20% annual returns over 40 years...interested?

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

Moderator: Global Moderator

User avatar
Kbg
Executive Member
Executive Member
Posts: 1675
Joined: Fri May 23, 2014 4:18 pm

Re: 20% annual returns over 40 years...interested?

Post by Kbg » Thu Feb 02, 2017 10:31 pm

More reading material on 3x ETF leverage...good demo

http://throwinggoodmoney.com/2017/01/th ... aged-etfs/.

My PP was up 4.76% in Jan with a normal PP up 2% (I've read). Anyone else care to share some results?

Not too much further and my account will hit a new high...currently still in drawdown mode though with the high back in August with the bottom of the current crater in November.
rickb
Executive Member
Executive Member
Posts: 762
Joined: Mon Apr 26, 2010 12:12 am

Re: 20% annual returns over 40 years...interested?

Post by rickb » Fri Feb 03, 2017 10:34 am

Kbg wrote: My PP was up 4.76% in Jan with a normal PP up 2% (I've read). Anyone else care to share some results?
The theoretical PP I track for benchmark purposes (25% each SHY/TLT/VTI/GLD, rebalanced monthly) was up 2.05% in January. My actual PP (not recently rebalanced but within 15/35 bands, and with a variety of assets in each class) was up about 2.08%.
User avatar
Cortopassi
Executive Member
Executive Member
Posts: 2059
Joined: Mon Feb 24, 2014 2:28 pm
Location: Illinois

Re: 20% annual returns over 40 years...interested?

Post by Cortopassi » Fri Feb 03, 2017 2:47 pm

My modified PP up 2.84% as of today

Total Market 15.0%
LT Bonds 25.0%
LgCap Blend 10.0%
Emerging Mkt 5.0%
SmCapVal 5.0%
Cash 10.0%
Gold 25.0%
Silver 5.0%
User avatar
Kbg
Executive Member
Executive Member
Posts: 1675
Joined: Fri May 23, 2014 4:18 pm

Re: 20% annual returns over 40 years...interested?

Post by Kbg » Thu Feb 23, 2017 11:51 pm

I'll wait until Mar 31 for numbers...just some position commentary for now.

YTD 8+% and an account new high, beating a 100% SPY port thus far this year by about 3%. Hopefully some more new high mountain gets built before the inevitable find the next trough decline begins. That's all we can wish for. In any event, these are great results since the S&P 500 has been on a tear this year.

Holding one's nose and buying UGLD is again paying off this year. I rebalanced on 12/12 so I didn't get the bottom but up 21% since then. Shall we hope for another run to 15?

SPXL has been super this year while TNA is hurting relatively. However, since I had an equities rebalance in Feb 2016 SPXL is up 114% while TNA is up 190%.

The little engine that could has been my small allocation to XIV...up 300% since last Feb and nope, still not a typo. Rebalanced out 2 days before the XIV high this year and XIV is off 10% since then. Time to get whacked in the not too distant future I'm sure...go TMF and UGLD!

For sure I think I've had some beyond amazingly good luck in rebalance dates and this has boosted results from the baseline a fair amount over the past year plus...but every rebalance has been according to plan. Selling off amazing winners and buying the stinky stuff is never easy for sure but three very rowdy pigs properly chosen and put in a sack work well together. By way of final comment. Look at those individual numbers...seriously insane, really, when viewed in isolation. And, the opposite is going to happen we can bet on it...but if one can just get their brains wrapped around log and inverse log for performance profiles then the madness maybe isn't so insane after all. Or, those numbers in the triple digits and only +8% what's with that?! Think upon this, study it, read up on it...plenty of material previously posted and links made available.
Mr Vacuum
Executive Member
Executive Member
Posts: 164
Joined: Tue Jan 19, 2016 11:51 am

Re: 20% annual returns over 40 years...interested?

