Search found 58 matches

by atrchi
Sat Apr 17, 2021 5:32 pm
Forum: Variable Portfolio Discussion
Topic: ways to profit from bitcoin crash
Replies: 3
Views: 1848

ways to profit from bitcoin crash

Looking to start a discussion on the different ways to bet against bitcoin's continued increase in "value." The actual bear case is outside the scope of this thread. Here are a few that I know about so far: BITI - Inverse ETF based in Canada Shorting(*) Bitcoin Futures on the CBOE and CME Shorting(*...
by atrchi
Sat Jul 11, 2020 9:43 pm
Forum: Variable Portfolio Discussion
Topic: split-strike synthetic PP portfolio?
Replies: 2
Views: 1941

Re: split-strike synthetic PP portfolio?

Also, since 1987...do you think the smirk is actually irrational? I think it's highly rational. 1987 is pretty much the year I started investing and nothing in my life suggests it is not. Asian Contagion, Tech Bubble, Real Estate Bubble, COVID...and some lesser ones in between that were not as bad ...
by atrchi
Sat May 30, 2020 1:23 pm
Forum: Variable Portfolio Discussion
Topic: split-strike synthetic PP portfolio?
Replies: 2
Views: 1941

split-strike synthetic PP portfolio?

Has anybody ever tried to run or backtest a PP portfolio modified to hold synthetic split-strikes instead of ETFs? No I'm not talking about Bernie Madoff's split-strikes fraudulent fund. A split-strike synthetic is where you sell an out-of-the-money PUT Option to finance the purchase of an out-of-th...
by atrchi
Sat Mar 14, 2020 4:09 pm
Forum: Variable Portfolio Discussion
Topic: Can you beat the risk/return profile of a 60/40 stock/bond portfolio, using stock options instead of bonds?
Replies: 2
Views: 2520

Re: Can you beat the risk/return profile of a 60/40 stock/bond portfolio, using stock options instead of bonds?

Noob here. Isn't the risk/return hard to evaluate if you don't know the chance of counterparty risk? Let's make some assumptions and simplifications in order to move the discussion forward: - Assume U.S. will not default on U.S. treasuries during the horizon of this analysis - Assume markets remain...
by atrchi
Sat Feb 01, 2020 6:51 pm
Forum: Variable Portfolio Discussion
Topic: Can you beat the risk/return profile of a 60/40 stock/bond portfolio, using stock options instead of bonds?
Replies: 2
Views: 2520

Can you beat the risk/return profile of a 60/40 stock/bond portfolio, using stock options instead of bonds?

Assume for simplicity of discussion, that we'll use the SPY ETF for "stocks" and TLT ETF for "bonds." Can you beat the risk/return profile of a 60% SPY, 40% TLT portfolio, by using only SPY and Options on the SPY ? Here's my reasoning: - In a 60/40 portfolio, you're giving up 40% of your gains in a ...
by atrchi
Sat Mar 10, 2018 12:41 pm
Forum: Bonds
Topic: bond principal goes up as it approaches maturity?
Replies: 0
Views: 3039

bond principal goes up as it approaches maturity?

For this discussion, assume a normal yield curve and stable interest rates, and ignore transaction costs. Today a 3-year treasury note has an offer yield of 2.5% while a 1-year t-bill has an offer yield of 2%. In 2 years, a 3-year note bought today will have only 1 year left to maturity, and given a...
by atrchi
Thu Feb 22, 2018 3:26 pm
Forum: Variable Portfolio Discussion
Topic: data folks... drawdown measured in days?
Replies: 3
Views: 3396

Re: data folks... drawdown measured in days?

portfolio charts shows "Years To Recover" which is useful if you're trying to gain an intuitive grasp for the risk of having to cash out at depressed prices due to a financial commitment at a known future date. However I would really like to see "Years of Gains Undone" as I believe that could provid...
by atrchi
Thu Feb 15, 2018 8:44 pm
Forum: Variable Portfolio Discussion
Topic: data folks... drawdown measured in days?
Replies: 3
Views: 3396

data folks... drawdown measured in days?

