PP Inspired Leveraged Portfolios

A place to talk about speculative investing ideas for the optional Variable Portfolio

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Kbg
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Re: PP Inspired Leveraged Portfolios

Post by Kbg » Fri Feb 23, 2018 4:27 pm

One could check monthly or more frequently. The 100 market days return test is checked monthly and the portfolio was rebalanced monthly for the backtest. Personally I would check returns once a month minimum and rebalance at a level one feels comfortable with. One could use 125, 133 or 150% of target allocation. I don't see much difference performance wise vs. what has been posted about quite a bit in the PP rebalancing discussion threads. The fact is whether rebalancing is helpful or hurtful is totally dependent on what happens in the future...more bouncy, rebalance more, more trendy, rebalance less. As I've posted many times in many places here...rebalancing is about risk control not performance. In the other thread I posted my personal technique...hit a band, then wait for a pause point in something that has been trending and pull the trigger.
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Re: PP Inspired Leveraged Portfolios

Post by clacy » Wed Feb 28, 2018 9:52 am

Kbg wrote:So with the blow up I’m retooling what I was going to track/post on here. I’m thinking 20% st vol was a bit much. :-)

I’m looking at something Golden Butterflyish. Selling vol will still be a part of it but looking at different forms. Could be just a switch to SVXY.

Kbg, you probably covered this in your previous thread, but why not just lever the standard PP?
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Re: PP Inspired Leveraged Portfolios

Post by Kbg » Wed Feb 28, 2018 10:48 am

That’s pretty much what the previous portfolio was with a dash of XIV thrown in. Going forward I’ll report on a straight leveraged version 50% SHY 16.66 the other three. I consider that the “benchmark” for this version to beat (hopefully).
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Re: PP Inspired Leveraged Portfolios

Post by Mark Leavy » Thu Mar 01, 2018 9:43 am

https://www.bloomberg.com/news/articles ... y-products
ProShares Advisors announced changes to its investment objectives to reduce leverage on its Short VIX Short-Term Futures exchange-traded fund (ticker SVXY) and Ultra VIX Short-Term Futures ETF (ticker UVXY). The former, which allowed investors to bet against a rise in volatility, is now aiming to deliver returns equal to one-half the inverse move of the S&P 500 VIX Short-Term Futures Index. Previously, the product had sought to be a perfect mirror image each session.

ProShares’s shifts will be effective as of the close of trading on Feb. 27
Well... this certainly puts a wrench in the models.
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Re: PP Inspired Leveraged Portfolios

Post by Kbg » Thu Mar 01, 2018 9:59 am

Interesting development. On Twitter I follow some of the volatility guys and it appears ZIV will be more volatile than SVXY. Also much grousing about the basically no notice change on gearing down UVXY (SVXY as well). The OCC ruled there would be no options adjustment so if you were on the wrong side of that, instantaneous loss. I’m done with these instruments. I made a bunch of money and lost a big chunk as well but overall a nice trade since 2011. However, it’s clear their sponsors aren’t really standing behind them...and that’s as clear a warning as anyone should need to move along.

I may short term dabble on a major VIX spike, but that’s trading not investing.
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Re: PP Inspired Leveraged Portfolios

Post by Kbg » Fri Mar 30, 2018 11:49 pm

Classic 2x: 200K equivalent/16.667 each to the UPRO, TMF, UGLD and 50% to SHY/50K SHY and 150K (50K x3) equivalent everything else

Classic 1x: 100K/25% each to SHY, TLT, GLD, SPY

KMix 2.1x: 45% VCSH, 28% TQQQ, 13.5% TMF, UGLD

Purchase price was at the close 12/30/16 through the close on 12/29/17

2x = -3.09%/-8.44%DD

1x = -.96%/-4.16%DD

KM = -1.16%/-11.69%DD

This year could be a challenging one. Be careful out there!
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Re: PP Inspired Leveraged Portfolios

