HEDGEFUNDIE's excellent adventure Part II: The next journey

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

Post by DMoogle »

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

Post by huzaing »

Thanks for doing this Ramjet!

Please do continue to do so. That would be really helpful!

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

Post by cflannagan »

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.
That'd be great if you can keep posting quarterly updates!

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

Post by Ramjet »

Alright, cool. I keep updating it every quarter
Alaric
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by Alaric »

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
There is also a thread specifically for HFEA results, Riding HEDGEFUNDIE’s excellent adventure
huzaing
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by huzaing »

Ramjet wrote: Fri Oct 01, 2021 9:15 am Alright, cool. I keep updating it every quarter
Awesome!!
parval
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by parval »

Any thoughts on EDV vs VGLT? Duration seems roughly the same, not sure what else to consider.
constructor
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by constructor »

parval wrote: Fri Oct 01, 2021 5:46 pm Any thoughts on EDV vs VGLT? Duration seems roughly the same, not sure what else to consider.
EDV duration is 25 years, much longer than VGLT.
parval
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by parval »

constructor wrote: Sat Oct 02, 2021 8:07 am
parval wrote: Fri Oct 01, 2021 5:46 pm Any thoughts on EDV vs VGLT? Duration seems roughly the same, not sure what else to consider.
EDV duration is 25 years, much longer than VGLT.
o thanks! looks like i confused maturity w/ duration
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dc93
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by dc93 »

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
Last edited by dc93 on Sat Oct 02, 2021 2:25 pm, edited 1 time in total.
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cflannagan
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by cflannagan »

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.
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.
investor.was.here
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by investor.was.here »

keith6014 wrote: Tue Sep 28, 2021 8:01 pm Once it goes online, I am thinking it as a replacement for TMF and some cash.
When is that expected?
investor.was.here
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by investor.was.here »

Does anyone know, if you do HFEA on M1Finance, can you borrow against the portfolio?
nolegs
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by nolegs »

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

Post by TXGator »

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?
Yes but maintenance margin is 75% for UPRO, won't take much to trigger that!
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by investor.was.here »

TXGator wrote: Mon Oct 04, 2021 2:41 pm Yes but maintenance margin is 75% for UPRO, won't take much to trigger that!
What if I have a blended portfolio? Do I get a blended maintenance rate too? And is there a liquidation penalty?
TXGator
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by TXGator »

investor.was.here wrote: Mon Oct 04, 2021 3:34 pm
TXGator wrote: Mon Oct 04, 2021 2:41 pm Yes but maintenance margin is 75% for UPRO, won't take much to trigger that!
What if I have a blended portfolio? Do I get a blended maintenance rate too? And is there a liquidation penalty?
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 IBKR
investor.was.here
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by investor.was.here »

TXGator wrote: Mon Oct 04, 2021 4:03 pm 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 IBKR
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.
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dc93
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by dc93 »

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.
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drumboy256
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by drumboy256 »

Personally, I would go EDV in taxable.
Promise is one thing. Fulfilling that promise is quite another. - Sir Alex Ferguson | 20% IVV / 40% IBIT / 20% IXUS / 20% VGLT + chill
parval
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by parval »

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

Post by Hfearless »

parval wrote: Wed Oct 06, 2021 8:11 pm 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?
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?
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by JohnWild »

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

Post by Ramjet »

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.
I am not aware of any markups at M1, e.g., no transaction cost when buying or selling that I am aware of
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by JohnWild »

Ramjet wrote: Thu Oct 07, 2021 7:59 am
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.
I am not aware of any markups at M1, e.g., no transaction cost when buying or selling that I am aware of

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

Post by DMoogle »

JohnWild wrote: Thu Oct 07, 2021 9:44 am
Ramjet wrote: Thu Oct 07, 2021 7:59 am
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.
I am not aware of any markups at M1, e.g., no transaction cost when buying or selling that I am aware of

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.
Did you look at the numbers in that link? It's a 0.00051% fee. It's basically nothing.
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cos
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by cos »

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.
The fees described on that webpage are charged by all brokers, by law. They are not unique to M1.
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by kbourgu »

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

Post by cardiology »

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

Post by DMoogle »

kbourgu wrote: Thu Oct 07, 2021 10:52 am 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.
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

Post by skierincolorado »

kbourgu wrote: Thu Oct 07, 2021 10:52 am 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.
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.
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by jarjarM »

kbourgu wrote: Thu Oct 07, 2021 10:52 am 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.
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.
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by keith6014 »

investor.was.here wrote: Mon Oct 04, 2021 12:27 pm
keith6014 wrote: Tue Sep 28, 2021 8:01 pm Once it goes online, I am thinking it as a replacement for TMF and some cash.
When is that expected?
Now. https://www.nasdaq.com/market-activity/ ... d-etfs/tya
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by skierincolorado »

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.
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.