Post by Mr Vacuum » Wed Mar 01, 2017 9:05 pm

I finally bought a little more TMF in my little VP started 7/15. It was down to about 10.4%, very close to the band, and Fidelity just dropped a few bucks off commissions. I'm sure it will continue to drop like a rock now.
User avatar
Kbg
Executive Member
Executive Member
Posts: 1675
Joined: Fri May 23, 2014 4:18 pm

Re: 20% annual returns over 40 years...interested?

Post by Kbg » Wed Mar 01, 2017 9:43 pm

Mr Vacuum wrote:I finally bought a little more TMF in my little VP started 7/15. It was down to about 10.4%, very close to the band, and Fidelity just dropped a few bucks off commissions. I'm sure it will continue to drop like a rock now.
It very well could...if you have my luck it is guaranteed to go down more. (Small anecdote, I literally tell myself (now) that as soon as I start any new trading/investing plan it will immediately have one of its worst losses ever. For some reason that seems to help mentally as it usually does occur. :-) )

Seriously though, have a plan, have lots of cash (at least 50%), stick to whatever rebalancing rules you have. Only put into this portfolio the amount you can mentally and emotionally stick with. If you have to, do baby steps/amounts until you gain confidence or lose it with hopefully only a small loss.

My personal experience 2014 not bad, 2015 awful (around an 18% max dd with -10% for the year) while last year was great. I haven't had a single rebalance that "felt good" but it is much easier to pull the trigger now. There's really no guarantee this stuff is going to work. If the PP continues to work, I'm not worried at all. But as I have repeatedly posted...this is not your grandfather's PP and it will not be a smooth ride particularly at the individual asset level
Mr Vacuum
Executive Member
Executive Member
Posts: 164
Joined: Tue Jan 19, 2016 11:51 am

Re: 20% annual returns over 40 years...interested?

Post by Mr Vacuum » Wed Mar 01, 2017 10:07 pm

Right, after running a paper version for a while, I started this small VP in a small rollover IRA, maybe 1-2% of total investments. 50% cash for sure and no XIV unless Fidelity drops commissions another $3. If Harry's fundamentally right that the winner wins by more than the losers lose, it makes too much sense not to experiment. With no new contributions, my VP will stay small.

Interesting observation that it never feels right to rebalance. I kinda like buying junk and basically got tired of checking bands every time bonds went down and said it's time, a hair above the band.
User avatar
Kbg
Executive Member
Executive Member
Posts: 1675
Joined: Fri May 23, 2014 4:18 pm

Re: 20% annual returns over 40 years...interested?

Post by Kbg » Wed Mar 01, 2017 10:54 pm

Speaking of XIV...I will probably start reporting on a different mix this year along with the standard versions I reported last year. The new version will have 50-60% cash and either 12.5/10% to SPXL/TMF/UGLD/XIV. I need to do some more research though. On the surface it is looking to be, paradoxically, a less volatile ride with better performance. That's what the broad backtests say, but I need to segment up different market periods in terms of up/down/sideways/volatile/mellow and see what is really going on under the hood. XIV is as heinously volatile as the other three, but unlike the other three it does really well when the stock market is drifting around doing nothing. Meanwhile, SPXL is having a big ole drag lunch fest on your account balance. Another thing nice about XIV is it is a distinct form of risk premia.
Wonk
Executive Member
Executive Member
Posts: 470
Joined: Wed May 12, 2010 8:00 am

Re: 20% annual returns over 40 years...interested?

Post by Wonk » Fri Mar 03, 2017 2:26 pm

Wow, great to see this thread a few years later...

In backtests to 2012, I'm coming up with a CAGR leverage factor of 1.7 and 2.5 on the 2x & 3x simulations respectively. Anyone else seeing the same? I've played with a few variables such as time frame, cash %, etc and the numbers are very similar in each case. What's interesting is that risk factors like SD & MaxDD are nearly perfect 2x & 3x match of standard 1x while CAGR comes up short. No surprise that Sharpe is highest in a 1x scenario. Also worth noting that US market correlation goes up as the gearing increases--slight, but it's there. 0.28, 0.29, 0.31 respectively.
User avatar
Kbg
Executive Member
Executive Member
Posts: 1675
Joined: Fri May 23, 2014 4:18 pm

Re: 20% annual returns over 40 years...interested?

