HEDGEFUNDIE's excellent adventure Part II: The next journey

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

Post by cos »

RovenSkyfall wrote: Mon Mar 29, 2021 12:07 pm I really enjoyed Uncorrelated's MVO thread. The MVO does use historical returns for the inputs. Knowing that, have you varied the expected return to represent a flat rate environment for TMF, or are you using the results from the historical declining rate environment?
I've been struggling with this. Using the historical return doesn't make as much sense as it used to if we assume that rates cannot go significantly negative. On the other hand, using the average yield to maturity doesn't make as much sense as it would with other bond funds if we assume that long-term treasuries are exposed to idiosyncratic risk factors.

For now, I'm using average yield to maturity and historical standard deviation as these are the numbers that best match my own assumptions. I'm open to suggestions for alternatives, though.
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Forester
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by Forester »

New 2x leveraged US MSCI Min Vol ETN

https://etracs.ubs.com/product/detail/o ... ymbol/USML
Amateur Self-Taught Senior Macro Strategist
parval
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by parval »

Any more thoughts on VIX-like products at the moment?

I find it weird the UPRO/TMF volatility has been steady or even gone up, but VXX has been plummeting.
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coingaroo
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by coingaroo »

Forester wrote: Tue Mar 30, 2021 1:34 pm New 2x leveraged US MSCI Min Vol ETN

https://etracs.ubs.com/product/detail/o ... ymbol/USML
0.95% mgmt fee + 0.95% financing spread + ETN, not an ETF.

Even if the underlying idea is good (which I don't believe: https://www.msci.com/documents/10199/f5 ... 20universe. ), the vehicle is unbelievably bad and I would absolutely not have this in my portfolio.

P.S. UBS is known for aggressively winding down their ETNs if they don't get enough AUM.
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by Semantics »

coingaroo wrote: Tue Mar 30, 2021 10:05 pm
Forester wrote: Tue Mar 30, 2021 1:34 pm New 2x leveraged US MSCI Min Vol ETN

https://etracs.ubs.com/product/detail/o ... ymbol/USML
0.95% mgmt fee + 0.95% financing spread + ETN, not an ETF.

Even if the underlying idea is good (which I don't believe: https://www.msci.com/documents/10199/f5 ... 20universe. ), the vehicle is unbelievably bad and I would absolutely not have this in my portfolio.

P.S. UBS is known for aggressively winding down their ETNs if they don't get enough AUM.
Note that they reset leverage quarterly. Most leveraged products are reset daily, and a few are monthly, don't think I've seen quarterly before. That might explain the high fees as they and their counterparties have to worry about what happens if the underlying index crashes 50% mid-quarter. But yeah, I'd run away from this for the reasons you mentioned, as well as I don't think quarterly resets is a good feature. Also it seems strange to pick an index that mainly lowers beta... and then increase the beta with leverage.
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by jarjarM »

Semantics wrote: Tue Mar 30, 2021 10:16 pm
coingaroo wrote: Tue Mar 30, 2021 10:05 pm
Forester wrote: Tue Mar 30, 2021 1:34 pm New 2x leveraged US MSCI Min Vol ETN

https://etracs.ubs.com/product/detail/o ... ymbol/USML
0.95% mgmt fee + 0.95% financing spread + ETN, not an ETF.

Even if the underlying idea is good (which I don't believe: https://www.msci.com/documents/10199/f5 ... 20universe. ), the vehicle is unbelievably bad and I would absolutely not have this in my portfolio.

