Riding HEDGEFUNDIE’s excellent adventure
Re: Riding HEDGEFUNDIE’s excellent adventure
I have definitely done a bit of this in the 20 or so months I've been in this strategy. It has increased my return over that period of time beyond a strict quarterly rebalancing approach, but not by earth shaking amounts. Just appreciate that each time you do this you're making a bet. A fundamental BH insight is that the less bets you make, the better over a lifetime of investing. So, my approach has been to do it only a fraction of the time I've thought it might be a good idea. But each one is still just a bet, and you still don't know nothin', so I think it's best to develop a healthy aversion to making many if any bets in the long run.bgf wrote: ↑Fri Dec 03, 2021 1:18 pm so since i started this recently, i've had the urge to rebalance twice already. the first time about a week ago, and then this afternoon. i figure if i can 'bank' a few percentage points into UPRO on these unusually volatile down days where TMF is doing its job, then that 'combats' the 'volatility decay' everyone discusses. it puts me back on the 50/50 allocation which is my plan, and potentially sets me up for a better haul when/if the SP500 rebounds.
anyone else have this issue? how detrimental to the strategy could it be? i know there has been lots of backtesting and generally quarterly rebalancing is accepted, and thats my plan. guess i didn't stick with it for very long!
so far this is outperforming my benchmark VT by a few percentage points already. TMF doing its job!
Re: Riding HEDGEFUNDIE’s excellent adventure
good point, and i wholeheartedly agree with the conceptualization of trades as 'bets.' in fact, i know i've made the exact same statement here before. still, i think it is a bet that aligns with the strategy. in other words, so long as im doing this strategy, im making the same bet.rchmx1 wrote: ↑Fri Dec 03, 2021 2:39 pmI have definitely done a bit of this in the 20 or so months I've been in this strategy. It has increased my return over that period of time beyond a strict quarterly rebalancing approach, but not by earth shaking amounts. Just appreciate that each time you do this you're making a bet. A fundamental BH insight is that the less bets you make, the better over a lifetime of investing. So, my approach has been to do it only a fraction of the time I've thought it might be a good idea. But each one is still just a bet, and you still don't know nothin', so I think it's best to develop a healthy aversion to making many if any bets in the long run.bgf wrote: ↑Fri Dec 03, 2021 1:18 pm so since i started this recently, i've had the urge to rebalance twice already. the first time about a week ago, and then this afternoon. i figure if i can 'bank' a few percentage points into UPRO on these unusually volatile down days where TMF is doing its job, then that 'combats' the 'volatility decay' everyone discusses. it puts me back on the 50/50 allocation which is my plan, and potentially sets me up for a better haul when/if the SP500 rebounds.
anyone else have this issue? how detrimental to the strategy could it be? i know there has been lots of backtesting and generally quarterly rebalancing is accepted, and thats my plan. guess i didn't stick with it for very long!
so far this is outperforming my benchmark VT by a few percentage points already. TMF doing its job!
the bet is that over time UPRO will trend upward, and TMF will be noncorrellated such that the danger of 3x leverage is mitigated. if TMF itself trends upward, then all the better. but that's not really our bet. our bet is essentially agnostic to rate moves, so long as rates remain at levels that justify the costs we're incurring and the noncorrellation between UPRO and TMF survives.
i guess i'll learn on my own over time what works best for me with this strategy. ultimately, i think the strategy will perform well, and, as with most boglehead strategies, the most important thing is to stick with it and not bail at the worst time.
“TE OCCIDERE POSSUNT SED TE EDERE NON POSSUNT NEFAS EST"
Re: Riding HEDGEFUNDIE’s excellent adventure
I've thought about it these past few days (by adding to UPRO to maintain 55/45 allocation) but today I ultimately decided against it. What if I change the balance now only for the market to drop down way further? It's been a roller coaster this week and my attempt at adding to UPRO now is just market timing.bgf wrote: ↑Fri Dec 03, 2021 1:18 pm so since i started this recently, i've had the urge to rebalance twice already. the first time about a week ago, and then this afternoon. i figure if i can 'bank' a few percentage points into UPRO on these unusually volatile down days where TMF is doing its job, then that 'combats' the 'volatility decay' everyone discusses. it puts me back on the 50/50 allocation which is my plan, and potentially sets me up for a better haul when/if the SP500 rebounds.
anyone else have this issue? how detrimental to the strategy could it be? i know there has been lots of backtesting and generally quarterly rebalancing is accepted, and thats my plan. guess i didn't stick with it for very long!
so far this is outperforming my benchmark VT by a few percentage points already. TMF doing its job!
Re: Riding HEDGEFUNDIE’s excellent adventure
aha! see, i think this discussion is getting us somewhere. i think i could pretty strongly argue that rebalancing to one's target allocation cannot, by definition, be market timing. it is literally your target, its where you want to be. it is the financial manifestation of your risk appetite and strategy.456M wrote: ↑Fri Dec 03, 2021 3:01 pmI've thought about it these past few days (by adding to UPRO to maintain 55/45 allocation) but today I ultimately decided against it. What if I change the balance now only for the market to drop down way further? It's been a roller coaster this week and my attempt at adding to UPRO now is just market timing.bgf wrote: ↑Fri Dec 03, 2021 1:18 pm so since i started this recently, i've had the urge to rebalance twice already. the first time about a week ago, and then this afternoon. i figure if i can 'bank' a few percentage points into UPRO on these unusually volatile down days where TMF is doing its job, then that 'combats' the 'volatility decay' everyone discusses. it puts me back on the 50/50 allocation which is my plan, and potentially sets me up for a better haul when/if the SP500 rebounds.
anyone else have this issue? how detrimental to the strategy could it be? i know there has been lots of backtesting and generally quarterly rebalancing is accepted, and thats my plan. guess i didn't stick with it for very long!
so far this is outperforming my benchmark VT by a few percentage points already. TMF doing its job!
out of the other side of my mouth, i could argue that veering from one's rebalancing strategy, let's say it is to be done quarterly, is, by definition, market timing. but your rebalancing strategy is fundamentally different from your target allocation. in fact, it is the amount of leeway you allow yourself to drift FROM your target. moreover, your rebalancing strategy was likely determined by backtesting to see which market timing frequency worked the best historically.
lol, so where does that leave us?
“TE OCCIDERE POSSUNT SED TE EDERE NON POSSUNT NEFAS EST"
Re: Riding HEDGEFUNDIE’s excellent adventure
I didn't mean rebalancing is bad. I meant that rebalancing because you "feel the urge to" isn't healthy. In general, messing with your investments in a reactionary way due to market swings means you probably weren't managing your risk well in the first place.
Re: Riding HEDGEFUNDIE’s excellent adventure
What about if you're rebalancing based on drop from ATH? In addition to quarterly rebalancing, I move 5% of my portfolio from TMF to TQQQ for every 5% QQQ drops from ATH. That triggered today so I moved it over so my allocation from the last rebalance (not including market swings in the meantime) went from 70-30 to 75-25.DMoogle wrote: ↑Fri Dec 03, 2021 5:14 pm I didn't mean rebalancing is bad. I meant that rebalancing because you "feel the urge to" isn't healthy. In general, messing with your investments in a reactionary way due to market swings means you probably weren't managing your risk well in the first place.