When analyzing portfolios, the concept of "Drawdown" is often used, and expressed as a percentage. I was wondering if anybody has data on drawdowns measured in Days? e.g. on Feb 09 2018, the S&P 500 experienced an intraday low of 2533, from a Jan 26 high of 2873: that's a drawdown of ~12%. But looki...
by atrchi
Thu Jan 14, 2016 9:24 am
Forum: Variable Portfolio Discussion
Topic: study of 90-10 portfolios
Replies: 13
Views: 8873

study of 90-10 portfolios

Suppose you were going to build a portfolio which is 90% bonds, and 10% "full discretion" i.e. any asset class.

What kind of bond would you use for the 90% and what holdings would you use for the other 10%? And why?

Purely for academic study - Not Financial Advice.
by atrchi
Fri May 22, 2015 6:29 pm
Forum: Variable Portfolio Discussion
Topic: VXUP / VXDN
Replies: 3
Views: 3468

VXUP / VXDN

Finally VIX ETFs with no exposure to futures roll, contango, & backwardation:
http://finance.yahoo.com/news/accushare ... 54800.html

What do the smart folks in this forum think about this?
by atrchi
Mon Jul 07, 2014 10:31 pm
Forum: Other Discussions
Topic: Welcome to the Everything Boom, or Maybe the Everything Bubble
Replies: 5
Views: 4284

Re: Welcome to the Everything Boom, or Maybe the Everything Bubble

So what is the end-game? - - a massive crash in valuations of Everything - hence massive rally in the USD & co? - a massive crash in the value of USD & co - hence a massive rally in Everything relative to USD? ? * USD & co: the U.S. Dollar and any associated currencies (formally or informally pegged...
by atrchi
Wed Jun 11, 2014 7:13 am
Forum: Variable Portfolio Discussion
Topic: VIX better than Treasuries in June 2014?
Replies: 6
Views: 6194

VIX better than Treasuries in June 2014?

I found this interesting thread and I agree with the conclusions reached at that time: http://gyroscopicinvesting.com/forum/variable-portfolio-discussion/vix/ But now with the VIX hitting 7-year lows and US Treasuries still near all-time highs, is anyone considering at least a partial substitution o...
by atrchi
Mon Jun 02, 2014 7:50 pm
Forum: Permanent Portfolio Funds
Topic: Backtesting tool that can simulate an ETF that didn't exist before 2010?
Replies: 0
Views: 3517

Backtesting tool that can simulate an ETF that didn't exist before 2010?

I wanted to do some Back Testing with a portfolio that includes the ETF symbol "TMF" (3x leveraged long treasuries). Unfortunately TMF has only been around since 2010 or so, and nothing like it existed before that. I'd like to test as far back as possible. Does anybody know a backtesting tool that w...
by atrchi
Tue Apr 16, 2013 8:19 pm
Forum: Bonds
Topic: Is Bernanke’s Worst Nightmare Just Around the Corner?
Replies: 4
Views: 3516

Re: Is Bernanke’s Worst Nightmare Just Around the Corner?

Bond-buying by the Fed is stupid, because those same bonds are liabilities of the U.S. Government, which need to be paid back. Large government liabilities tend promote politics and policies which are deflationary (taxation, austerity, etc). If the Treasury decided to issue another $10T in 10-year n...
by atrchi
Fri Apr 12, 2013 9:43 am
Forum: Variable Portfolio Discussion
Topic: U.S. Investor Demographic Curve
Replies: 2
Views: 2652

U.S. Investor Demographic Curve

I'm looking at this: http://www.fdbetancor.com/wp-content/uploads/2012/10/tripledemocurve-888x1024.png This pyramid is shown as usual, in reference to the general population. Does anybody know what the Investor Population curve looks like, and what effect it may have on the markets over the next 20-...
by atrchi
Tue Apr 09, 2013 7:01 pm
Forum: Stocks
Topic: From a PP perspective, do high-dividend stocks behave differently ?
Replies: 9
Views: 5180

From a PP perspective, do high-dividend stocks behave differently ?