P.S. UBS is known for aggressively winding down their ETNs if they don't get enough AUM.
Note that they reset leverage quarterly. Most leveraged products are reset daily, and a few are monthly, don't think I've seen quarterly before. That might explain the high fees as they and their counterparties have to worry about what happens if the underlying index crashes 50% mid-quarter. But yeah, I'd run away from this for the reasons you mentioned, as well as I don't think quarterly resets is a good feature. Also it seems strange to pick an index that mainly lowers beta... and then increase the beta with leverage.
Given the low borrow rate right now, I won't be surprise if there's more of these type of leveraged ETNs coming out.
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by rchmx1 »

Semantics wrote: Tue Mar 30, 2021 10:16 pm Note that they reset leverage quarterly. Most leveraged products are reset daily, and a few are monthly, don't think I've seen quarterly before. That might explain the high fees as they and their counterparties have to worry about what happens if the underlying index crashes 50% mid-quarter. But yeah, I'd run away from this for the reasons you mentioned, as well as I don't think quarterly resets is a good feature. Also it seems strange to pick an index that mainly lowers beta... and then increase the beta with leverage.
I found the quarterly reset strange as well. Does anyone have an idea as to what the arguments in favor of that approach would be?
langlands
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by langlands »

Semantics wrote: Tue Mar 30, 2021 10:16 pm
coingaroo wrote: Tue Mar 30, 2021 10:05 pm
Forester wrote: Tue Mar 30, 2021 1:34 pm New 2x leveraged US MSCI Min Vol ETN

https://etracs.ubs.com/product/detail/o ... ymbol/USML
0.95% mgmt fee + 0.95% financing spread + ETN, not an ETF.

Even if the underlying idea is good (which I don't believe: https://www.msci.com/documents/10199/f5 ... 20universe. ), the vehicle is unbelievably bad and I would absolutely not have this in my portfolio.

P.S. UBS is known for aggressively winding down their ETNs if they don't get enough AUM.
Note that they reset leverage quarterly. Most leveraged products are reset daily, and a few are monthly, don't think I've seen quarterly before. That might explain the high fees as they and their counterparties have to worry about what happens if the underlying index crashes 50% mid-quarter. But yeah, I'd run away from this for the reasons you mentioned, as well as I don't think quarterly resets is a good feature. Also it seems strange to pick an index that mainly lowers beta... and then increase the beta with leverage.
Regarding the last sentence, that's exactly what AQR does in its betting against beta (BAB) strategy. The idea is that low beta stocks return more than they should with respect to their exposure to the market factor. If that's true, then leveraging a portfolio of low beta stocks so that the portfolio beta is 1 should outperform SPY itself.
Kal1981
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by Kal1981 »

I’m new to leveraged products like HFEA, PSLDX, NTSX. You mentioned always learning in your post. Do you have any recommendations on articles or books to understand leverage, slow bear market, black swans?
perfectuncertainty wrote: Thu Mar 25, 2021 11:23 pm There seems to be a fair amount of HFEA strategy questioning and frustration - particularly regarding TMF. We all do it - it's human nature. It's emotion and reaction.

Things I constantly remind myself.
  • Be patient and opportunity will present itself.
  • In the meantime learn. Learn about the declining market types like a slow bear versus black a swan and which hedges are required for them.
  • Learn different approaches - I invest and I trade. I trade stocks and I trade options. There is opportunity and there is risk in each approach.
  • If I'm going to sit in an investment for a long time it needs to make sense at a macro level for me. Like Buffett says: "you do well if you bet on America", so I don't have an issue buying SPY or SSO. And I am very comfortable buying stocks like COST
  • On everything else, I need to be disciplined and know the cardinal rule: SIZE KILLS. If I'm feeling stressed or frustrated then the size of my position in said investment is too big and I need to reduce it
HFEA is being challenged for the short term. We don't know if it will be a long-term challenge. If it is making anyone uncomfortable or emotional then consider the fact that your allocation to this strategy is too large (easy to go big while a strategy is roaring) and you may want to evaluate your allocation.

Thought I'd share my musings on what I'm reading and thinking.
lcdx22
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by lcdx22 »

It's rebalance day. Who's in?
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by bjcleaver »

lcdx22 wrote: Wed Mar 31, 2021 11:33 am It's rebalance day. Who's in?
My calendar is marked for a rebalance tomorrow. My holdings have moved closer to 60/40 UPRO/TMF this quarter and I'm tempted to let that run for a little while...
DMoogle
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by DMoogle »

lcdx22 wrote: Wed Mar 31, 2021 11:33 am It's rebalance day. Who's in?
At the moment I'm still figuring out how much I'm following the original HFEA vs. the SMA approach. Still lots of research to do.

