You might want to check out some reviews at Optimized Portfolio.
I've had some success at M1, a bit clunky getting funds in and some smaller LETFs are not available; that is most definitely not a day trading platform if you were into that.
You might want to check out some reviews at Optimized Portfolio.
Interesting, thx.Hydromod wrote: ↑Wed Apr 14, 2021 10:52 am
You are allowed to have a Roth IRA that you can (i) directly fund up to $6000/yr ($7000/yr over 50), if you earn less than a certain threshold, or (ii) indirectly fund up to the same amount by creating a traditional IRA and rolling it over (the backdoor Roth), if you make more than the threshold. The backdoor process has certain limitations if you have other traditional IRAs.
You can also have a 401(k) or 403(b) Roth, which is contributed to like a normal 401(k) except with after-tax income instead of before-tax income.
Kinda late to this thread and still learning but would love if you had any links to resources on how you use options. Thanks for any suggestions, still trying to learn about more than just buy and hold.EfficientInvestor wrote: ↑Mon Apr 12, 2021 1:46 pmThe monthly rebal and annual rebal both have a CAGR difference of around 5%, not just 2%. I would say the 2% difference is just the result of good rebal timing that you can't necessarily expect going forward.tradri wrote: ↑Mon Apr 12, 2021 1:01 pm Honestly, when looking at a quarterly rebalanced strategy for 70/30 UPRO/TMF vs 210/90/-200 SPY/TLT/CASHX, the difference in CAGR between those 2 strategies isn't all that far apart. (since the inception of these funds) https://www.portfoliovisualizer.com/bac ... tion5_2=30
The 210/90/-200 SPY/TLT/CASHX futures strategy does produce a ~2% higher CAGR over that time period, but aren't there a lot of other issues when using futures? In the original HFEA thread, he said that futures can only be bought for $140k a piece, which would make it very difficult to get started & later on size your positions. Also, isn't it possible to lose more than your initial investment with futures, since you have the right and obligation to fulfill the future at the end? Doesn't this also mean that one has to have substantial collateral in the account, and therefore the risk of getting margin called?
And for options, as you said, the CAGR will be lower than the -CASHX Portfolio Visualizer approximation, so they don't really provide an advantage over leveraged ETFs, right?
The e-mini micro contracts currently go for around $20k, so that isn't too bad. The size of the treasury contracts are definitely limiting since they are $100k or more.
You can definitely lose more than your initial investment with futures and this needs to be accounted for in how you manage the portfolio. I keep a certain amount of cash on hand to handle the daily fluctuations. I keep any additional unused capital in an ultra-short term bond fund like JPST. I would never do a 210/90 portfolio with just futures. You either need to lower the leverage or use options to cover the worst case scenarios so you don't lose all your money. For someone that otherwise wants similar volatility to 100% stock, you would probably want something more like 90% stock and 60% LTT.
Regarding options...you can't really do a comparison using Portfolio Visualizer. The cost and benefit of the options can't be reflected in the backtest. I personally buy put options (or in the money call options) 2 years out in time to serve as my downside protection and then offset the price of those by selling monthly covered calls against 25-33% of my holdings. This keeps the portfolio around theta neutral so that the daily premium received from the covered calls will theoretically offset the daily premium paid out for the protection. The intent of doing all of this is to try to hedge black swan events by giving up a little of your potential upside. By applying the hedges, you are giving up some potential return, but you are also reducing standard deviation. Overall, the goal is to end up with higher risk-adjusted returns by mitigating the really large drawdown event.
200 MA Market-timing Leveraged ETF's seems to better idea. Here is comparison with 68% ULPIX 32% VUSTX (This AA is picked because it has similar volatility to the market-timing leveraged ETF). The Sharpe, Sortino and CAGR is higher with the market-timing approach.
Not sure there are any resources out there that explain my specific use of options. I would recommend learning everything you can about options and how they can be used for hedging and leverage. Develop a good understanding of what a put and call are and develop a good understanding of all the options greeks (delta, theta, etc.). Once you have a thorough understanding of the concepts, you will be better equipped to understand how you want to implement the use of the options. Here are a couple good resources:
Can you tell which study are you referring too?chris319 wrote: ↑Mon May 24, 2021 3:14 pm Oh gawd, you don't want to do options.
With options you are fighting not only price action, which is unpredictable, but you are also fighting time decay (or it's fighting you).
Buy & hold may be boring, but if you're serious about making money, buy & hold is the way to go. That's why Jack Bogle's index funds were considered revolutionary decades ago. Now they're considered time-tested.
With buy and hold, you're not chasing a randomly-moving target so you're not fighting unpredictability the way you would be if actively trading.
There are also tax considerations when actively trading in a taxable account.
I love my 2x LETF's and they are good to me, despite all the crapola scare-story videos on YouTube. 3x LETF's work great in a bull market but are suboptimal in a bear market. Studies have shown that 2x seems to be the sweet spot.
There may be a link to it in this 15-page thread. Or try googling for "leveraged index funds" or "leveraged etf". I'll leave the searching to you.Can you tell which study are you referring to?