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

Post by skierincolorado »

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.
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.

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

Post by jarjarM »

keith6014 wrote: Fri Oct 08, 2021 11:26 am
investor.was.here wrote: Mon Oct 04, 2021 12:27 pm
keith6014 wrote: Tue Sep 28, 2021 8:01 pm Once it goes online, I am thinking it as a replacement for TMF and some cash.
When is that expected?
Now. https://www.nasdaq.com/market-activity/ ... d-etfs/tya
Volume is still quite thin though, I guess we'll be watching it for a bit before seriously considering it.
adamhg
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by adamhg »

jarjarM wrote: Fri Oct 08, 2021 12:11 pm
keith6014 wrote: Fri Oct 08, 2021 11:26 am
investor.was.here wrote: Mon Oct 04, 2021 12:27 pm
keith6014 wrote: Tue Sep 28, 2021 8:01 pm Once it goes online, I am thinking it as a replacement for TMF and some cash.
When is that expected?
Now. https://www.nasdaq.com/market-activity/ ... d-etfs/tya
Volume is still quite thin though, I guess we'll be watching it for a bit before seriously considering it.
Underlying futures should be quite liquid though so the ETF should the the same (in theory)
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by jarjarM »

adamhg wrote: Fri Oct 08, 2021 12:49 pm
jarjarM wrote: Fri Oct 08, 2021 12:11 pm
keith6014 wrote: Fri Oct 08, 2021 11:26 am
investor.was.here wrote: Mon Oct 04, 2021 12:27 pm
keith6014 wrote: Tue Sep 28, 2021 8:01 pm Once it goes online, I am thinking it as a replacement for TMF and some cash.
When is that expected?
Now. https://www.nasdaq.com/market-activity/ ... d-etfs/tya
Volume is still quite thin though, I guess we'll be watching it for a bit before seriously considering it.
Underlying futures should be quite liquid though so the ETF should the the same (in theory)
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.
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by TheDoctor91 »

Someone make the TMF bleeding stop!
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by taojaxx »

TheDoctor91 wrote: Fri Oct 08, 2021 11:05 pm Someone make the TMF bleeding stop!
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

Post by drumboy256 »

taojaxx wrote: Sat Oct 09, 2021 10:07 am
TheDoctor91 wrote: Fri Oct 08, 2021 11:05 pm Someone make the TMF bleeding stop!
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.
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.
Promise is one thing. Fulfilling that promise is quite another. - Sir Alex Ferguson | 20% IVV / 40% IBIT / 20% IXUS / 20% VGLT + chill
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by cflannagan »

taojaxx wrote: Sat Oct 09, 2021 10:07 am 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.
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"?
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by LTCM »

55% VUG - 20% VEA - 20% EDV - 5% BNDX
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by anaparafunds »

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
Another clue!

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

Post by cflannagan »

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.
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.

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:
HEDGEFUNDIE wrote:
If this such a sure thing, why hasn’t anyone else done it?
They have.
And went on to mention PSLDX is essentially doing the same thing Hedgefundie is trying to do, apply leverage toward blended portfolios.
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.
Let's not make things more than what they are.
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by firebirdparts »

TheDoctor91 wrote: Fri Oct 08, 2021 11:05 pm Someone make the TMF bleeding stop!
Your timing is impeccable.
This time is the same
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by investor.was.here »

parval wrote: Wed Oct 06, 2021 8:11 pm 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?
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

Post by investor.was.here »

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

Post by jarjarM »

investor.was.here wrote: Wed Oct 13, 2021 12:37 pm
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.
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?
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.
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by km91 »

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?
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