For now, I'm not going to rebalance and just going to leave as is. I'm fine with the additional exposure.
jarjarM
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by jarjarM »

DMoogle wrote: Wed Mar 31, 2021 11:52 am
lcdx22 wrote: Wed Mar 31, 2021 11:33 am It's rebalance day. Who's in?
At the moment I'm still figuring out how much I'm following the original HFEA vs. the SMA approach. Still lots of research to do.

For now, I'm not going to rebalance and just going to leave as is. I'm fine with the additional exposure.
I'm skipping this rebalance as well. May not rebalance into TMF until 10yr rate is back at 2-2.5%. I have enough exposure to LTT elsewhere in my portfolio not to worry about the HFEA allocation as much. Yeah, a bit of market timing for sure :wink:
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by potatopancake »

I've drifted all the way to 69%/31% upro/tmf. Rebalance day tomorrow.
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RovenSkyfall
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by RovenSkyfall »

DMoogle wrote: Wed Mar 31, 2021 11:52 am
lcdx22 wrote: Wed Mar 31, 2021 11:33 am It's rebalance day. Who's in?
At the moment I'm still figuring out how much I'm following the original HFEA vs. the SMA approach. Still lots of research to do.

For now, I'm not going to rebalance and just going to leave as is. I'm fine with the additional exposure.
Yeah will rebalance today as well, but am hoping some smart people look at more of the 200dMA approach with some alternatives (like 80/20 UPRO/TMF) and switch to HFEA when it drops below sp500 200dma.
I saved my money, but it can't save me | The Chariot
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queso
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by queso »

I'm at 57/43 so am "naturally rebalanced" and won't fiddle with it this time around. :happy
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by DMoogle »

RovenSkyfall wrote: Wed Mar 31, 2021 12:42 pmYeah will rebalance today as well, but am hoping some smart people look at more of the 200dMA approach with some alternatives (like 80/20 UPRO/TMF) and switch to HFEA when it drops below sp500 200dma.
My biggest concern at the moment is that some of the hypothetical modeled LETF backtests are garbage, producing an overly rosy result. Haven't confirmed that yet.

Worst comes to worst, can't be THAT bad to follow both strategies concurrently.
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by Ramjet »

jarjarM wrote: Wed Mar 31, 2021 12:26 pm
DMoogle wrote: Wed Mar 31, 2021 11:52 am
lcdx22 wrote: Wed Mar 31, 2021 11:33 am It's rebalance day. Who's in?
At the moment I'm still figuring out how much I'm following the original HFEA vs. the SMA approach. Still lots of research to do.

For now, I'm not going to rebalance and just going to leave as is. I'm fine with the additional exposure.
I'm skipping this rebalance as well. May not rebalance into TMF until 10yr rate is back at 2-2.5%. I have enough exposure to LTT elsewhere in my portfolio not to worry about the HFEA allocation as much. Yeah, a bit of market timing for sure :wink:
What is your current UPRO to TMF ratio
Ramjet
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by Ramjet »

lcdx22 wrote: Wed Mar 31, 2021 11:33 am It's rebalance day. Who's in?
Got to about 70/30 and rebalanced to 60/40 instead of 55/45
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by Ramjet »

Who here legitimately thinks they can hold on to this thing for 20 years?
jarjarM
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by jarjarM »

Ramjet wrote: Wed Mar 31, 2021 1:06 pm
jarjarM wrote: Wed Mar 31, 2021 12:26 pm
DMoogle wrote: Wed Mar 31, 2021 11:52 am
lcdx22 wrote: Wed Mar 31, 2021 11:33 am It's rebalance day. Who's in?
At the moment I'm still figuring out how much I'm following the original HFEA vs. the SMA approach. Still lots of research to do.