I know that the risk associated with a further drop is reduced substantially as a result of QQQ having already dropped 5% and as such I can now compensate by taking on more risk by buying more TQQQ. In a sense you could argue that by reacting to market drops we are holding our risk level constant (theoretically) since the risk that the market will drop will always be greater at ATHs than when they subsequently drop 5/10/15/20%. I know that the potential drop from here on out is smaller, so I can take on a riskier allocation.
Last edited by Afrofreak on Fri Dec 03, 2021 6:04 pm, edited 1 time in total.
Re: Riding HEDGEFUNDIE’s excellent adventure
again, i dont think this is a fair characterization of what i did. i didn't do it because i was afraid. i didn't do it because my risk isn't properly set. all i did was rebalance back to my original target allocation.DMoogle wrote: ↑Fri Dec 03, 2021 5:14 pm I didn't mean rebalancing is bad. I meant that rebalancing because you "feel the urge to" isn't healthy. In general, messing with your investments in a reactionary way due to market swings means you probably weren't managing your risk well in the first place.
what i was hoping to find was whether rebalancing in this manner had any negative effects that i didn't otherwise understand. so far, no one has brought any up.
“TE OCCIDERE POSSUNT SED TE EDERE NON POSSUNT NEFAS EST"
Re: Riding HEDGEFUNDIE’s excellent adventure
If I remember correctly I think there was some backtesting done somewhere in one of the two original HFEA threads and narrow rebalancing bands were not optimum, as it was better to let the winner ride before rebalancing (in this case, TMF). You can backtest it out yourself and compare it with quarterly rebalancing.bgf wrote: ↑Fri Dec 03, 2021 6:00 pmagain, i dont think this is a fair characterization of what i did. i didn't do it because i was afraid. i didn't do it because my risk isn't properly set. all i did was rebalance back to my original target allocation.DMoogle wrote: ↑Fri Dec 03, 2021 5:14 pm I didn't mean rebalancing is bad. I meant that rebalancing because you "feel the urge to" isn't healthy. In general, messing with your investments in a reactionary way due to market swings means you probably weren't managing your risk well in the first place.
what i was hoping to find was whether rebalancing in this manner had any negative effects that i didn't otherwise understand. so far, no one has brought any up.
In any case since your fixation (?) (Sorry English is not my first language and I can't think of a better term) is returning to original target allocation, the original target allocation is optimum under the assumption the market in the long term would be going up is it not? Is it also optimum if the market happens to be going down?
Re: Riding HEDGEFUNDIE’s excellent adventure
I don't know the answer to your question, but I do appreciate you referencing a discussion of narrow rebalancing bands. That sounds like it hits on exactly my question. Now I just have to find it in that monster thread!456M wrote: ↑Fri Dec 03, 2021 6:41 pmIf I remember correctly I think there was some backtesting done somewhere in one of the two original HFEA threads and narrow rebalancing bands were not optimum, as it was better to let the winner ride before rebalancing (in this case, TMF). You can backtest it out yourself and compare it with quarterly rebalancing.bgf wrote: ↑Fri Dec 03, 2021 6:00 pmagain, i dont think this is a fair characterization of what i did. i didn't do it because i was afraid. i didn't do it because my risk isn't properly set. all i did was rebalance back to my original target allocation.DMoogle wrote: ↑Fri Dec 03, 2021 5:14 pm I didn't mean rebalancing is bad. I meant that rebalancing because you "feel the urge to" isn't healthy. In general, messing with your investments in a reactionary way due to market swings means you probably weren't managing your risk well in the first place.
what i was hoping to find was whether rebalancing in this manner had any negative effects that i didn't otherwise understand. so far, no one has brought any up.
In any case since your fixation (?) (Sorry English is not my first language and I can't think of a better term) is returning to original target allocation, the original target allocation is optimum under the assumption the market in the long term would be going up is it not? Is it also optimum if the market happens to be going down?
“TE OCCIDERE POSSUNT SED TE EDERE NON POSSUNT NEFAS EST"
- cflannagan
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Re: Riding HEDGEFUNDIE’s excellent adventure
Don't know if this helped but I picked very narrow rebalancing bands (1% lol), the CAGR is worse than quarterly rebalancing. I keep raising in multiples of 5%. 10%, 15%, 20%, all the way up to 50%, etc, couldn't beat the CAGR we get from quarterly rebalancing.
Play with the numbers for yourself
Re: Riding HEDGEFUNDIE’s excellent adventure
I mean, that's more of a market timing concept, which isn't really Bogleheads-esque. I know there's some evidence out there that supports following 200SMA and such, but meh. Not for me. Don't think it can really hurt that much though.Afrofreak wrote: ↑Fri Dec 03, 2021 5:46 pmWhat about if you're rebalancing based on drop from ATH? In addition to quarterly rebalancing, I move 5% of my portfolio from TMF to TQQQ for every 5% QQQ drops from ATH. That triggered today so I moved it over so my allocation from the last rebalance (not including market swings in the meantime) went from 70-30 to 75-25.DMoogle wrote: ↑Fri Dec 03, 2021 5:14 pm I didn't mean rebalancing is bad. I meant that rebalancing because you "feel the urge to" isn't healthy. In general, messing with your investments in a reactionary way due to market swings means you probably weren't managing your risk well in the first place.
Fair enough, I may have misunderstood what you were trying to say originally.bgf wrote: ↑Fri Dec 03, 2021 6:00 pmagain, i dont think this is a fair characterization of what i did. i didn't do it because i was afraid. i didn't do it because my risk isn't properly set. all i did was rebalance back to my original target allocation.DMoogle wrote: ↑Fri Dec 03, 2021 5:14 pm I didn't mean rebalancing is bad. I meant that rebalancing because you "feel the urge to" isn't healthy. In general, messing with your investments in a reactionary way due to market swings means you probably weren't managing your risk well in the first place.
what i was hoping to find was whether rebalancing in this manner had any negative effects that i didn't otherwise understand. so far, no one has brought any up.
Re: Riding HEDGEFUNDIE’s excellent adventure
This is very helpful thank you!cflannagan wrote: ↑Fri Dec 03, 2021 7:25 pmDon't know if this helped but I picked very narrow rebalancing bands (1% lol), the CAGR is worse than quarterly rebalancing. I keep raising in multiples of 5%. 10%, 15%, 20%, all the way up to 50%, etc, couldn't beat the CAGR we get from quarterly rebalancing.
Play with the numbers for yourself
“TE OCCIDERE POSSUNT SED TE EDERE NON POSSUNT NEFAS EST"
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Re: Riding HEDGEFUNDIE’s excellent adventure
I DCA a fixed amount every month into M1. The nice thing is that this additional amount get's divided such that it brings UPRO/TMF back to 55/45.
So, i don't have to explicitly re-balance and thus there are no tax consequences.
Of course, this works because the current balance is low enough to work.
So, i don't have to explicitly re-balance and thus there are no tax consequences.
Of course, this works because the current balance is low enough to work.
Re: Riding HEDGEFUNDIE’s excellent adventure
I did some testing starting here. Some of that may help.bgf wrote: ↑Fri Dec 03, 2021 1:18 pm so since i started this recently, i've had the urge to rebalance twice already. the first time about a week ago, and then this afternoon. i figure if i can 'bank' a few percentage points into UPRO on these unusually volatile down days where TMF is doing its job, then that 'combats' the 'volatility decay' everyone discusses. it puts me back on the 50/50 allocation which is my plan, and potentially sets me up for a better haul when/if the SP500 rebounds.
anyone else have this issue? how detrimental to the strategy could it be? i know there has been lots of backtesting and generally quarterly rebalancing is accepted, and thats my plan. guess i didn't stick with it for very long!
so far this is outperforming my benchmark VT by a few percentage points already. TMF doing its job!
