Gold from, say, 1970 to year-end 1974 does present a conundrum since it did indeed have a huge spurt in price as it went off the regulated $35 an ounce price level and this can only happen once; probably what happened was some of the gains that would've accrued from, say, 1964 to 1968 or 1969 inste...

Translating for my pea brain: There are three (maybe four) Platonic ideals for a diversifier: (i) pure credit risk with positive expected return, (ii) pure duration risk with positive expected return, (iii) pure volatility with zero expected real mean return, and (maybe iv) pure volatility with zero...

The problem I see is that there are strategies where the focus is on optimizing the quantitative approach when not nearly enough efforts are spent on the fundamental approach. I hoped we would be discussing whether an allocation to the S&P500, NASDAQ, REITS and utilities which are all stocks is...

A few scattered points: I have very little trust in any model that I didn't develop myself, and not a whole lot in my own. All models are wrong, but some are useful. I try not to trust in any hypothesis about how something works unless I can build a quantitative model to test the hypothesis and buil...

Nice post! Please don't bank on i or iii. Both are clearly not in the data series. On this board a generally accepted principle/assumption is we can't predict very well and that is always my assumption...but if I were to predict, current economic data suggests 1980-2020 is not in the cards for the ...

Without hijacking this thread any further, I just wanted to post a link to a very long entry on my Bogleheads thread where I try to wrap up my observations on the algorithm that I posted above. Comments here were quite useful in clarifying my thoughts. Now I can move on to other things... The exampl...

I used the daily data which D1984 made available and have my own method of extending to simLETF data. What I do is take the daily 1X index data, and I take the actual LETF data since inception to current, I plot them against each other on a chart, and I use two factors for the daily 1X data, I have...

OK, here goes: And how! Thank you! It looks like I'll have a fun weekend now. Also, what did you wish to know about the indexes that StrategyDriven was using that helped him obtain the data for? I was getting greedy about perhaps reconstructing the earlier data that StrategyDriven is using, partly ...

This entry is pointing out that it would be helpful for me to have a reference so that I properly understand how a long/short portfolio is implemented, especially in the way that vincent_c is intending. Hydromod, can you create a new thread to continue our discussion? It's of interest to me whether...

Can I humbly as the originator of this thread request we not replicate the Hedgefundie Bogleheads thread here? The level of discussion and detail in that thread is truly epic and does not need to be repeated in this forum. I have a hard time conceiving a point that hasn't been covered there in deta...

I think we can take a step back from implementation methods and discuss the reasons for your input assets. You came to the PP forum, are you thinking of sticking the PP in? I mean, I would love for you to test my chosen assets (the PP + usdcad exposure) and figure out using your allocation algo wha...

I think we can take a step back from implementation methods and discuss the reasons for your input assets. You came to the PP forum, are you thinking of sticking the PP in? I mean, I would love for you to test my chosen assets (the PP + usdcad exposure) and figure out using your allocation algo wha...

Also, if a fund is always increasing leverage when it’s gone up and decreasing leverage when it’s gone down then isn’t it always buying high and selling low? Over any given month daily prices are bound to have random fluctuations. How can this be a good thing? LETFs reset the leverage each day. My ...

Do you know that you are getting proper market rates on borrowing cost on the 3x ETFs without markup? Do you know anyone who has looked into it? I believe that some of the bogleheads threads have discussed some of this. Certainly folks have tracked down the source of borrowing for some of the diffe...

StrategyDriven wrote: ↑Mon Jun 21, 2021 1:10 pm I came up with this 1/3/6 and weightings in efforts of being quicker reacting than a 10 or 12 month lookback, without causing too much whipsaw.

Well, it certainly seems to be doing fine for you.

Does this not imply a 7-8% tracking error? You're mostly showing the difference between tracking on a monthly basis and a daily basis, with the ER tossed in. When you aggregate the daily returns over a month, there's things like volatility decay that creep in. You can have perfect daily tracking bu...

A quick clarification question: When you use a trigger of 25% one month return, 25% three month return, and 50% six month return, are these annualized returns or just plain ol' returns? All of the strategies, except Triad, use a weighted return which is the actual 1 month, 3 month, and 6 month retu...

Can you convince me that there is only a 1% tracking error on the 3x ETFs? Probably not. Siamond and others on bogleheads have looked at tracking error. I think they pretty much concluded that ProShares is much better than Direxion in that regard, and I seem to remember that the more liquid funds a...

what I have been trying to do is work through how to assemble a robust and reliable portfolio allocation approach regardless of the asset combinations Regarding allocation, you are correct that I default to a fixed allocation. Because of this, the way I see it is you are either timing the market (a...

A quick clarification question: When you use a trigger of 25% one month return, 25% three month return, and 50% six month return, are these annualized returns or just plain ol' returns?

Thanks and welcome to the forum by the way. I have a better idea of what we're talking about now and I think there are really two areas of discussion here. The first is the general quantitative approach to begin with and Mark pointed out some of the key problems that are shared by many such approac...

Do you need the daily data for timing or just for the most accuracy in terms of the daily leveraged data in order to get the most accurate monthly result comparable to a true daily leveraged index? Because the monthly leveraged stock data I sent you did in fact account for vol decay of daily rebala...

Approach With all that said, the strategy is really quite simple. I use a minimum variance optimizer for a portfolio of N assets, given a historical variance-covariance matrix for the assets, to develop the weights for the assets that would minimize the portfolio variance given the variance-covaria...

As a matter of curiousity, how do you model slippage from trades? I've noticed that slippage tends to ding returns noticeably with some of my more frequent rebalancing extravaganzas, especially with 1x funds. I do not account for slippage. I do track ETF prices for full month and don't account for ...

... Mitigating very large events, in my mind, goes down to (i) selecting the funds that are used based on one's personal risk tolerance and (ii) setting the risk budget between equities and bonds. No issues hydromod. I'm just an old jaded engineer. When I see people making risk mitigation decisions...