For now, I'm not going to rebalance and just going to leave as is. I'm fine with the additional exposure.
I'm skipping this rebalance as well. May not rebalance into TMF until 10yr rate is back at 2-2.5%. I have enough exposure to LTT elsewhere in my portfolio not to worry about the HFEA allocation as much. Yeah, a bit of market timing for sure :wink:
What is your current UPRO to TMF ratio
84/16 UPRO/TMF, I switched to a more aggressive UPRO allocation April 2020 and essentially let it ride. TMF's 50% drop in the last 6 months really skewed the current allocation though.
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by DMoogle »

I'm also strongly considering ditching TMF for EDV.
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by perfectuncertainty »

Kal1981 wrote: Wed Mar 31, 2021 12:23 am I’m new to leveraged products like HFEA, PSLDX, NTSX. You mentioned always learning in your post. Do you have any recommendations on articles or books to understand leverage, slow bear market, black swans?
perfectuncertainty wrote: Thu Mar 25, 2021 11:23 pm There seems to be a fair amount of HFEA strategy questioning and frustration - particularly regarding TMF. We all do it - it's human nature. It's emotion and reaction.

Things I constantly remind myself.
  • Be patient and opportunity will present itself.
  • In the meantime learn. Learn about the declining market types like a slow bear versus black a swan and which hedges are required for them.
  • Learn different approaches - I invest and I trade. I trade stocks and I trade options. There is opportunity and there is risk in each approach.
  • If I'm going to sit in an investment for a long time it needs to make sense at a macro level for me. Like Buffett says: "you do well if you bet on America", so I don't have an issue buying SPY or SSO. And I am very comfortable buying stocks like COST
  • On everything else, I need to be disciplined and know the cardinal rule: SIZE KILLS. If I'm feeling stressed or frustrated then the size of my position in said investment is too big and I need to reduce it
HFEA is being challenged for the short term. We don't know if it will be a long-term challenge. If it is making anyone uncomfortable or emotional then consider the fact that your allocation to this strategy is too large (easy to go big while a strategy is roaring) and you may want to evaluate your allocation.

Thought I'd share my musings on what I'm reading and thinking.
Not really. Taleb's Black Swan is pretty decent. Pretty good out-of-the-box thinking.

Peter Bernstein - "Against the God's: the remarkable story of risk" captures it all in terms of how important risk is. It's too frequently ignored and characterised generically. It's about shifting our thinking with regard to risk that can make a huge difference.
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RovenSkyfall
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by RovenSkyfall »

DMoogle wrote: Wed Mar 31, 2021 12:47 pm
RovenSkyfall wrote: Wed Mar 31, 2021 12:42 pmYeah will rebalance today as well, but am hoping some smart people look at more of the 200dMA approach with some alternatives (like 80/20 UPRO/TMF) and switch to HFEA when it drops below sp500 200dma.
My biggest concern at the moment is that some of the hypothetical modeled LETF backtests are garbage, producing an overly rosy result. Haven't confirmed that yet.

Worst comes to worst, can't be THAT bad to follow both strategies concurrently.
Yeah the backtesting isn't intended to correctly predict the future. It is just an attempt to show how a particular strategy performed in certain situations in the past and how those responses compare to the alternatives.

It seems like preparing for multiple likely potential futures is more valuable than preparing for just the best possible future.

I have no idea what TMF is going to do in the next 10 years. It clearly has room to go down. It has room to go up.

I do know that the declining rate environment lead to TMF significantly adding to the return of the HFEA (and makes that historical CAGR really attractive), but I am doubtful (but unsure) that TMF will continue to have that secondary effect. I agree with HEDGEFUNDIE that recent economic policies seem more likely to be repeated than the policies of the 70s, 80s or even 90s. The Fed seems to like to reduce rates in a downturn (at least for the most recent past ones), which makes me think TMF is still of value.

The nebulous long term expected returns of TMF make me wonder if there might be a better way to utilize it. The concept that interests me the most is the 200dMA of the SP500. It seems like a good signal of when it might be an opportune time to get out of UPRO and into something else like TMF. With a 5% band (or even without) the number of trades per year only slightly increases over a quarterly rebalanced HFEA.