My takeaway is that using fixed-duration intervals (e.g., all possible 5-yr periods) as an apples-to-apples comparison, using bands should work just fine and quarterly rebalancing should work just fine and using bands plus not-to-exceed fixed intervals (e.g., months, quarters, years) should work just fine. I think that differences between these strategies will be more due to timing luck than due to intrinsic methodology; even identical strategies down to the day but not to the minute will start to see differences simply due to timing luck during those trading days when volatility is high.
I saw some benefit to rebalancing daily, assuming adaptive allocation and no trading friction, because it allows the anticorrelation between UPRO and TMF to ratchet up returns. Trading friction is real; I don't know if the average slippage during trades overcomes the benefit from harnessing see saws, or if the stress of worrying about it is worth the additional increment of return.
I also saw little difference in average CAGR for portfolios held between 30/70 and 70/30.
So whatever strategy keeps your portfolio in the ballpark allocation is probably adequate, as long as you don't overdo things that cause slippage.
The one significant thing about periodic trading is that both monthly and quarterly trading were sensitive to the day of the month/quarter (rebalancing near the begin/end of the month/quarter tended to do better than rebalancing near the middle of the month/quarter).
Personally, I'm planning on rebalancing every six weeks in taxable (once the portfolio is so large that monthly contributions are too small rebalance) and bands of 10 to 15 percent checked weekly (maybe more often during high volatility) in Roth.
Re: Riding HEDGEFUNDIE’s excellent adventure
Great post thank you!Hydromod wrote: ↑Sat Dec 04, 2021 8:36 amI did some testing starting here. Some of that may help.bgf wrote: ↑Fri Dec 03, 2021 1:18 pm so since i started this recently, i've had the urge to rebalance twice already. the first time about a week ago, and then this afternoon. i figure if i can 'bank' a few percentage points into UPRO on these unusually volatile down days where TMF is doing its job, then that 'combats' the 'volatility decay' everyone discusses. it puts me back on the 50/50 allocation which is my plan, and potentially sets me up for a better haul when/if the SP500 rebounds.
anyone else have this issue? how detrimental to the strategy could it be? i know there has been lots of backtesting and generally quarterly rebalancing is accepted, and thats my plan. guess i didn't stick with it for very long!
so far this is outperforming my benchmark VT by a few percentage points already. TMF doing its job!
My takeaway is that using fixed-duration intervals (e.g., all possible 5-yr periods) as an apples-to-apples comparison, using bands should work just fine and quarterly rebalancing should work just fine and using bands plus not-to-exceed fixed intervals (e.g., months, quarters, years) should work just fine. I think that differences between these strategies will be more due to timing luck than due to intrinsic methodology; even identical strategies down to the day but not to the minute will start to see differences simply due to timing luck during those trading days when volatility is high.
I saw some benefit to rebalancing daily, assuming adaptive allocation and no trading friction, because it allows the anticorrelation between UPRO and TMF to ratchet up returns. Trading friction is real; I don't know if the average slippage during trades overcomes the benefit from harnessing see saws, or if the stress of worrying about it is worth the additional increment of return.
I also saw little difference in average CAGR for portfolios held between 30/70 and 70/30.
So whatever strategy keeps your portfolio in the ballpark allocation is probably adequate, as long as you don't overdo things that cause slippage.
The one significant thing about periodic trading is that both monthly and quarterly trading were sensitive to the day of the month/quarter (rebalancing near the begin/end of the month/quarter tended to do better than rebalancing near the middle of the month/quarter).
Personally, I'm planning on rebalancing every six weeks in taxable (once the portfolio is so large that monthly contributions are too small rebalance) and bands of 10 to 15 percent checked weekly (maybe more often during high volatility) in Roth.
“TE OCCIDERE POSSUNT SED TE EDERE NON POSSUNT NEFAS EST"
Re: Riding HEDGEFUNDIE’s excellent adventure
Start date: 12/30/21
Approach: Fixed allocation - 55/45 UPRO/TMF
Rebalancing frequency: Quarterly
Return (total / YTD): N/A, first day I bought
Initial contribution: $40k (less than 5% of invested assets)
Additional contributions: None -- I do have $100k in bonds that I am considering adding to the strategy if there's ever another 30%+ crash in the next few years while I'm still in the accumulation phase
Portfolio location: 401k, Fidelity
I decided to give it a try rather than waiting for a market downturn to buy. Somewhat scary buying UPRO at an all time high, but the principal of time in the market beats timing in the market convinced me to try (although that principal may not apply to these leveraged funds). At least TMF isn't at an all time high so hopefully can provide the designed insurance when the next stock market crash comes. It seems like this strategy is best in a rising market, as I'm not sure that the long term treasuries will protect enough in the next crash, but we'll see. I'm willing to speculate with a small percent of my portfolio.
I'm currently 20% bonds and considering dropping to 10% bonds and investing the remainder in this strategy if we ever have a 30%+ drop in the future when I'm still in the accumulation phase. I feel that I have more ability to take risk now that I'm 12 years into a job with a pension (currently age 45) that will pay around 40% of my salary starting age 57 if I still work there (currently I've earned 22% of my current salary, non inflation adjusted, starting at age 60 and each year is an additional 2%, if you stay until your age + years of service = 80 your pension starts when you meet that criteria instead of having to wait until 60).
Approach: Fixed allocation - 55/45 UPRO/TMF
Rebalancing frequency: Quarterly
Return (total / YTD): N/A, first day I bought
Initial contribution: $40k (less than 5% of invested assets)
Additional contributions: None -- I do have $100k in bonds that I am considering adding to the strategy if there's ever another 30%+ crash in the next few years while I'm still in the accumulation phase
Portfolio location: 401k, Fidelity
I decided to give it a try rather than waiting for a market downturn to buy. Somewhat scary buying UPRO at an all time high, but the principal of time in the market beats timing in the market convinced me to try (although that principal may not apply to these leveraged funds). At least TMF isn't at an all time high so hopefully can provide the designed insurance when the next stock market crash comes. It seems like this strategy is best in a rising market, as I'm not sure that the long term treasuries will protect enough in the next crash, but we'll see. I'm willing to speculate with a small percent of my portfolio.
I'm currently 20% bonds and considering dropping to 10% bonds and investing the remainder in this strategy if we ever have a 30%+ drop in the future when I'm still in the accumulation phase. I feel that I have more ability to take risk now that I'm 12 years into a job with a pension (currently age 45) that will pay around 40% of my salary starting age 57 if I still work there (currently I've earned 22% of my current salary, non inflation adjusted, starting at age 60 and each year is an additional 2%, if you stay until your age + years of service = 80 your pension starts when you meet that criteria instead of having to wait until 60).
