Oh, I fully appreciate how these funds can dive. My pet example is UOPIX, which is a 2x NASDAQ starting in 1998. Real horror show a couple of years after initiation. That's in part why I'm keen on the adaptive risk-budget weighting based on volatility. I haven't seen the portfolio volatility in bac...

Welcome Hydromod, The past 10+ years have been incredible for these leveraged adaptive asset allocation / min variance type strategies. My issue is that if you extended them back in time they nearly blow up with up to 90% drawdowns. I don't see anything wrong with some allocation to this type of str...

Kriegsspiel wrote: ↑Wed Jun 02, 2021 4:02 am I like the new website. Where is the header pic from?

Beijing

May results and June investments are posted on the new website.

Two, the QQQ (NASDAQ-100) data on the benchmark is incorrect; for instance, QQQ had a return of just over 100% in 1999, a bit over 80% in 1998, and actually had a positive return (barely) in 1987. Your benchmark data seem to contradict this. Are you sure you're not using the NASDAQ Composite instea...

Two, the QQQ (NASDAQ-100) data on the benchmark is incorrect; for instance, QQQ had a return of just over 100% in 1999, a bit over 80% in 1998, and actually had a positive return (barely) in 1987. Your benchmark data seem to contradict this. Are you sure you're not using the NASDAQ Composite instea...

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...

Enjoy results back to 1980. Updated April 2021 deck to 1980. Two quick questions on your benchmarks and one regarding the backtest: One, the S&P 500 on your benchmark page doesn't include dividends (or at least doesn't appear to)....is this the case and if so, is there a reason for this? I got ...

Enjoy results back to 1980.

Updated April 2021 deck to 1980.

Results deck for April 2021 can be downloaded here . May 2021 Strategy Investments Only MAX PAIN has a change of investment for May, all other strategies remain in the same investments. ⅓ IWB, ⅓ IWS, ⅓ VGSH Triad IWS The Russell OG VTI Global Navigator IWM The Russell IWM The Russell XXL MIDU MAX P...

Results deck for April 2021 can be downloaded here . May 2021 Strategy Investments Only MAX PAIN has a change of investment for May, all other strategies remain in the same investments. ⅓ IWB, ⅓ IWS, ⅓ VGSH Triad IWS The Russell OG VTI Global Navigator IWM The Russell IWM The Russell XXL MIDU MAX PAIN

Here are long term results for the strategies, all of them back to 1980, and a second sheet for Global Navigator back to 1970. Pretty interesting, I had assumed they would have side-stepped Oct 1987 and they did not, all good though, great validation for this out of sample period for the strategies ...

These guys have data way back but I can’t see how to access it.

link

Global Navigator is the only strategy that can be back tested way back, the others all use Russell Indexes which were not around that far back. Even for Global Navigator I can’t really find a great option for VXUS going back, the MSCI World ex-USA is as close as I can locate and that’s only back to...

Global Navigator is the only strategy that can be back tested way back, the others all use Russell Indexes which were not around that far back. Even for Global Navigator I can’t really find a great option for VXUS going back, the MSCI World ex-USA is as close as I can locate and that’s only back to...

Global Navigator is the only strategy that can be back tested way back, the others all use Russell Indexes which were not around that far back. Even for Global Navigator I can’t really find a great option for VXUS going back, the MSCI World ex-USA is as close as I can locate and that’s only back to...

I've got Global Navigator extended back to 1970, the only missing piece is Long Term Treasuries, I used 10 Year Treasuries from 1970 through May 1986 until the LTT can be found.

See this linked spreadsheet.

Global Navigator is the only strategy that can be back tested way back, the others all use Russell Indexes which were not around that far back. Even for Global Navigator I can’t really find a great option for VXUS going back, the MSCI World ex-USA is as close as I can locate and that’s only back to ...

Long term data status: S&P 500, I have total return for S&P back to before 1950 VXUS, I have extended this us MSCI World ex USA, it isn't the best of fits to VXUS, but it's about all I can find out there, back to 1970 T-Bill, I have data back to 1969 Just need to get some actual or sim data ...

I created a spreadsheet to be able to see any of the strategies vs the S&P 500, you pick the strategy, the starting year, and how many years and it charts it. It won't display properly on DroidDoc, but you can download the file and play with it on your computer Download the spreadsheet from her...

Meanwhile, here is the T-Bill TR data monthly for 1939, 1940, and 1941 (I tried to PM it to you but for some reason the PM didn't appear in my outbox or sent messages so I don't know if it got sent or not). https://filebin.net/s6k1cnopgpps7qf7 I'm not sure, but the T-Bill data looks like it's yield...

I created a spreadsheet to be able to see any of the strategies vs the S&P 500, you pick the strategy, the starting year, and how many years and it charts it. It won't display properly on DroidDoc, but you can download the file and play with it on your computer Download the spreadsheet from here...

Meanwhile, here is the T-Bill TR data monthly for 1939, 1940, and 1941 (I tried to PM it to you but for some reason the PM didn't appear in my outbox or sent messages so I don't know if it got sent or not). https://filebin.net/s6k1cnopgpps7qf7 I'm not sure, but the T-Bill data looks like it's yield...

Siamond had Ken French actually calculate monthly total returns and not just annual; this was a few years back (circa 2018ish/2019ish IIRC). Tyler over at Portfoliocharts calculated monthly TRs as well. Please check your PM inbox. Can you point me to the monthly return data in the Simba spreadsheet...

Siamond had Ken French actually calculate monthly total returns and not just annual; this was a few years back (circa 2018ish/2019ish IIRC). Tyler over at Portfoliocharts calculated monthly TRs as well. Please check your PM inbox. Can you point me to the monthly return data in the Simba spreadsheet...