Post by Kbg » Wed Apr 11, 2018 9:37 pm

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Re: PP Inspired Leveraged Portfolios

Post by Kbg » Fri Jun 08, 2018 8:36 am

Classic 2x: 200K equivalent/16.667 each to the UPRO, TMF, UGLD and 50% to SHY/50K SHY and 150K (50K x3) equivalent everything else

Classic 1x: 100K/25% each to SHY, TLT, GLD, SPY

KMix 2.1x: 45% VCSH, 28% TQQQ, 13.5% TMF, UGLD

Purchase price was at the close 12/29/17 through the close on 6/7/18

2x = -2.68%/-8.86%DD

1x = -.31%/-4.16%DD

KM = 4.40%/-11.69%DD

Looks like almost half way through the year things are turning out as predicted - challenging! I won't be surprised to see TQQQ tank this year and overall the year to not end all that well.

Here's the latest on decay: https://seekingalpha.com/article/418003 ... -dashboard

Unsurprisingly, UGLD has provided a stiff dose of decay. Range bound is a very not good state for 3x ETFs. So long as the current range sticks, rebalancing UGLD by buying at 11 and selling at 12 could turn that dynamic around very nicely. I think I will take a look at that for my account. 18-20 for TMF is another possibility, though TMF has been more random. If one is thinking of trying the above, do the math, check the costs to ensure it is useful/profitable for you and if there is a breakout either way just go back to your normal rebalance range. Do not average down or scale out if there is a breakout. Basically for this portfolio it is best to let things run...but if something isn't running and you have the time to manage it then you can make $$$ on the back and forth. Implementation via good til cancelled orders with limit prices. And remember, your primary rebalance strategy should remain in place and executed above all...what is described is just a little tactical diversion to turn decay into a little profit.
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Re: PP Inspired Leveraged Portfolios

Post by Kbg » Wed Jul 18, 2018 12:59 pm

From Morningstar: 5 year returns

TMF to TLT x1.74
TQQQ to QQQ x2.89
UGLD to GLD x9.96 (ouch as the annualized return for GLD has been -1.17 for the 5 year period)

If one could have stomached holding TQQQ since it's initial opening they would be sitting on just shy of 320K vs. around 35K for 10K invested (2008 til now)
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Re: PP Inspired Leveraged Portfolios

Post by Kbg » Fri Jul 20, 2018 6:20 pm

Classic 2x: 200K equivalent/16.667 each to the UPRO, TMF, UGLD and 50% to SHY/50K SHY and 150K (50K x3) equivalent everything else

Classic 1x: 100K/25% each to SHY, TLT, GLD, SPY

KMix 2.1x: 45% VCSH, 28% TQQQ, 13.5% TMF, UGLD

Purchase price was at the close 12/29/17 through the close on 7/20/18

2x = -4.48%/-8.86%DD

1x = -1.11%/-4.16%DD

KM = 5.27%/-11.69%DD
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Re: PP Inspired Leveraged Portfolios

Post by Mark Leavy » Fri Jul 20, 2018 9:00 pm

kbg,

Have you walked away from volatility?

I moved some money into SVXY after XIV went tits up - using some back of the envelope calculations - but I'm no longer confident in my models - especially since SVXY went to 50% of inverse VIX tracking. I need to spend a weekend and really do the math to develop a more solid model, but I'm curious as to where you stand now that the dust has settled a bit.

Cheers - and thank you for the meaty posts that you have served up.
Mark
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Re: PP Inspired Leveraged Portfolios

Post by ozzy » Fri Jul 20, 2018 10:04 pm

Hi all, adding my 2 cents. My leveraged PP is the following:

45% UPRO
35% TMF
20% UGLD

I keep it simple and just rebalance annually. Its returned 22.23% CAGR over the past 5 years (2013-2017), here's a performance screenshot:
http://www.tightwadweb.com/3x-2013-2017.jpg

So far, the first 6 months of 2018 its down -7.08%. No worries, I'm a long term buy-and-holder.
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