Re: Riding HEDGEFUNDIE’s excellent adventure
I bought in this past April with UPRO at ATH. As soon as I jumped in, it dropped. I was down 10% within a matter of a week or so. I'm up 37% YTD now. It's always scary at the top.I decided to give it a try rather than waiting for a market downturn to buy. Somewhat scary buying UPRO at an all time high
Re: Riding HEDGEFUNDIE’s excellent adventure
A quick year end update:jarjarM wrote: ↑Thu Jul 29, 2021 7:43 pmSince the thread has been revived for a bit, my current balance on this is $308k. Current AA is 85/15, no rebalancing in the last 4 months. Let's see if there will be another 200%+ growth in the next 2 yearsjarjarM wrote: ↑Fri Apr 02, 2021 7:54 pm May as well, a bit over 2 year now in this.
Start Date: March 10, 2019
Initial investment: $100k (no additional contribution)
Initial allocation: 50/50 (UPRO/TMF) - didn't quite buy in on the 40/60 argument in the OG thread.
New allocation 1: 55/45 (UPRO/TMF) - based on 2nd thread.
Rebalance quarterly initially but switch over to TAA method
Current allocation: (84/16) - no rebalance until 10yr rate >2-2.5%
Return (total/ 1 yr) 135%/94%
Brokerage - Fidelity
March 2020 was quite brutal for this strategy but the rebound is also fast and furious. In holding pattern for rebalancing as I have substantial exposure to LTT elsewhere in my portfolio.
Current balance: $375,391
Current allocation: 85/15
Return (total / YTD): 275% / 70.5%
Still hoping to rebalance when 10yr gets to 2% or so.
Happy New Year
Re: Riding HEDGEFUNDIE’s excellent adventure
Looks like a success story so far. For comparison $100,000 of VTI bought 3/8/19 would now be worth $171,000, so quite an outperformance.jarjarM wrote: ↑Fri Dec 31, 2021 8:20 pmA quick year end update:jarjarM wrote: ↑Thu Jul 29, 2021 7:43 pmSince the thread has been revived for a bit, my current balance on this is $308k. Current AA is 85/15, no rebalancing in the last 4 months. Let's see if there will be another 200%+ growth in the next 2 yearsjarjarM wrote: ↑Fri Apr 02, 2021 7:54 pm May as well, a bit over 2 year now in this.
Start Date: March 10, 2019
Initial investment: $100k (no additional contribution)
Initial allocation: 50/50 (UPRO/TMF) - didn't quite buy in on the 40/60 argument in the OG thread.
New allocation 1: 55/45 (UPRO/TMF) - based on 2nd thread.
Rebalance quarterly initially but switch over to TAA method
Current allocation: (84/16) - no rebalance until 10yr rate >2-2.5%
Return (total/ 1 yr) 135%/94%
Brokerage - Fidelity
March 2020 was quite brutal for this strategy but the rebound is also fast and furious. In holding pattern for rebalancing as I have substantial exposure to LTT elsewhere in my portfolio.
Current balance: $375,391
Current allocation: 85/15
Return (total / YTD): 275% / 70.5%
Still hoping to rebalance when 10yr gets to 2% or so.
Happy New Year
Re: Riding HEDGEFUNDIE’s excellent adventure
My December 2021 strategy report:
Strategy Net-Liquidating value:
Strategy Net-Liq vs SPY:
The entire report can be found here.
Happy New Year everyone!
Strategy Net-Liquidating value:
Strategy Net-Liq vs SPY:
The entire report can be found here.
Happy New Year everyone!
Re: Riding HEDGEFUNDIE’s excellent adventure
Start Date: June 2020 (approx: allocated over ~3 months)
Initial investment: 164k
Initial allocation: 40% TQQQ, 27% UPRO, 37% TMF
Current balance: 410k
Current allocation: 63% TQQQ, 25% UPRO, 12% muni bonds - sold all TMF in Nov 2020 at a 13% loss. Plan to increase when yields rise.
No rebalancing in 2021, previously monthly
Return (total 19 months / 1 yr): 250% / 68%
Initial investment: 164k
Initial allocation: 40% TQQQ, 27% UPRO, 37% TMF
Current balance: 410k
Current allocation: 63% TQQQ, 25% UPRO, 12% muni bonds - sold all TMF in Nov 2020 at a 13% loss. Plan to increase when yields rise.
No rebalancing in 2021, previously monthly
Return (total 19 months / 1 yr): 250% / 68%
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Re: Riding HEDGEFUNDIE’s excellent adventure
Start date: 9/28/20
Approach: Fixed allocation - 35/35/30 UPRO/TQQQ/TMF (drifted to 36/37/27 before this latest rebalance)
Rebalancing frequency: Quarterly
Return (total / YTD): + 80.8% / 52.1%
Contributions: $48k initial + $15k incremental (total is ~10% of invested assets)
Portfolio location: Taxable, M1Finance
Approach: Fixed allocation - 35/35/30 UPRO/TQQQ/TMF (drifted to 36/37/27 before this latest rebalance)
Rebalancing frequency: Quarterly
Return (total / YTD): + 80.8% / 52.1%
Contributions: $48k initial + $15k incremental (total is ~10% of invested assets)
Portfolio location: Taxable, M1Finance
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Re: Riding HEDGEFUNDIE’s excellent adventure
Do you have a reference, or data points?chrisdds98 wrote: ↑Wed Aug 04, 2021 2:14 pmrebalancing bands have reduced total returns in the past by a few points.Fonfo wrote: ↑Wed Aug 04, 2021 1:24 pmI keep asking myself if apart from the quarterly rebalance, does it make sense also rebalancing when you portfolio shifts over a certain threshold like it would be the case in a crash? Or you just better stick with the planned quarterly rebalances?jarjarM wrote: ↑Wed Aug 04, 2021 1:15 pm+1 on the bolded statement, it's very important to establish your risk tolerance level beforehand. Individual component of this strategy has high volatility, especially during time of crisis. It's critical determine what your course action will be because watching the $100k you just put in after a 50% drawdown going down another 20-30% (that happened in covid bear market) is going to be tough. Best to follow quarterly rebalance schedule if one start to have doubt about catching a falling knife.rchmx1 wrote: ↑Wed Aug 04, 2021 11:09 amIt's not about smarts, it's about risk assessment. Taking your approach is just making a bet. So ultimately it's just a matter of, in that moment, do you decide to take that bet. To relate an anecdote from the COVID "crash" which has no bearing on anything since past market movements say nothing about what will happen in the future, UPRO was trading around $80 in early Feb. When things started to crash after the 19th, someone who waited a while and bought a bunch at $40 would have been really stressed as it continued to drop to $20. But now UPRO is trading at $120+. So was that a bad bet just because they didn't capture the absolute bottom? Having the expectation that you'll consistently/reliably be able to recognize the bottom is a ridiculous ask imo.tabby123 wrote: ↑Wed Aug 04, 2021 8:34 am
This made me wonder. I don't keep much cash on hand, I pretty quickly invest whatever extra cash I have. In the event of a market crash, would it make sense to sell non-leveraged assets in my main taxable portfolio, realize a loss, and move that money over to my HFEA portfolio? Or is the risk that I time the crash wrong, and the market drops even more, enough reason not even to try this? Posing the question to folks smarter than me.
My personal feeling is that it is worth at least considering taking such bets in the moment, as long as you know you won't panic sell if it keeps dropping in the short term.
Re: Riding HEDGEFUNDIE’s excellent adventure
Hi,Fonfo wrote: ↑Thu Aug 05, 2021 7:38 amTQQQ IE00BLRPRL42kongle wrote: ↑Thu Aug 05, 2021 3:01 amWhat are the European alternatives that you are using?Fonfo wrote: ↑Wed Aug 04, 2021 8:06 am Hi! Just joined to the party.
