PP Inspired Leveraged Portfolios

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

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Jeffreyalan
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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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Kbg
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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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Re: PP Inspired Leveraged Portfolios

Post by Jeffreyalan » Fri Jan 11, 2019 7:38 am

Kbg wrote:
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?
Honestly I have not really looked at my trades there and the prices I bought or sold at. For me it is the perfect account to just throw some savings in, never look at it and let it do its thing. I have a Desert Portfolio set up and from time to time I will transfer some funds into there..a few hundred dollars..and let it get divided up automatically between my chosen ETFs. From then on I don't look at it very much. So far they only have one trading window a day around 9-11 CST. They are toying with adding another one later in the day.
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Kbg
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Re: PP Inspired Leveraged Portfolios

Post by Kbg » Thu Jan 31, 2019 5:05 pm

Hey it's the end of the month, time for some results reporting!

I implemented a leveraged Desert portfolio-ish at the end of last year. The mix is 70% UST, 20% TQQQ and 10% VGSH. I'm adding a little bit each month to it that will auto rebalance into the portfolio on M1.

YTD

Starting mix w/no changes: +4.41%
M1 reported portfolio gain: +7.30% (seems high, but that's the increase)
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Kbg
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Re: PP Inspired Leveraged Portfolios

Post by Kbg » Fri Feb 01, 2019 1:28 pm

I'll post on the below from time to time:

2012-2018
UST/TQQQ/VGSH 70/20/10 (The Desertish Risk Parity bullet): 11.62/-14.33
VGSH/TQQQ/TMF/UGLD 50/25/12.5/12.5 (The PPish all-weather barbell): CAGR 11.92/-18.33

2019 Performance
Close on 12/31/18 through the close on 1/31/19

RP Bullet: 6.79%/-1.13%
AW Barbell: +8.27%/-1.60%

Let's call it a day folks, roll into BIL/SHV/SHY and we are almost guaranteed 10% with no risk this year. ;)
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Re: PP Inspired Leveraged Portfolios

Post by Jeffreyalan » Fri Feb 01, 2019 1:32 pm

Kbg wrote:
Thu Jan 31, 2019 5:05 pm
Hey it's the end of the month, time for some results reporting!

I implemented a leveraged Desert portfolio-ish at the end of last year. The mix is 70% UST, 20% TQQQ and 10% VGSH. I'm adding a little bit each month to it that will auto rebalance into the portfolio on M1.

YTD

Starting mix w/no changes: +4.41%
M1 reported portfolio gain: +7.30% (seems high, but that's the increase)

I am using my standard Desert portfolio at M1 as a savings account which works well since the portfolio has very low volatility. I am interested in how your leveraged one works out. Backtesting shows much more volatility than the standard one but with much higher returns. So I may decide to take a small % of my M1 Desert and move it to a leveraged one just to juice my returns a bit and have some fun watching it every day!
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Kbg
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Re: PP Inspired Leveraged Portfolios

Post by Kbg » Fri Feb 01, 2019 5:32 pm

Jeffreyalan wrote:
Fri Feb 01, 2019 1:32 pm
Backtesting shows much more volatility than the standard one but with much higher returns.
That statement is about as certain as anything can be in finance & investing.
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Re: PP Inspired Leveraged Portfolios

Post by InsuranceGuy » Fri Feb 01, 2019 8:54 pm

Your posts inspired me towards the end of last year. I am now using 3x funds for 20% of my trend following model holdings which gets me to about 1.4x leverage overall. I'm using SPXL for IVV (S&P), DRN for VNQ (REIT), TMF for TLT, and UGLD for IAU.

I find that absolute momentum seems to stay out of risky assets at times of volatility which are the times that there is the most decay so it makes a lot of sense to use momentum with leveraged funds.

Hopefully it works out, all of the backtests indicate it is a home run... but there are warnings about that kind of thing so you never know.

Anyhow, thanks for all your thoughts and posts. For better or worse it got me thinking about how to incorporate it into my models.

IG
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Kbg
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Re: PP Inspired Leveraged Portfolios

Post by Kbg » Fri Feb 01, 2019 10:01 pm

Hopefully it works out for all of us doing this. Last year I had a rather painful experience when XIV blew up. So my lesson learned was stick to the big stuff. I'm not super concerned about leveraged ETFs in the Nasdaq100, Treasuries and Gold departments.. The main thing is that even in "normality" a 3x ETF has a very good chance of zeroing out in any given bad bear market. So, you have to be prepared for that and in my implementations I always have a big wad of ST govt bonds as part of the mix.
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Re: PP Inspired Leveraged Portfolios

Post by Jeffreyalan » Wed Feb 13, 2019 12:59 pm

Kbg wrote:
Fri Feb 01, 2019 1:28 pm
I'll post on the below from time to time:

2012-2018
UST/TQQQ/VGSH 70/20/10 (The Desertish Risk Parity bullet): 11.62/-14.33


Just because I like to know such things, how did you decide on 70/20/10 vs 60/30/10 or even just 70/30/0?
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Kbg
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Re: PP Inspired Leveraged Portfolios

Post by Kbg » Wed Feb 13, 2019 9:15 pm

Cuz it’s risk parity and Desertish for those assets with some rounding thrown in. If you check out PortfolioVizualizer you can crunch the numbers. But there’s some interpolation due to different leverage amounts between the three. I looked at about every combo of QQQ and treasury bond ETFs I think one could and it’s the one I liked best for risk to reward.
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Re: PP Inspired Leveraged Portfolios

Post by Jeffreyalan » Wed Feb 20, 2019 12:45 pm

I have never looked under the hood of TQQQ or TMF. How much at risk are these funds of going to zero (or getting shut down) like the XIV was?
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