... differently than average-yielding stocks?

I remember reading somewhere that high-yielding stocks have a risk profile that resemble a stock/bond mix.

Does this idea have any basis in historical data?

Would a dividend-heavy PP require more than 25% in stocks to compensate for this difference?
by atrchi
Tue Apr 09, 2013 6:57 pm
Forum: Gold
Topic: Has the local price of physical gold in Cyprus gone up?
Replies: 3
Views: 3249

Re: Has the local price of physical gold in Cyprus gone up?

http://goldpricenetwork.com/goldprice/cyprus/ Thanks for trying, but... That site is just a machine-generated content farm. They don't even try to cover it up: "Gold price in Cyprus in Euro (EUR) is being updated once every 15 minutes, based on the latest gold price from the NYSE COMEX." The local ...
by atrchi
Mon Apr 08, 2013 9:27 pm
Forum: Gold
Topic: Has the local price of physical gold in Cyprus gone up?
Replies: 3
Views: 3249

Has the local price of physical gold in Cyprus gone up?

Is it trading at a premium to global markets? How Much?

Just wondering.
by atrchi
Sun Apr 07, 2013 9:07 am
Forum: Other Discussions
Topic: Here's What Happened The Last Time The Fed Owned All Outstanding Treasuries
Replies: 66
Views: 24441

Re: Here's What Happened The Last Time The Fed Owned All Outstanding Treasuries

But interest rates can only fall to zero so long as there is such a thing as physical money (when I say "physical money" I'm not even talking about gold...even physical paper money will do the trick) because no one will lend money out at a negative nominal rate when they can just sit in paper cash ...
by atrchi
Sat Nov 17, 2012 7:40 pm
Forum: Stocks
Topic: how many here read the IBD, and truly understand it?
Replies: 11
Views: 7760

Re: how many here read the IBD, and truly understand it?

CANSLIM just maximizes beta. The result is about the same as holding a 2x leveraged ETF. Time decay occurs through the use of 8% stop-loss sell orders.
by atrchi
Wed Oct 31, 2012 10:19 pm
Forum: Permanent Portfolio Discussion
Topic: This Will Make You Not Want To Stock Pick (Historical DJIA Components)
Replies: 50
Views: 23098

Re: This Will Make You Not Want To Stock Pick (Historical DJIA Components)

AgAuMoney is a genius - people really should pay attention. I've felt the same way about investing but never been able to articulate it quite so eloquently. "Beating the index" is such a juvenile, useless concept.
by atrchi
Tue Oct 30, 2012 12:35 am
Forum: Permanent Portfolio Discussion
Topic: probability of PP losses next year.
Replies: 15
Views: 8580

probability of PP losses next year.

Hello, I understand the PP has not had a losing year since 1982 or so. This reminds me that San Francisco has not had a devastating earthquake since 1908. That got me wondering. Using purely statistical methods, like those used to predict earthquakes, what is the probability the PP will lose money n...
by atrchi
Sun Oct 28, 2012 10:47 pm
Forum: Stocks
Topic: Hoisington Quarterly Report Predicts Lower Long Term Treasury Yields
Replies: 37
Views: 17019

Re: Hoisington Quarterly Report Predicts Lower Long Term Treasury Yields

Iran, Iraq, what do these countries have in common aside from what you hear in the news?  The answer is both officially declared they would no longer sell oil for dollars -- they openly removed their support for the $USD. Iran "officially declared they would no longer sell oil for dollars"? LOL. Th...
by atrchi
Mon Oct 08, 2012 9:49 pm
Forum: Bonds
Topic: price of LTT treasuries/zeroes at different brokers
Replies: 3
Views: 2923

Re: price of LTT treasuries/zeroes at different brokers

Good catch. I found comparables at the 2/15/2041 maturity. E-Trade: $41.242 3.149% Fidelity: $41.123 3.159% Now the difference is only 0.3%. That's a bit more reassuring. But the spread is still horrible and nothing you can do about it, some I'm sticking with EDV which at least you can work around t...