PP Inspired Leveraged Portfolios

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clacy
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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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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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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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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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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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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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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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Re: PP Inspired Leveraged Portfolios

Post by Jeffreyalan » Wed Jan 09, 2019 3:46 pm

Kbg wrote:
Fri Dec 28, 2018 9:03 am

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.
I have been using M1 Finance for a while now. I think it is perfect for a PP or something similar!
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Re: PP Inspired Leveraged Portfolios

Post by Kbg » Wed Jan 09, 2019 6:09 pm

Jeffreyalan wrote:
Wed Jan 09, 2019 3:46 pm
Kbg wrote:
Fri Dec 28, 2018 9:03 am

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.
I have been using M1 Finance for a while now. I think it is perfect for a PP or something similar!
Have you done any trade analysis? As in how is their execution?
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