The potential pitfall of being 100% UPRO when SMA is above 200d is that you could get caught when the tide goes out if you miss your signal. A mix of 80/20% UPRO/TMF retains some small benefit of TMF if the tide rapidly goes out. Additionally, one could transition to HFEA 55/45 when the SP500 drops below the 200dMA. Uncorrelated showed at the end of this post that binary on off can be worse for the CER than being in some combination of the two funds. The ultimate goal would be to hold less TMF in the good times when UPRO is driving returns while keeping the benefit of TMF if UPRO crashes.
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cos
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by cos »

lcdx22 wrote: Wed Mar 31, 2021 11:33 am It's rebalance day. Who's in?
I just put in the order.
Ramjet wrote: Wed Mar 31, 2021 1:11 pm Who here legitimately thinks they can hold on to this thing for 20 years?
One down, nineteen to go.
corp_sharecropper
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by corp_sharecropper »

Ramjet wrote: Wed Mar 31, 2021 1:11 pm Who here legitimately thinks they can hold on to this thing for 20 years?
Mentally it seems "easier", to me, to take a certain amount of money and let it ride as it's simple to always think of it as just that original sum even during a terrifying drawdown. Once you start continuously DCAing and have no idea what you've been putting in, I imagine it's easier to start thinking of a lot of the growth as "your" money which makes draw downs more painful.
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by Alaric »

cos wrote: Wed Mar 31, 2021 2:15 pm
Ramjet wrote: Wed Mar 31, 2021 1:11 pm Who here legitimately thinks they can hold on to this thing for 20 years?
One down, nineteen to go.
Two+ years for me including some, uh, interesting activity in UPRO & TQQQ in 2020 and TMF in 2021.

If UPRO/TQQQ/TMF all crash simultaneously and I lose most of the value of this Adventure, well then it will be easy to hold onto the small amount that's left and see if it can eventually recover.

To me the question is, if I hit a ten-bagger halfway through, can I hold on and wait for it to become a hundred-bagger as initially hoped for?
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by jarjarM »

Ramjet wrote: Wed Mar 31, 2021 1:11 pm Who here legitimately thinks they can hold on to this thing for 20 years?
Being in this for 2 years, so far so good, but tinkering we must :P
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by Ramjet »

corp_sharecropper wrote: Wed Mar 31, 2021 2:31 pm
Ramjet wrote: Wed Mar 31, 2021 1:11 pm Who here legitimately thinks they can hold on to this thing for 20 years?
Mentally it seems "easier", to me, to take a certain amount of money and let it ride as it's simple to always think of it as just that original sum even during a terrifying drawdown. Once you start continuously DCAing and have no idea what you've been putting in, I imagine it's easier to start thinking of a lot of the growth as "your" money which makes draw downs more painful.
I agree with this
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by Ramjet »

jarjarM wrote: Wed Mar 31, 2021 2:32 pm
Ramjet wrote: Wed Mar 31, 2021 1:11 pm Who here legitimately thinks they can hold on to this thing for 20 years?
Being in this for 2 years, so far so good, but tinkering we must :P
2 years here too :beer
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by inatangle »

Rebalanced today. I'm running a 30/35/35 TMF/TQQQ/UPRO combo with quarterly rebalances. Whilst it hurts to pile more money into tmf when it's down so much, I keep reminding myself to trust the process.

I don't have a crystal ball, bond yields might go up or down, Feds might print more cash or they won't. The extent of my market timing at the moment is selling tqqq/upro covered calls and tmf puts and trusting that fine tuning of economic policy/financial direction happens on a calendar quarterly basis. I think this is why hfea performs so well with this rebalancing approach.
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by hitmantb »

Ramjet wrote: Wed Mar 31, 2021 1:11 pm Who here legitimately thinks they can hold on to this thing for 20 years?
I am holding the non-leveraged version of this, been at it for 3 years. Anyone who ever held through a ten bagger went through the same thing. Important part is to stick to the plan.