That looks like a marketing white paper from a site that has waaay too many bold BLUE, GREEN and RED fonts and cheesy graphics on the home page trying to sell their secret technique subscription ($399 for 3 months!) for me to avoid skepticism as to their bona fides.chris319 wrote: ↑Tue May 25, 2021 8:28 amHave a look at this:
https://holygrailtradingstrategies.com/ ... d-ETFs.pdf
The link shows that a 2x leveraged ETF would have produced about 1% higher compounded returns than the S&P 500. (with much higher drawdowns obviously)chris319 wrote: ↑Tue May 25, 2021 8:28 amHave a look at this:
https://holygrailtradingstrategies.com/ ... d-ETFs.pdf
And New Forum Policy Prohibiting Discussions of Cryptocurrency, Market Manipulation Schemes, etc as Investing StrategiesEventually, one runs out of greater fools. - Burton Malkiel
Discussions of investment strategies based on securities or physical assets that have no underlying value or negative expected long term returns are prohibited. Examples include: cryptocurrencies; lottery tickets; tulip bulbs; Ponzi, pyramid, and multi-level marketing schemes; affinity frauds; and market manipulation schemes.
People who support leveraged ETFs do it on the premise they work better post 1990 or so with different monetary policy. A study from 1885 on is not surprisingly going to have different results.tradri wrote: ↑Tue May 25, 2021 8:38 amThe link shows that a 2x leveraged ETF would have produced about 1% higher compounded returns than the S&P 500. (with much higher drawdowns obviously)chris319 wrote: ↑Tue May 25, 2021 8:28 amHave a look at this:
https://holygrailtradingstrategies.com/ ... d-ETFs.pdf
I believe there are much better ways to achieve a 1% higher CAGR (or more) with much less drawdown. (for example small cap value)
And I support the Crypto market on the premise that it works better since Elon Musk started talking about it...
Can you back that up with some figures?The link shows that a 2x leveraged ETF would have produced about 1% higher compounded returns than the S&P 500. (with much higher drawdowns obviously)
I can't get all jazzed about 1% better CAGR for the downside risk.
On top of that, there are most likely smarter ways to get that extra 1% CAGR (or more).
You are implying that leverage is the only way to get higher returns.
No I am not. Kindly don't put words in my mouth.You are implying that leverage is the only way to get higher returns.
My "formula" for higher returns is basically following the research on stock market returns.
There are papers that discuss tactical asset allocations strategies for adjusting stock/bond split according to valuations that have yielded about 1% CAGR improvements.
Namely?I feel comfortable putting my money into small-cap value funds, as those provide the highest exposure to the known factors that have driven the risk and return of diversified portfolios over time.
Market beta, size, value (the original 3 factors) and profitability and investment (the additional factors forming the Five Factor Model)
The consequence is, that it may take longer (if at all) to recover from them, than if you followed a different strategy.chris319 wrote: ↑Tue May 25, 2021 3:49 pmWhat is the answer to my question: for an unmargined investor, of what consequence are the drawdowns other than purely psychological?I feel comfortable putting my money into small-cap value funds, as those provide the highest exposure to the known factors that have driven the risk and return of diversified portfolios over time.
Is VSIAX the answer to my very simple question to you?Namely?
Market beta, size, value (the original 3 factors) and profitability and investment (the additional factors forming the Five Factor Model)
It depends on how much concentration you are comfortable with.
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Portfolio 1 VSIAX $10,000 $38,155 15.00%
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Portfolio 2 VOO $10,000 $44,777 16.93%
Time period?chris319 wrote: ↑Tue May 25, 2021 5:06 pmCode: Select all
Portfolio 1 VSIAX $10,000 $38,155 15.00%
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Portfolio 2 VOO $10,000 $44,777 16.93%
Yeah, that time period wasn't very kind to value.
This paper/article is pretty useless anyways, since they don't account for borrowing costs.
This poster has tested this independently on NDX. The sweet spot in my test was closer to 2.5.Seems like a bunch of posters got enamoured by the nice looking chart and ignored the fine print: "The construction of this index is described in Schwert (1990) and the index used is the capital index (no dividends reinvested).".
I figured you'd have an excuse.Yeah, that time period wasn't very kind to value.
Code: Select all
VSIAX Portfolio 1 $10,000 $38,155 15.00%
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VOO Portfolio 2 $10,000 $44,777 16.93%
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SSO Portfolio 3 $10,000 $124,884 30.14%
[Bitcoin performance image removed by admin LadyGeek]chris319 wrote: ↑Tue May 25, 2021 5:43 pm Oct 2011 - Apr 2021
Code: Select all
VSIAX Portfolio 1 $10,000 $38,155 15.00%
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VOO Portfolio 2 $10,000 $44,777 16.93%
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SSO Portfolio 3 $10,000 $124,884 30.14%
By using backtests? (like the one I posted above taken from the Simba LETF backtesting spreadsheet)
This is a result of the long bond bull market during that time period. Unlikely to repeat.Also, bringing back my point... Why 100% into the equities side (whether Nasdaq100, SP500 or Small Cap Value)? Even with 0 leverage, 50-50 SCV + LTT ends up being a much, much better choice than 100% SCV:
https://www.portfoliovisualizer.com/bac ... tion2_2=50
I doubt a small cap value LETF will be useful. The higher volatility will most likely do more harm than good.
I think I will have to have "He died as he lived: always hedging." engraved into my tombstone.
EDIT: forgot to add, if you could get an equity-swap based fund leveraging SCV 2x, you'd be in business, I imagine. Won handily against the classics (SP500 and N100).
And: New Forum Policy Prohibiting Discussions of Cryptocurrency, Market Manipulation Schemes, etc as Investing StrategiesDiscussions of investment strategies based on securities or physical assets that have no underlying value or negative expected long term returns are prohibited. Examples include: cryptocurrencies; lottery tickets; tulip bulbs; Ponzi, pyramid, and multi-level marketing schemes; affinity frauds; and market manipulation schemes.
Sorry if I missed it but are you pairing your leveraged ETF with a bond ETF or similar, e.g., LTT, ITT, or cash?