Post by Kbg » Fri Mar 03, 2017 9:36 pm

Wonk,

I think basically that's a good estimate. But as I've hammered here in my posts, specific results are very path dependent. If you can figure out a way to extend good runs the math of compounding can work for you instead of against you. I am of the belief it is better to employ bands as a result, and knock on wood, I've gotten a bit of an add to the bottom line over the ports leverage factor.
User avatar
Kbg
Executive Member
Executive Member
Posts: 1675
Joined: Fri May 23, 2014 4:18 pm

Re: 20% annual returns over 40 years...interested?

Post by Kbg » Tue Mar 28, 2017 10:22 pm

Friction Update

Year 1x 3xAnn 3xQtr LevAnn LevQtr
2012 20.85 37.35 31.99 1.79 1.53
2013 14.18 27.04 19.55 1.91 1.38
2014 17.32 27.78 30.03 1.60 1.73
2015 06.81 05.5 10.46 0.81 1.54
2016 09.81 15.74 19.59 1.60 2.00
2017 03.19 5.89 6.71 1.85 2.10

Sorry...this pretty much sucks as a table, maybe one day I'll learn how to do tables. In any event, the columns show 1x annual rebalance as compared to 3x annual and quarterly rebalances with the far right columns showing the leverage factor achieved. So we are definitely taking a bit of a hair cut here. I would be none too happy with the above.

If one adds the dab of XIV I'm using then it puts one solidly at 2x leverage with just a tad less drawdown. However, for the most part it is been a solid bull market the entire time. Still waiting for that bear market in equities to see what happens.

Now for some pure torture...a very simple 50% cash and 25% each to TMF and XIV returns 159% rebalanced monthly...and has LESS drawdown and has not had a single losing year, and has had double digit years except for one and is up 14.2% this year and has tripled your beginning balance if started on 1/1/11...
modeljc
Executive Member
Executive Member
Posts: 199
Joined: Sat Feb 04, 2012 11:52 am

Re: 20% annual returns over 40 years...interested?

Post by modeljc » Wed Mar 29, 2017 5:56 pm

Kbg wrote:Friction Update

Year 1x 3xAnn 3xQtr LevAnn LevQtr
2012 20.85 37.35 31.99 1.79 1.53
2013 14.18 27.04 19.55 1.91 1.38
2014 17.32 27.78 30.03 1.60 1.73
2015 06.81 05.5 10.46 0.81 1.54
2016 09.81 15.74 19.59 1.60 2.00
2017 03.19 5.89 6.71 1.85 2.10

Sorry...this pretty much sucks as a table, maybe one day I'll learn how to do tables. In any event, the columns show 1x annual rebalance as compared to 3x annual and quarterly rebalances with the far right columns showing the leverage factor achieved. So we are definitely taking a bit of a hair cut here. I would be none too happy with the above.

If one adds the dab of XIV I'm using then it puts one solidly at 2x leverage with just a tad less drawdown. However, for the most part it is been a solid bull market the entire time. Still waiting for that bear market in equities to see what happens.

Now for some pure torture...a very simple 50% cash and 25% each to TMF and XIV returns 159% rebalanced monthly...and has LESS drawdown and has not had a single losing year, and has had double digit years except for one and is up 14.2% this year and has tripled your beginning balance if started on 1/1/11...
Been following this topic off and on. Started getting interested recently and I did ETF replay to see when you might rebalance. Right out of the box I looked at 2015 and got -5.52 SPXL, -13.7% TMF and -34.3% for UGLD. The annual loss was -8.7% if this is right? Seems there is an error as the SPY was up. Maybe decay but WOW! This could be the worst nightmare if all the Three horsemen fall together with rising interest rates or whatever.
Let me know what happen in year 2015?
Post Reply