Start date: 31/07/21
Approach: Fixed allocation - 15/25/60 TQQQ/UPRO/TYD (European alternatives)
Rebalancing frequency: Quarterly
Return (total / YTD): just started
Initial contribution: $10k (~10% of invested assets)
Additional contributions: $1,500 / month, upon an eventual crash, I will contribute with up to 30k more.
Portfolio location: Taxable, trade republic.
UPRO IE00B7Y34M31
TYD IE00BKT09032
Cheers
I am also in Europe and interested in this strategy. Would you be willing to post some returns?
Best
Re: Riding HEDGEFUNDIE’s excellent adventure
Year-End Update
Allocation: 65% UPRO/35% TMF
Initial Contribution: 39K (June of 2019 I think)
Current Balance: 133K
Allocation: 65% UPRO/35% TMF
Initial Contribution: 39K (June of 2019 I think)
Current Balance: 133K
Re: Riding HEDGEFUNDIE’s excellent adventure
Target allocation: 50/10/40 UPRO/TQQQ/TMF
Initial investment: $9k (today)
Account: Roth
What's the recommendation for bi-weekly contributions? Allocate them according to target allocation, or rebalance the portfolio to target? I.e. buy 50/10/40 UPRO/TQQQ/TMF just with the new money, or make the whole portfolio rebalance to that?
Initial investment: $9k (today)
Account: Roth
What's the recommendation for bi-weekly contributions? Allocate them according to target allocation, or rebalance the portfolio to target? I.e. buy 50/10/40 UPRO/TQQQ/TMF just with the new money, or make the whole portfolio rebalance to that?
Re: Riding HEDGEFUNDIE’s excellent adventure
Use the new money to keep the allocation as close as possible to the desired allocation. This will minimize the normal rebalance, although after a year or two the portfolio will be too large for a single contribution to affect the allocation much.viajero wrote: ↑Tue Jan 04, 2022 10:35 am Target allocation: 50/10/40 UPRO/TQQQ/TMF
Initial investment: $9k (today)
Account: Roth
What's the recommendation for bi-weekly contributions? Allocate them according to target allocation, or rebalance the portfolio to target? I.e. buy 50/10/40 UPRO/TQQQ/TMF just with the new money, or make the whole portfolio rebalance to that?
Re: Riding HEDGEFUNDIE’s excellent adventure
Start date: 02/27/19
Approach: Fixed allocation: 02/27/19 — 10/01/19: 40/60 UPRO/TMF
10/01/19 — 02/10/20: 55/45 UPRO/TMF
02/11/20 — 12/31/20: 30/25/45 UPRO/TQQQ/TMF
01/01/21 — present: 30/30/40 UPRO/TQQQ/TMF
Rebalancing frequency: Quarterly (actual rebalances 10/1/19; 2/11/20; 4/6/20; 7/1/20; 10/1/20; 1/6/21; 3/31/21; 7/1/21; 9/30/21; 1/3/22)
Return (Total / CAGR): 167.7% / 56.9%
Initial contribution: $10,000 (~5% of invested assets) 2/27/19
Additional contributions: $28,495 added 2/11/20
Current value: $103,039
HFEA weight of total portfolio: 18%
Portfolio location: Roth IRA with E*Trade
Approach: Fixed allocation: 02/27/19 — 10/01/19: 40/60 UPRO/TMF
10/01/19 — 02/10/20: 55/45 UPRO/TMF
02/11/20 — 12/31/20: 30/25/45 UPRO/TQQQ/TMF
01/01/21 — present: 30/30/40 UPRO/TQQQ/TMF
Rebalancing frequency: Quarterly (actual rebalances 10/1/19; 2/11/20; 4/6/20; 7/1/20; 10/1/20; 1/6/21; 3/31/21; 7/1/21; 9/30/21; 1/3/22)
Return (Total / CAGR): 167.7% / 56.9%
Initial contribution: $10,000 (~5% of invested assets) 2/27/19
Additional contributions: $28,495 added 2/11/20
Current value: $103,039
HFEA weight of total portfolio: 18%
Portfolio location: Roth IRA with E*Trade
Re: Riding HEDGEFUNDIE’s excellent adventure
But do we want to minimize the normal rebalance? As the quarterly period has proven to be optimal, that would cancel some of its benefits.
Any in-between contributions should be divided exactly as the actual allocation at the time of the contribution, in order not to affect our ratio before the quarterly rebalance, no?
Last edited by AlinMC on Tue Jan 04, 2022 4:02 pm, edited 1 time in total.
Re: Riding HEDGEFUNDIE’s excellent adventure
When I did backtesting using UPROSIM and TMFSIM, I found little difference in average returns over moving periods between weekly, monthly, and quarterly rebalances starting on every possible day within the first quarter. There was a wider spread in returns for quarterly, as might be expected, and the quarterly returns were pretty strongly dependent on which day of the quarter rebalancing occurred on. Further, there were a few events that strongly affected returns simply due to timing luck (i.e., with the same strategy but offset by several days). For example, the 1987 flash crash generated quite different returns based on whether one rebalanced before or after the crash.AlinMC wrote: ↑Tue Jan 04, 2022 4:00 pmBut do we want to minimize the normal rebalance? As the quarterly period has proven to be optimal, that would cancel some of its benefits.
Any in-between contributions should be divided exactly as the actual allocation at the time of the contribution, in order not to affect our ratio before the quarterly rebalance, no?
Rebalancing more frequently tended to reduce the effect of timing luck.
The quarterly rebalance is optimal in the sense that it's the longest period with relatively stable high returns (assuming the turn of quarter rebalance). This tends to reduce slippage during rebalancing, which I didn't model. However, more frequent rebalancing would have some benefits (without slippage).
I basically concluded that it wasn't really worth worrying too much about the rebalancing timing strategy within a fairly broad range, other than using the turn of the month/quarter as historically somewhat better rebalancing days, because timing luck is a larger influence within this range.
So my conclusion is that adding money to rebalance won't hurt returns and will reduce timing luck.
But again, it's really only the first year or so that it will make any difference. If one wants to set and forget on contributions, it should be fine to just add at the desired allocation. Or M1 will automatically bump underweight values. The nice thing is that the strategy is pretty resilient to such implementation details.
Re: Riding HEDGEFUNDIE’s excellent adventure
+1, my backtesting take as well using non-leveraged data. With longer data sets it doesn't seem to make a huge difference, and where it does, it is probably due to a large event where being on the right or wrong side of the event makes a substantive difference (also known as random luck).Hydromod wrote: ↑Wed Jan 05, 2022 8:09 am When I did backtesting using UPROSIM and TMFSIM, I found little difference in average returns over moving periods between weekly, monthly, and quarterly rebalances starting on every possible day within the first quarter. There was a wider spread in returns for quarterly, as might be expected, and the quarterly returns were pretty strongly dependent on which day of the quarter rebalancing occurred on. Further, there were a few events that strongly affected returns simply due to timing luck (i.e., with the same strategy but offset by several days). For example, the 1987 flash crash generated quite different returns based on whether one rebalanced before or after the crash.
Rebalancing more frequently tended to reduce the effect of timing luck.
