
CYA also launched, which would cut drawdown. Hard to backtest but using SPD as a guide, something like 49/49/2 UPRO/TYA/CYA. HFEA returns with 3x AWP drawdowns (-35%). Only pays off once a decade but it makes a big difference when it does. Thoughts?skierincolorado wrote: ↑Fri Oct 08, 2021 11:48 am What are the portfolio margin requirements on TYA and TYD? If they are low enough, this might be a reasonable alternative to futures. I also think 45/55 or 50/50 UPRO/TYA will be enough leverage for most people.
Re: HEDGEFUNDIE's excellent adventure Part II: The next journey
I think it'll be interesting to see how much CYA will be a drag on the overall performance. IF it's relatively efficient then it maybe a worthwhile insurance but current history is too short to be a good judgement. Also, beware of the drawdowns from PV, that's monthly only, so actual drawdown for AWP using 3x is higher (I think it's like ~45%) if one simulates back using daily value.investor.was.here wrote: ↑Wed Oct 13, 2021 12:37 pmCYA also launched, which would cut drawdown. Hard to backtest but using SPD as a guide, something like 49/49/2 UPRO/TYA/CYA. HFEA returns with 3x AWP drawdowns (-35%). Only pays off once a decade but it makes a big difference when it does. Thoughts?skierincolorado wrote: ↑Fri Oct 08, 2021 11:48 am What are the portfolio margin requirements on TYA and TYD? If they are low enough, this might be a reasonable alternative to futures. I also think 45/55 or 50/50 UPRO/TYA will be enough leverage for most people.
Re: HEDGEFUNDIE's excellent adventure Part II: The next journey
For those who intend on investing in this strategy with a 10+ year horizon, how do you view the fund level operational risks? Specifically the risk that one of these leveraged ETFs blows up and the NAV goes to $0 during adverse market conditions like what happened with some VIX ETPs a few years ago. Is it possible that a large enough drawdown in the underlying could cause UPRO or TMF to collapse? I guess by definition a 34% drawdown in a single day would wipe the fund out, but what about a more prolonged drawdown of say 60 or 70% over 12 months? Because the funds releverage daily they would never reach $0 NAV but could the resulting 95% loss cause the fund the liquidate?