Interesting cost question on futures and paying for costs with a tick...I've been with IB for years and you can certainly cover your cost of trade if you bought the bid and sold the ask with the two futures you mentioned. But of course if you bought the ask and sold the bid (what normally occurs) yo...

I'm going to move my PP with an XIV Twist post to here since it isn't technically a PP but rather a VP. I will pick up the 2x reporting as well as a comparison. VP 20% to each DGP = Gold SHY = Cash UBT = Long Bonds UWM = Stocks (Russell 2000) XIV = Short Volatility 2014 2xPP w/XIV Twist Performance ...

I posted on this in another thread...but the short answer is while things are good they are very good so good that it can make up for REAL bad plus quite a bit more. Heck we don't even need a 2008 scenario to get crushed. 2011 tossed us a 78% loss in just a couple of months. 30%+ loses over a quarte...

YTD performance 13.79% (backtest) - 4.83% 1st Q - 8.95% 2nd Q Actual $$$ port 2nd quarter 10.56%...as often happens the XIV portion this quarter is up just shy of 50% - Tickers DGP, SHY, UBT, UWM, XIV I will definitely rebalance this quarter. Full disclosure. The XIV component has also lost 49.66 an...

Using 2x ETFs Rebalance bands from +5% to 15%: range 7.2% to 10.43%. Monthly to annual: range 8.6% to 10.9% Drawdowns are comparable but slightly improved by periodic rebalancing. Interestingly, adding XIV and allocating to 5 equal parts of 20% doubles CAGR with only a slight increase in DD for peri...

Did some backtesting (2011 to now only)...at least for the past 3 years and change periodic rebalancing does a much better job of improving CAGR over band rebalancing. I was a bit surprised by this.

Is there a place to find the assets and rules?

Yes but just for the time period since 3x ETFs have been around. I don't have my computer with me but if I recall you get about 4% more per year with a good jump in volatility and drawdown as compared to the 2x version. Most academic studies on leverage indicate much over 2x leverage is not benefici...

When contemplating the efficacy of rebalancing I believe it is critical to keep in mind the concept of path dependency. On any given event, we just do not know if it will be helpful. It depends on a future path we can't see when we do it. However, here is what we do know with certainty: - taxes will...

I agree. Selling premium is awesome until it isn't; however,  I have zero sympathy for someone who gets wiped out. That's not a short option problem that's a risk control problem. Long term repeated selling of premium is profitable if done correctly. One just has to remember it's really nothing more...

Please see a tax advisor. Just extrapolated. There is quite a bit out there with regard to selling volatility. A dose in moderation is generally beneficial. To be sure I think much homework should be done before remotely considering this.

Great question on XIV vs SVXY. To me it comes down to tax treatment vs. Counterparty risk...and a slightly tighter spread. To each his/her own preferences and financial situation. Caveat Emptor for sure. If you are going to throw XIV/SVXY into the mix, clearly you...maybe that is too strong...genera...

Thanks to this great forum and the book that introduced me to PP. For the past couple of years I have used a variation of PP which includes adding XIV and putting all the assets at 20%. One has to rebalance more often however. For those who are PP fans and have an in-depth understanding of volatilit...