The quarterly rebalance is optimal in the sense that it's the longest period with relatively stable high returns (assuming the turn of quarter rebalance). This tends to reduce slippage during rebalancing, which I didn't model. However, more frequent rebalancing would have some benefits (without slippage).
I basically concluded that it wasn't really worth worrying too much about the rebalancing timing strategy within a fairly broad range, other than using the turn of the month/quarter as historically somewhat better rebalancing days, because timing luck is a larger influence within this range.
So my conclusion is that adding money to rebalance won't hurt returns and will reduce timing luck.
But again, it's really only the first year or so that it will make any difference. If one wants to set and forget on contributions, it should be fine to just add at the desired allocation. Or M1 will automatically bump underweight values. The nice thing is that the strategy is pretty resilient to such implementation details.
One characteristic I haven't seen though that is clearly in leveraged data is that in severe bear markets (e.g. 30%+ to the downside) or longer term bear markets it is much better to have infrequent rebalances. (Which is really another way of saying...all this stuff is path dependent so take it with a huge grain of salt.)
At the end of the day, this whole thing is a bet on low or negative correlation. If that doesn't hold at some point unpleasantness will be the result.
Re: Riding HEDGEFUNDIE’s excellent adventure
So both of us took the route of no rebalance back into TMF. So when will you get back in? I'm still trying to see 10yr around 2% first.Semantics wrote: ↑Sat Jan 01, 2022 2:44 pm Start Date: June 2020 (approx: allocated over ~3 months)
Initial investment: 164k
Initial allocation: 40% TQQQ, 27% UPRO, 37% TMF
Current balance: 410k
Current allocation: 63% TQQQ, 25% UPRO, 12% muni bonds - sold all TMF in Nov 2020 at a 13% loss. Plan to increase when yields rise.
No rebalancing in 2021, previously monthly
Return (total 19 months / 1 yr): 250% / 68%
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Re: Riding HEDGEFUNDIE’s excellent adventure
I jumped in!
Start Date: January 6, 2022
Initial Investment: 3k
Initial Allocation: 55% UPRO 45% TMF
Portfolio Location: M1 Roth IRA
Rebalancing Period: Quarterly
Start Date: January 6, 2022
Initial Investment: 3k
Initial Allocation: 55% UPRO 45% TMF
Portfolio Location: M1 Roth IRA
Rebalancing Period: Quarterly
Last edited by monstermachine on Thu Jan 06, 2022 10:18 pm, edited 1 time in total.
Re: Riding HEDGEFUNDIE’s excellent adventure
Almost all gains in the HFEA account are gone in a few days as TMF gets hammered. Down -8.48% (the account is still up by about 1% though, this drawdown only erased my previous month's gains). But I decided to test this strategy and sit tight until my next rebalancing period.Martzee wrote: ↑Sat Jan 01, 2022 2:22 pm My December 2021 strategy report:
Strategy Net-Liquidating value:
Strategy Net-Liq vs. SPY:
The entire report can be found here.
Happy New Year, everyone!
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- Joined: Tue May 19, 2015 9:55 pm
- Location: Austin, TX
Re: Riding HEDGEFUNDIE’s excellent adventure
Do you have a reference, or data points?comeinvest wrote: ↑Tue Jan 04, 2022 12:52 amrebalancing bands have reduced total returns in the past by a few points.chrisdds98 wrote: ↑Wed Aug 04, 2021 2:14 pmI keep asking myself if apart from the quarterly rebalance, does it make sense also rebalancing when you portfolio shifts over a certain threshold like it would be the case in a crash? Or you just better stick with the planned quarterly rebalances?
[/quote]
just playing with portfolio vizualizer. it wasn't a huge difference but I think HF picked quarterly rebalance because the return was better. its probably in the early part of the thread
Re: Riding HEDGEFUNDIE’s excellent adventure
Just imagine buying/rebalancing into TMF around summer 2020 when it was mid $40s-$50! This is definitely a strategy worth committing for more than a quarter or two. Engaging with such volatile assets, you need a sufficiently long period of time for things to smooth out upwardly in your favor.Martzee wrote: ↑Fri Jan 07, 2022 8:44 pm
Almost all gains in the HFEA account are gone in a few days as TMF gets hammered. Down -8.48% (the account is still up by about 1% though, this drawdown only erased my previous month's gains). But I decided to test this strategy and sit tight until my next rebalancing period.
Re: Riding HEDGEFUNDIE’s excellent adventure
rchmx1 wrote: ↑Sat Jan 08, 2022 9:10 pmJust imagine buying/rebalancing into TMF around summer 2020 when it was mid $40s-$50! This is definitely a strategy worth committing for more than a quarter or two. Engaging with such volatile assets, you need a sufficiently long period of time for things to smooth out upwardly in your favor.Martzee wrote: ↑Fri Jan 07, 2022 8:44 pm
Almost all gains in the HFEA account are gone in a few days as TMF gets hammered. Down -8.48% (the account is still up by about 1% though, this drawdown only erased my previous month's gains). But I decided to test this strategy and sit tight until my next rebalancing period.
I was just wondering whether to go "naked", meaning be in SPXL or UPRO only, and not be buying TMF at all.
Re: Riding HEDGEFUNDIE’s excellent adventure
Also, this is nothing, TMF is at $24.93 right now. It got down to $21 last March (from a higher starting point).rchmx1 wrote: ↑Sat Jan 08, 2022 9:10 pmJust imagine buying/rebalancing into TMF around summer 2020 when it was mid $40s-$50! This is definitely a strategy worth committing for more than a quarter or two. Engaging with such volatile assets, you need a sufficiently long period of time for things to smooth out upwardly in your favor.Martzee wrote: ↑Fri Jan 07, 2022 8:44 pm
Almost all gains in the HFEA account are gone in a few days as TMF gets hammered. Down -8.48% (the account is still up by about 1% though, this drawdown only erased my previous month's gains). But I decided to test this strategy and sit tight until my next rebalancing period.
Re: Riding HEDGEFUNDIE’s excellent adventure
This. Do. Not. Rebalance. Frequently. Do it quarterly, that showed the best performance in the originally analysis.456M wrote: ↑Fri Dec 03, 2021 6:41 pmIf I remember correctly I think there was some backtesting done somewhere in one of the two original HFEA threads and narrow rebalancing bands were not optimum, as it was better to let the winner ride before rebalancing (in this case, TMF). You can backtest it out yourself and compare it with quarterly rebalancing.bgf wrote: ↑Fri Dec 03, 2021 6:00 pmagain, i dont think this is a fair characterization of what i did. i didn't do it because i was afraid. i didn't do it because my risk isn't properly set. all i did was rebalance back to my original target allocation.DMoogle wrote: ↑Fri Dec 03, 2021 5:14 pm I didn't mean rebalancing is bad. I meant that rebalancing because you "feel the urge to" isn't healthy. In general, messing with your investments in a reactionary way due to market swings means you probably weren't managing your risk well in the first place.
what i was hoping to find was whether rebalancing in this manner had any negative effects that i didn't otherwise understand. so far, no one has brought any up.
In any case since your fixation (?) (Sorry English is not my first language and I can't think of a better term) is returning to original target allocation, the original target allocation is optimum under the assumption the market in the long term would be going up is it not? Is it also optimum if the market happens to be going down?
You need to let momentum do it’s job.
