A little out of cycle update...

YTD UGLD is up 40% and TMF is up 30% while SPXL is down 26%.  Things have been so crazy the last couple of months that I'm actually getting near to a rebalance point.

Thanks for the post on gold storage costs.  This year I will be posting leverage per the "portfolio cash equivalent model" posted on page 29.  Thus for a 100K portfolio... 2.5x means 250K equivalent/25% each to SHY, TMF, UGLD, and SPXL/25K SHY and 225K (75K x3) equivalent everything else 2...

I'll post this year's first update later today but thus far it has showed why it doesn't help much to try and game things. At rebalance time I held my nose and bought UGLD which dramatically lowered my average cost. Thus far, UGLD is doing quite well. I really have no idea but my guess is that as mo...

Yeah, I guess it's increasing the risk that my IRA tanks, but I would still have the cash outside the IRA... so I could still rebalance "across accounts" (I'm not spending the cash).  Seems like the risk is lower, just concentrates it in my IRA. I was just reading this "study" t...

Be careful. Real life XIV tubed 78% in 2011, 2008/9 simulated 92%. Study everything you can about them for at least a couple of months before you even think about it.

As a rough guide you are buying a 3-5x stock ETF that does well in a sideways market.

That is a tough question with a lot of possible scenarios. Probably the biggest one is are you going to continue contributing annually? If so, keep the cash external and make your annual contribution at rebalance time. I'm assuming small here as you mentioned. Obviously that is not going to work aft...

And here is the version for leveraging the three components a certain amount with the associated cash component. The first column is potential leverage amounts and adjusting them to a percentage value in the next column. Columns 3 and 4 are how to achieve the leverage with 2 or 3x ETFs and the last ...

I am perhaps guilty of not being clear.  OK...thanks for being persistent on the math. It got me to bust out Excel and check all of my math. I can't format tables for jack but I bolded the key take aways. For the bottom two sets of columns shift everything to the right and it will line up on the abo...

DC, I think I will report on 3x, 1.5x, 1x with 3xETFs and the standard version. Cash/SHY will decrease with leverage used. In other words, 3x will be 25% SHY, and 25% for leveraged ETFs, 1.5 will be 50% SHY and 16.67 for SPXL/TMF and 16.66 for UGLD and 1.0 will be 66.67 SHY and 11.11 SPXL/TMF/UGLD. ...

I'm thinking: 16.6-% 3x gld = 50% exposure 16.6-% 3x spy = 50% exposure 16.6-% 3x tlt = 50% exposure 50% shy = 50% exposure total exposure = 200% PP.  At least that's what I'm doing in my small VP. Subtract 5% from cash, add it to XIV and that is my VP and what I report on. Also considering switchi...

EOY 2015

1) 1xPP: -3.18%/-7.63%DD (25% SHY)

2) 66.67% SHY and 11.11% 3x ETF equivalents: -6.17%/-11.12%

3) 3xPP: -14.37%/-23.26%DD (25% SHY)

4) 3x w/ XIV Twist: -11.63%/-23.01%DD (20% to SPXL, TMF, UGLD, XIV, SHY)

Commentary: Well 2015 wasn't very fun was it!

No, because it is meaningless. It's not meaningless at all if the money supply is stable. However, with the Fed printing money like there is no tomorrow and demand not changing or going down it isn't super difficult to figure out why velocity is way down. However, in the current context I would agr...

As a general (mathematical) rule rebalancing works best with volatility and performs worse with trending assets. Rebalancing profits from harvesting volatility and rebalancing subtracts from the profit potential of a good trend. I have no idea what assets you have but theoretically one can have the ...

Why LTTs? The first half of the year was extremely low in volatility while the second half has been pretty crazy. 1/1/15 - 7/1/15 (open to open & div adjusted) SPY: + 1.59% TLT: - 7.14% 7/1/15 - 12/18/15 (open to close & div adjusted) SPY: - 3.21% TLT: +7.54% YTD (open to close & div adj...

Feeling better about the pp today, Budd? I shouldn't even ask, b/c it's so ephemeral, but still. S&P down 1.78% Dow down > 2% TLT up .56% GTU up 1.12% Budd will only feel half as good about this as he would feel bad about the opposite according to behavioral scientists...he's just screwed both ...

It depends on several things. Two big ones are the type of system you are trading/investing in and the tax consequences. Add some more detail and perhaps some better advice would be forthcoming.

Kbg, great post. Are you familiar with 'The Closed Circle' by David Pryce-Jones? If so, do you find it to be accurate? Unfair? Somewhere in between? I have not read it so I looked around for some reviews/commentary. I think it is probably more wrong than right, but there are several other cultures ...

This whole thread is depressing...seriously thinking of moving to a momentum based approach. Look for juice wherever it may be found, dial in risk appetite with a percentage in cash.

I am now retired but from 2001 to this past April, I spent most of my professional career involved with the Middle East so I think I know it better than most.  Most experts will tell you that the issue is  complex and I agree with that 100%. Most difficult things in the world are complex, but news/j...

On the whole gun thing...in China the T's execute mass knifing attacks and regularly get numbers equal to/around what you see with guns. Obviously not at the scale of Paris but something like San Bernadino for sure.

On your last para...yep. That's why I showed up here. I was attracted to PP not for the performance but for its lack of volatility combined with OK performance.

I've never been a doom and gloomster as it is not in my nature. I think the actual reality is that the world is simply getting more in balance vice the US going down the proverbial tube. 1945 was a unique time in history caused by global war and we were a major beneficiary of the aftermath. It was ...

I'm thinking: 16.6-% 3x gld = 50% exposure 16.6-% 3x spy = 50% exposure 16.6-% 3x tlt = 50% exposure 50% shy = 50% exposure total exposure = 200% PP.  At least that's what I'm doing in my small VP. Subtract 5% from cash, add it to XIV and that is my VP and what I report on. Also considering switchi...

MachineGhost wrote: I'm almost loathe to say it, but lets see what a 3x Risk Parity version would do.  Thrice of everything, inclyuding risk?  Still, it would be fantastic to get 27% CAGR with an all weather portfolio!

Do it, do it do it!

I got curious about the 8.3%/75% SHY version. -3.58%/7.99% DD thus far this year. My WAG is that the extra percent negative has a good deal to do with volatility drag on SPXL and TMF for most of the year and for all of them around mid year where there was a whole lot of nothing going on.