PP Inspired Leveraged Portfolios

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

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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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