Re: Riding HEDGEFUNDIE’s excellent adventure
Long term it's extremely risky. You'll encounter too many sideways and bear markets where UPRO et al will get absolutely chewed up. For short periods of time, you're just making a bet. I made that bet end of summer 2020, sold nearly all my TMF and went all in (with this portion of my portfolio) on UPRO and TQQQ. It worked out, but it just as easily could have been the exact wrong choice.Martzee wrote: ↑Sat Jan 08, 2022 9:23 pmrchmx1 wrote: ↑Sat Jan 08, 2022 9:10 pmJust imagine buying/rebalancing into TMF around summer 2020 when it was mid $40s-$50! This is definitely a strategy worth committing for more than a quarter or two. Engaging with such volatile assets, you need a sufficiently long period of time for things to smooth out upwardly in your favor.Martzee wrote: ↑Fri Jan 07, 2022 8:44 pm
Almost all gains in the HFEA account are gone in a few days as TMF gets hammered. Down -8.48% (the account is still up by about 1% though, this drawdown only erased my previous month's gains). But I decided to test this strategy and sit tight until my next rebalancing period.
I was just wondering whether to go "naked", meaning be in SPXL or UPRO only, and not be buying TMF at all.
Re: Riding HEDGEFUNDIE’s excellent adventure
I would encourage anyone who wants to examine this with actual data to pay a visit to the HFEA part II thread. There is nuance to this, and dogmatic statements about quarterly rebalancing should be backed up by an actual analysis of the data: viewtopic.php?f=10&t=288192&start=11050mrspock wrote: ↑Sat Jan 08, 2022 11:23 pmThis. Do. Not. Rebalance. Frequently. Do it quarterly, that showed the best performance in the originally analysis.456M wrote: ↑Fri Dec 03, 2021 6:41 pmIf I remember correctly I think there was some backtesting done somewhere in one of the two original HFEA threads and narrow rebalancing bands were not optimum, as it was better to let the winner ride before rebalancing (in this case, TMF). You can backtest it out yourself and compare it with quarterly rebalancing.bgf wrote: ↑Fri Dec 03, 2021 6:00 pmagain, i dont think this is a fair characterization of what i did. i didn't do it because i was afraid. i didn't do it because my risk isn't properly set. all i did was rebalance back to my original target allocation.DMoogle wrote: ↑Fri Dec 03, 2021 5:14 pm I didn't mean rebalancing is bad. I meant that rebalancing because you "feel the urge to" isn't healthy. In general, messing with your investments in a reactionary way due to market swings means you probably weren't managing your risk well in the first place.
what i was hoping to find was whether rebalancing in this manner had any negative effects that i didn't otherwise understand. so far, no one has brought any up.
In any case since your fixation (?) (Sorry English is not my first language and I can't think of a better term) is returning to original target allocation, the original target allocation is optimum under the assumption the market in the long term would be going up is it not? Is it also optimum if the market happens to be going down?
You need to let momentum do it’s job.
Re: Riding HEDGEFUNDIE’s excellent adventure
My statement is based on that thread. I’m not here to spoon feed people information when they should be doing their own DD reading the old threads. Nor is this some research publication where I’m obligated to reference every assertion, I was kind enough to advise folks to avoid blowing themselves up. The data was clear then, and it’s clear now (play with portfolio viz using the sim datasets).akxc wrote: ↑Sun Jan 09, 2022 7:43 pmI would encourage anyone who wants to examine this with actual data to pay a visit to the HFEA part II thread. There is nuance to this, and dogmatic statements about quarterly rebalancing should be backed up by an actual analysis of the data: viewtopic.php?f=10&t=288192&start=11050mrspock wrote: ↑Sat Jan 08, 2022 11:23 pmThis. Do. Not. Rebalance. Frequently. Do it quarterly, that showed the best performance in the originally analysis.456M wrote: ↑Fri Dec 03, 2021 6:41 pmIf I remember correctly I think there was some backtesting done somewhere in one of the two original HFEA threads and narrow rebalancing bands were not optimum, as it was better to let the winner ride before rebalancing (in this case, TMF). You can backtest it out yourself and compare it with quarterly rebalancing.bgf wrote: ↑Fri Dec 03, 2021 6:00 pmagain, i dont think this is a fair characterization of what i did. i didn't do it because i was afraid. i didn't do it because my risk isn't properly set. all i did was rebalance back to my original target allocation.DMoogle wrote: ↑Fri Dec 03, 2021 5:14 pm I didn't mean rebalancing is bad. I meant that rebalancing because you "feel the urge to" isn't healthy. In general, messing with your investments in a reactionary way due to market swings means you probably weren't managing your risk well in the first place.
what i was hoping to find was whether rebalancing in this manner had any negative effects that i didn't otherwise understand. so far, no one has brought any up.
In any case since your fixation (?) (Sorry English is not my first language and I can't think of a better term) is returning to original target allocation, the original target allocation is optimum under the assumption the market in the long term would be going up is it not? Is it also optimum if the market happens to be going down?
You need to let momentum do it’s job.
Also, I’ve been in this since Feb 2019, so I have some degree of experience here. I’m running a Roth based 6 figure position of this… soon to be 7 in the next few years. 55/45 UPRO/TMF with quarterly rebalancing. CAGR in the mid 30s. It’s going so well, I’m fully expecting an IRS audit, as I suspect they will wonder how I grew my Roth to the level it’s at.
What baffles me… is people look at a CAGR like 18% (per the backtests), and still go “nahhhhh…. I can do better!” Humans just can’t seem to get out of their own way sometimes…. Go figure.
Re: Riding HEDGEFUNDIE’s excellent adventure
mrspock wrote: ↑Sun Jan 09, 2022 9:29 pmMy statement is based on that thread. I’m not here to spoon feed people information when they should be doing their own DD reading the old threads. Nor is this some research publication where I’m obligated to reference every assertion, I was kind enough to advise folks to avoid blowing themselves up. The data was clear then, and it’s clear now (play with portfolio viz using the sim datasets).akxc wrote: ↑Sun Jan 09, 2022 7:43 pmI would encourage anyone who wants to examine this with actual data to pay a visit to the HFEA part II thread. There is nuance to this, and dogmatic statements about quarterly rebalancing should be backed up by an actual analysis of the data: viewtopic.php?f=10&t=288192&start=11050mrspock wrote: ↑Sat Jan 08, 2022 11:23 pmThis. Do. Not. Rebalance. Frequently. Do it quarterly, that showed the best performance in the originally analysis.456M wrote: ↑Fri Dec 03, 2021 6:41 pmIf I remember correctly I think there was some backtesting done somewhere in one of the two original HFEA threads and narrow rebalancing bands were not optimum, as it was better to let the winner ride before rebalancing (in this case, TMF). You can backtest it out yourself and compare it with quarterly rebalancing.bgf wrote: ↑Fri Dec 03, 2021 6:00 pm
again, i dont think this is a fair characterization of what i did. i didn't do it because i was afraid. i didn't do it because my risk isn't properly set. all i did was rebalance back to my original target allocation.
what i was hoping to find was whether rebalancing in this manner had any negative effects that i didn't otherwise understand. so far, no one has brought any up.
In any case since your fixation (?) (Sorry English is not my first language and I can't think of a better term) is returning to original target allocation, the original target allocation is optimum under the assumption the market in the long term would be going up is it not? Is it also optimum if the market happens to be going down?