Biggest downdrawn last 3 years is only -20% for leveraged version. It is nothing. The strategy makes too much sense to me. The government is so big it makes Amazon look like a mom and pop shop. If you do bonds at all, may as well do long term treasury.

Look at what DFV did on $GME, from $50K to $40 million and all the ups and downs. This is nothing in comparison.
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by DMoogle »

RovenSkyfall wrote: Wed Mar 31, 2021 1:39 pmYeah the backtesting isn't intended to correctly predict the future. It is just an attempt to show how a particular strategy performed in certain situations in the past and how those responses compare to the alternatives.

It seems like preparing for multiple likely potential futures is more valuable than preparing for just the best possible future.

I have no idea what TMF is going to do in the next 10 years. It clearly has room to go down. It has room to go up.

I do know that the declining rate environment lead to TMF significantly adding to the return of the HFEA (and makes that historical CAGR really attractive), but I am doubtful (but unsure) that TMF will continue to have that secondary effect. I agree with HEDGEFUNDIE that recent economic policies seem more likely to be repeated than the policies of the 70s, 80s or even 90s. The Fed seems to like to reduce rates in a downturn (at least for the most recent past ones), which makes me think TMF is still of value.

The nebulous long term expected returns of TMF make me wonder if there might be a better way to utilize it. The concept that interests me the most is the 200dMA of the SP500. It seems like a good signal of when it might be an opportune time to get out of UPRO and into something else like TMF. With a 5% band (or even without) the number of trades per year only slightly increases over a quarterly rebalanced HFEA.

The potential pitfall of being 100% UPRO when SMA is above 200d is that you could get caught when the tide goes out if you miss your signal. A mix of 80/20% UPRO/TMF retains some small benefit of TMF if the tide rapidly goes out. Additionally, one could transition to HFEA 55/45 when the SP500 drops below the 200dMA. Uncorrelated showed at the end of this post that binary on off can be worse for the CER than being in some combination of the two funds. The ultimate goal would be to hold less TMF in the good times when UPRO is driving returns while keeping the benefit of TMF if UPRO crashes.
Yeah I agree with everything you said and I'm continuing to look into it. I meant the hypothetical backtests themselves might be wrong - e.g. "what would UPRO return before it existed"? Clearly different sources are using different assumptions, and the end results seem to vary tremendously.
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by lcdx22 »

My portfolio has shifted to 71 UPRO 29 TMF. I didn't end up rebalancing and still considering if I should tomorrow....
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by Jags4186 »

lcdx22 wrote: Wed Mar 31, 2021 5:26 pm My portfolio has shifted to 71 UPRO 29 TMF. I didn't end up rebalancing and still considering if I should tomorrow....
I rebalanced today. Don’t get caught with your pants down. It was only a year ago that this portfolio had absolutely wild daily swings. You should stick to a system, otherwise you end up making decisions on a hunch which may not work, or even worse, work for a while leading to overconfidence in your ability to figure this out and then really hurt you.
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by Jags4186 »

Ramjet wrote: Wed Mar 31, 2021 1:11 pm Who here legitimately thinks they can hold on to this thing for 20 years?
I hope it grows fast enough that I don’t have to hold it for 20 years :moneybag

But, in all seriousness, right now it’s about 10% of my portfolio. If it ends up growing to the point where its 25%, 30%, 40% it will be awfully difficult for me to not take some chips off the table. I guess it depends on how large my “regular” portfolio gets and how much this money actually matters.
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by Marseille07 »

Jags4186 wrote: Wed Mar 31, 2021 5:39 pm
Ramjet wrote: Wed Mar 31, 2021 1:11 pm Who here legitimately thinks they can hold on to this thing for 20 years?
I hope it grows fast enough that I don’t have to hold it for 20 years :moneybag

