PP Inspired Leveraged Portfolios

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modeljc
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Re: PP Inspired Leveraged Portfolios

Post by modeljc » Sat Jul 21, 2018 10:22 am

ozzy wrote:
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.
Thanks! I wonder if there is anyway you could backtest this for returns and draw down for another 35 year or so. I know the 3X leverage did not exsist in 1971 but would appreciate it if you could make some assumptions and do a back test.
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Kbg
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Re: PP Inspired Leveraged Portfolios

Post by Kbg » Sun Jul 22, 2018 9:47 am

Mark Leavy wrote:
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
I did. I like ZIV but I do not like Credit Suisse. Not sure SVXY is really that compelling. It would be great if you would post what you find. I'd be interested. I miss the "make money when the market if it is doing nothing" of volatility. It is helpful that way. TQQQ is my replacement...but not the same of course
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Kbg
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Re: PP Inspired Leveraged Portfolios

Post by Kbg » Sun Jul 22, 2018 9:54 am

modeljc wrote:
Sat Jul 21, 2018 10:22 am
ozzy wrote:
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.
Thanks! I wonder if there is anyway you could backtest this for returns and draw down for another 35 year or so. I know the 3X leverage did not exsist in 1971 but would appreciate it if you could make some assumptions and do a back test.
CAGR of 17.5%, Max DD 16.01 rebalance annually since 2012
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Kbg
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Re: PP Inspired Leveraged Portfolios

Post by Kbg » Fri Sep 07, 2018 5:31 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 9/7/18

2x = -4.52%/-8.94%DD

1x = -1.09%/-4.16%DD

KM = 5.04%/-11.69%DD

A yawner since last update, goodnight.
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Kbg
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Re: PP Inspired Leveraged Portfolios

Post by Kbg » Fri Oct 05, 2018 5:45 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 10/5/18

2x = -6.25%/-9.64%DD

1x = -2.04%/-4.16%DD

KM = 2.66%/-11.69%DD

It's going to be a bad PP year when two of your pillars are acting like cement shoes. Lots of complaining every where on the board but there is absolutely zero out of the norm here IMHO.
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Re: PP Inspired Leveraged Portfolios

Post by Kbg » Fri Nov 16, 2018 5:56 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 11/16/18

2x = -8.30%/-12.95%DD

1x = -2.5%/-5.19%DD

KM = -5.31%/-15.04%DD

I was quite surprised to see the KM do as well as it has done. Of course the recent unpleasantness up'ed our max dds...and the standard PP just waddles along as usual. For the 100% stock crowd, SPY is up 3.71% with a 10.1% max dd.

Overall, it has not been the best of investment years. TMF and UGLD are down 24 and 27%ish. TQQQ and VCSH have their noses barely above water.
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Re: PP Inspired Leveraged Portfolios

Post by Kbg » Thu Nov 29, 2018 8:04 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 11/29/18

2x = -8.23%/-13.19%DD

1x = -2.38%/-5.19%DD

KM = -5.25%/-17.37%DD

Because I have time...but not much change since last post.
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Kbg
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Re: PP Inspired Leveraged Portfolios

Post by Kbg » Fri Dec 28, 2018 9:03 am

Hi gang!

It was a good ride but it’s likely I will be bailing on the leveraged PP and next week’s post will also likely be my last performance post. Usually this time of year I have a good chunk of time off and and I go in depth on some financial topic. This year has been Risk Parity. Unleveraged it is just not interesting. However, with leverage it gets very interesting and is by every standard measurement a better approach than what I’m doing currently. So it’s very hard logically to continue. For sure I believe if one is going to do gold it needs to be a much smaller percentage (with a nod to the hard gold folks who hold for other reasons).

Not related, I moved a small amount of money as a test case to M1 Finance. Thus far, I like it a a lot. However, I’m not committing much until I see how their executions are.
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Re: PP Inspired Leveraged Portfolios

Post by Kbg » Tue Jan 01, 2019 1:23 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 12/31/18

2x = -7.72%/-13.58%DD

1x = -1.75%/-5.37%DD

KM = -8.81%/-20.80%DD

Tough year for sure and not a great decade...1x coming in at a CAGR of 5.68 with four 7-8% max DDs using the ETFs noted above.

From where we could start using 3x ETFs in 2012 we get a 1x CAGR of 3.46/-8.06 and a 2x (per the above mix) of 5.39/-18.64. The KM is at 13.91/-20.80. By comparison 100% SPY was 12.3/-19.35. A 60/40 SPY/AGG returned a CAGR of 8.31/-11.62. Going back to 2005 however, the PP outperforms the 60/40 just barely with 60% less DD. Hopefully for those doing a by the book PP their patience will be rewarded again...and patience is a must with this portfolio...but perhaps not if one isn't really looking for great performance. If nothing, the PP remains a steady Eddy.

Well our little experiment here is done and unless someone revives this thread we will watch it sink into the oblivion that is just below the least current thread on the page...sort of like a ship slipping under the ocean's surface for the last time. Thanks for following and commenting.
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Re: PP Inspired Leveraged Portfolios

Post by HelloFox » Wed Jan 02, 2019 2:15 am

Thanks for all your posts here, Kgb. This is my favorite thread.

So are you gonna totally stop playing with the leveraged PP at all? I hope you would still update the thread somehow if you keep playing with this concept.
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Re: PP Inspired Leveraged Portfolios

Post by Kbg » Wed Jan 02, 2019 9:00 am

Thanks HF, you are too kind.

Over the holidays I spent some time researching risk parity portfolios. The KM portfolio I posted this past year is pretty close to a RP portfolio. If I continue to post on this thread it will likely be something very similar to the KM, slightly more refined and probably dialed down a bit in risk.

This thread and the other thread I posted on for a couple of years were interesting to do. Almost a blog but with far fewer readers. :)

I think leveraged ETFs are a fairly well known quantity by now and their characteristics are understood by those willing to put forth the effort. I think the primary challenge, particularly with 3x ETFs, is you still have to be prepared to see them go to near zero and be willing to top them off again and let them work their magic when bull conditions return. If I do any more exploratory work it will be seeing if there is a way to sidestep volatility without killing performance. If you are in a 3x ETF and don't expect volatility you aren't paying attention. However, when markets do go volatile volatility decay is punishing...this is the primary reason why short leveraged ETFs do so poorly. When you need them most, they too are getting creamed by volatility decay so you don't get the bang for the buck. Bull ETFs do extremely well during bull markets because they are compounding very nicely as bull markets are almost always low volatility affairs...not so much for their bear counterparts.
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Re: PP Inspired Leveraged Portfolios

Post by gaddyslapper007 » Wed Jan 02, 2019 11:34 am

thanks Kbg for all your posts on this subject.....I've read, re-read and re-re-read both threads of the leveraged PP several times over the years. Your efforts / comments have been much appreciated!
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