You need to let momentum do it’s job.
Also, I’ve been in this since Feb 2019, so I have some degree of experience here. I’m running a Roth based 6 figure position of this… soon to be 7 in the next few years. 55/45 UPRO/TMF with quarterly rebalancing. CAGR in the mid 30s. It’s going so well, I’m fully expecting an IRS audit, as I suspect they will wonder how I grew my Roth to the level it’s at.
What baffles me… is people look at a CAGR like 18% (per the backtests), and still go “nahhhhh…. I can do better!” Humans just can’t seem to get out of their own way sometimes…. Go figure.
I decided to up my contribution to $100k in total after reading and thinking about it some more rather than saving in reserve for a crash. I'm crossing my fingers that I have similar success as you -- if I can get to $300k sounds like at that point you'll be at a million. Good luck, I'm still afraid that it will blow up and crash somehow but time in the market beats timing the market, right?
Re: Riding HEDGEFUNDIE’s excellent adventure
Nice, that's great that you've had a successful time with the strategy. Due to the intricacies of LEFTs, I think there is a lot of value in looking at actual day to day data of leveraged strategies and not just using the limited data/analysis available in portfolio visualizer. In this case, when you look at day to day data, you will find there is a lot more nuance to the discussion of rebalancing. The goal of modeling/simulating and better understanding strategies like this is not just to find a marginally higher CAGR. There's also plenty more you can learn about how the strategy works that can perhaps be beneficial to our understanding of financial risk/return or that could potentially be applied to other strategies.mrspock wrote: ↑Sun Jan 09, 2022 9:29 pm My statement is based on that thread. I’m not here to spoon feed people information when they should be doing their own DD reading the old threads. Nor is this some research publication where I’m obligated to reference every assertion, I was kind enough to advise folks to avoid blowing themselves up. The data was clear then, and it’s clear now (play with portfolio viz using the sim datasets).
Also, I’ve been in this since Feb 2019, so I have some degree of experience here. I’m running a Roth based 6 figure position of this… soon to be 7 in the next few years. 55/45 UPRO/TMF with quarterly rebalancing. CAGR in the mid 30s. It’s going so well, I’m fully expecting an IRS audit, as I suspect they will wonder how I grew my Roth to the level it’s at.
What baffles me… is people look at a CAGR like 18% (per the backtests), and still go “nahhhhh…. I can do better!” Humans just can’t seem to get out of their own way sometimes…. Go figure.
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Re: Riding HEDGEFUNDIE’s excellent adventure
Start date: 09/20/2021
Approach: Fixed allocation - UPRO/TQQQ/TMF/TYD in 45/13/15/27 ratio
Rebalancing frequency: Quarterly (first minor rebalance in early Jan)
Return (total / YTD): +0.45 % total as of today
Initial contribution: $75k
Additional contributions: None, not planning to add
Portfolio location: M1, Roth
Benchmark: VOO (value would have been $80.5K or +7.4%)
My HFEA alpha: -7.0%
Approach: Fixed allocation - UPRO/TQQQ/TMF/TYD in 45/13/15/27 ratio
Rebalancing frequency: Quarterly (first minor rebalance in early Jan)
Return (total / YTD): +0.45 % total as of today
Initial contribution: $75k
Additional contributions: None, not planning to add
Portfolio location: M1, Roth
Benchmark: VOO (value would have been $80.5K or +7.4%)
My HFEA alpha: -7.0%
Re: Riding HEDGEFUNDIE’s excellent adventure
I treat investing as a business. That is why I started an LLC to invest and trade as a business (it also has tax benefits) and manage my own and our partners' money.
In our trading business, I started three accounts with different trading approaches - the main account with investing into dividend stocks and trading options against these positions, SPX put credits strategy account and HFEA account.
Every month I report the results of the HFEA account. Since January is over, here is the report for the HFEA account and its performance compared to SPY:
https://hellosuckers.net/hfea-january-2 ... gy-report/
The HFEA lost ground amidst the selloff. Our HFEA strategy lost -14.73% in January 2022 while the entire market lost -6.95%.
Start date: 11/27/21
Approach: Variable allocation* – 45%/55% SPXL/TMF
Rebalancing frequency: Quarterly
Return (total / YTD): -6.87%/-6.87%
Initial contribution: 15% of portfolio Net-Liq (~ $15k)
In our trading business, I started three accounts with different trading approaches - the main account with investing into dividend stocks and trading options against these positions, SPX put credits strategy account and HFEA account.
Every month I report the results of the HFEA account. Since January is over, here is the report for the HFEA account and its performance compared to SPY:
https://hellosuckers.net/hfea-january-2 ... gy-report/
The HFEA lost ground amidst the selloff. Our HFEA strategy lost -14.73% in January 2022 while the entire market lost -6.95%.
Start date: 11/27/21
Approach: Variable allocation* – 45%/55% SPXL/TMF
Rebalancing frequency: Quarterly
Return (total / YTD): -6.87%/-6.87%
Initial contribution: 15% of portfolio Net-Liq (~ $15k)
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- Joined: Sun Sep 12, 2021 4:23 am
Re: Riding HEDGEFUNDIE’s excellent adventure
January is not over yetMartzee wrote: ↑Sat Jan 29, 2022 3:52 pm I treat investing as a business. That is why I started an LLC to invest and trade as a business (it also has tax benefits) and manage my own and our partners' money.
In our trading business, I started three accounts with different trading approaches - the main account with investing into dividend stocks and trading options against these positions, SPX put credits strategy account and HFEA account.
Every month I report the results of the HFEA account. Since January is over, here is the report for the HFEA account and its performance compared to SPY:
https://hellosuckers.net/hfea-january-2 ... gy-report/
The HFEA lost ground amidst the selloff. Our HFEA strategy lost -14.73% in January 2022 while the entire market lost -6.95%.
Start date: 11/27/21
Approach: Variable allocation* – 45%/55% SPXL/TMF
Rebalancing frequency: Quarterly
Return (total / YTD): -6.87%/-6.87%
Initial contribution: 15% of portfolio Net-Liq (~ $15k)
Re: Riding HEDGEFUNDIE’s excellent adventure
I know this is a bit off-topic, I get treating it like a business, but what tax benefits are there?
EDIT: did some research on my own, and this is what I've learned. There is none. *IF* You go through the hassle of being a professional trader, then you can count ALL your losses and not just the $3k/yr on your personal return. I'm not sure that's really buying you much, since you have to lose money to do it. Sure you can manufacture some losses via TLH, but seems like a lot of hassle.
Whether rich or poor, a young woman should know how a bank account works, understand the composition of mortgages and bonds, and know the value of interest and how it accumulates. -Hetty Green
Re: Riding HEDGEFUNDIE’s excellent adventure
How does liability for leverage obtained through unsecured loans differ between those underwritten for an LLC and those underwritten for an individual? Does bankruptcy have different consequences in either case?zie wrote: ↑Sat Jan 29, 2022 7:15 pmI know this is a bit off-topic, I get treating it like a business, but what tax benefits are there?
EDIT: did some research on my own, and this is what I've learned. There is none. *IF* You go through the hassle of being a professional trader, then you can count ALL your losses and not just the $3k/yr on your personal return. I'm not sure that's really buying you much, since you have to lose money to do it. Sure you can manufacture some losses via TLH, but seems like a lot of hassle.