But, in all seriousness, right now it’s about 10% of my portfolio. If it ends up growing to the point where its 25%, 30%, 40% it will be awfully difficult for me to not take some chips off the table. I guess it depends on how large my “regular” portfolio gets and how much this money actually matters.
I thought the above poster was asking about the opposite...that is, your 10% becomes 5%, 3% etc etc as the yields rise. It's not terribly difficult to hold onto a strategy in good times.
DMoogle
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by DMoogle »

Assuming we're building wealth for selfish reasons, our risk tolerance should decrease as we age. Thus, the rational thing to do would be to decrease leveraged holdings as a % of portfolio. If your risk level allows for 10% now, then in 10 years that % should be less than 10%.
taojaxx
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by taojaxx »

Gayed's paper
https://papers.ssrn.com/sol3/papers.cfm ... id=2741701
convinced me that the 200DMA approach alleviated the need to carry a large TMF position. I therefore now target 70/30 UPRO-TMF.
Hedgefundie himself (Praised be his name! :happy ) lightened up on TMF, so I'm keeping in with the tradition.
I also carry a significant cash amount designed to scale up my HFEA. That cash comes from lightening up on TMF and Tech stocks at the right time by chance.
My signature says it all.
Better lucky than smart.
IRS-Gman
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by IRS-Gman »

For those keeping track: HEDGEFUNDIE revised his original allocation from 40/60 UPRO/TMF to 55/45 when 30 yr treasuries dropped to 2.26% (see page 67 of original post). In his words, the "cost of insurance" became too high. Today's yield is well above that at ~2.4%.

Even at 2.26%, he projected a maximum potential upside of 168% for TMF given that rates could theoretically go to 0%.

My market timing human nature tells me to make a higher allocation to UPRO. That's why I should stick with the original plan of 55/45 instead. :beer
Marseille07
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by Marseille07 »

IRS-Gman wrote: Wed Mar 31, 2021 10:26 pm Even at 2.26%, he projected a maximum potential upside of 168% for TMF given that rates could theoretically go to 0%.
The problem is if 30Y hits 4% though. I'm guessing TMF can lose 50% easy when it happens, and 55/45's 45% going -50% is a huge deal.
Ramjet
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by Ramjet »

Marseille07 wrote: Wed Mar 31, 2021 5:41 pm
Jags4186 wrote: Wed Mar 31, 2021 5:39 pm
Ramjet wrote: Wed Mar 31, 2021 1:11 pm Who here legitimately thinks they can hold on to this thing for 20 years?
I hope it grows fast enough that I don’t have to hold it for 20 years :moneybag

But, in all seriousness, right now it’s about 10% of my portfolio. If it ends up growing to the point where its 25%, 30%, 40% it will be awfully difficult for me to not take some chips off the table. I guess it depends on how large my “regular” portfolio gets and how much this money actually matters.
I thought the above poster was asking about the opposite...that is, your 10% becomes 5%, 3% etc etc as the yields rise. It's not terribly difficult to hold onto a strategy in good times.
We can see who the real optimists versus pessimists are!
Tingting1013
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by Tingting1013 »

Congratulations to everyone who rebalanced into TMF yesterday on schedule.

It’s up 4% today!
Jags4186
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by Jags4186 »

Tingting1013 wrote: Thu Apr 01, 2021 11:04 am Congratulations to everyone who rebalanced into TMF yesterday on schedule.

It’s up 4% today!
To celebrate, I am buying a nice bottle of wine tonight. :sharebeer
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OohLaLa
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by OohLaLa »

If you were sticking to the usual "rules", wouldn't you actually be rebalancing today, on the first market day of the month? I know people usually aren't this dogmatic, but do a lot of you rebalance on the last day, before the next quarter/ month???

Waiting on some greenbacks through Norbert's Gambit in tax-deferred account... taxable account is already rebalanced. :beer

With the inevitable loosening of restrictions in the coming year, wondering if I shouldn't diversify/de-risk into UPRO (vs pure TQQQ) earlier than I planned (2023 or such)... I don't want to tinker around too much and just stick with it, but part of my brain is telling me I was up to my old tricks, betting too heavily on one tilt or another. This is probably just me rationalizing my market-timing ("Oh, let's put into UPRO earlier, coincidentally just as people are re-investing into "reopening" companies.") :annoyed argghhh, brain!!! :P
Semantics
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by Semantics »

Tingting1013 wrote: Thu Apr 01, 2021 11:04 am Congratulations to everyone who rebalanced into TMF yesterday on schedule.

It’s up 4% today!
The 4% does suggest a lot of people are sticking to the plan.
inatangle
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by inatangle »

OohLaLa wrote: Thu Apr 01, 2021 1:53 pm If you were sticking to the usual "rules", wouldn't you actually be rebalancing today, on the first market day of the month? I know people usually aren't this dogmatic, but do a lot of you rebalance on the last day, before the next quarter/ month???

Waiting on some greenbacks through Norbert's Gambit in tax-deferred account... taxable account is already rebalanced. :beer

With the inevitable loosening of restrictions in the coming year, wondering if I shouldn't diversify/de-risk into UPRO (vs pure TQQQ) earlier than I planned (2023 or such)... I don't want to tinker around too much and just stick with it, but part of my brain is telling me I was up to my old tricks, betting too heavily on one tilt or another. This is probably just me rationalizing my market-timing ("Oh, let's put into UPRO earlier, coincidentally just as people are re-investing into "reopening" companies.") :annoyed argghhh, brain!!! :P
I'm running an equal part upro/tqqq mix along with tmf. This most recent balance saw me buy both tqqq and tmf because upro had outperformed them both. I restarted my hfeaesque approach in February after wandering off the beaten path.

It's interesting to watch as the market cycles in and out of various sectors. Fwiw, I'd definitely diversify into upro, mainly because it's good practice.
Jags4186
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by Jags4186 »

OohLaLa wrote: Thu Apr 01, 2021 1:53 pm If you were sticking to the usual "rules", wouldn't you actually be rebalancing today, on the first market day of the month? I know people usually aren't this dogmatic, but do a lot of you rebalance on the last day, before the next quarter/ month???

Waiting on some greenbacks through Norbert's Gambit in tax-deferred account... taxable account is already rebalanced. :beer

With the inevitable loosening of restrictions in the coming year, wondering if I shouldn't diversify/de-risk into UPRO (vs pure TQQQ) earlier than I planned (2023 or such)... I don't want to tinker around too much and just stick with it, but part of my brain is telling me I was up to my old tricks, betting too heavily on one tilt or another. This is probably just me rationalizing my market-timing ("Oh, let's put into UPRO earlier, coincidentally just as people are re-investing into "reopening" companies.") :annoyed argghhh, brain!!! :P
Since we’re using ETFs you can’t get 3/31 end of day NAV values. I consider the rebalance to be the last day of the quarter so I start the first day of the following quarter at 55/45. It doesn’t really matter, as long as you’re consistent.
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OohLaLa
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by OohLaLa »

inatangle wrote: Thu Apr 01, 2021 3:05 pm I'm running an equal part upro/tqqq mix along with tmf. This most recent balance saw me buy both tqqq and tmf because upro had outperformed them both. I restarted my hfeaesque approach in February after wandering off the beaten path.

It's interesting to watch as the market cycles in and out of various sectors. Fwiw, I'd definitely diversify into upro, mainly because it's good practice.
Yeah, my progressive de-risking approach was to ultimately lead to a 50/ 50 split between SSO and QLD, for equities. It's just that I feel like I am timing/ cheating at my own game by moving the schedule ahead.

Once those USD hit the account, I will put in a significant, but not TOO significant, allocation into UPRO. I will sleep easier that way. :sharebeer
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cos
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Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Post by cos »

Tingting1013 wrote: Thu Apr 01, 2021 11:04 am Congratulations to everyone who rebalanced into TMF yesterday on schedule.

It’s up 4% today!
I somehow botched my rebalance. The sells went through last night, but the buys didn't. I missed out on more than half the run-up when I finally managed to buy back in this morning. :(
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