PP Inspired Leveraged Portfolios

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

Moderator: Global Moderator

User avatar
Kbg
Executive Member
Executive Member
Posts: 1763
Joined: Fri May 23, 2014 4:18 pm

Re: PP Inspired Leveraged Portfolios

Post by Kbg » Mon Jun 22, 2020 8:35 pm

Yeah we do. Thanks for posting I was just coming to post this.

In addition to UGL, I think DGP is worth a look. They both have their pros and cons.

DGP, cheaper, clearly better performing, no K-1...big downside it's an ETN, but so was UGLD. Personally, if one could digest UGLD then I think DGP is the better choice. In a taxable, probably need to dig deep into the tax implications. I can't remember if UGL would be a 1256. If so, then advantage probably to UGL in a taxable account.

While it is definitely more work, in one account I switched to MGC to get the hang of running the stock and gold components with futures vs. ETFs. I will likely switch the other account that I can do this to gold futures (MGC).
User avatar
Kbg
Executive Member
Executive Member
Posts: 1763
Joined: Fri May 23, 2014 4:18 pm

Re: PP Inspired Leveraged Portfolios

Post by Kbg » Thu Jul 16, 2020 10:06 pm

A quick update...thus far another "I need to pinch myself" year...accounts doing this are all 25%+ on the year.

Haven't decided yet, but I think I will probably ditch the futures. Too much of a hassle in a tax advantaged account. Another option may be to just keep the gold contract as the Nasdaq 100 ETFs are doing just fine and very efficient to trade.
User avatar
Kbg
Executive Member
Executive Member
Posts: 1763
Joined: Fri May 23, 2014 4:18 pm

Re: PP Inspired Leveraged Portfolios

Post by Kbg » Thu Aug 06, 2020 2:16 pm

North of 30% now, cash/STT's dropped below 50% in several accounts so re topped to my allocation of 55%
var
Associate Member
Associate Member
Posts: 36
Joined: Thu Jan 07, 2016 11:12 pm

Re: PP Inspired Leveraged Portfolios

Post by var » Fri Aug 07, 2020 8:04 pm

Good heads up on ULGD... i sold it when it was in the OTC.

I feel leveraged ETF to be safer then ETN.

UGL might not be a perfect solution. but a little NUGT with it might add to the leverage.


Otherwise, my Variable PP is doing pretty well. On the bond side. the 3X fund and 2X seem to have considerable tracking errors. yu fo

Prob best to lighten up if you feel an impending bear market in the future.
var
Associate Member
Associate Member
Posts: 36
Joined: Thu Jan 07, 2016 11:12 pm

Re: PP Inspired Leveraged Portfolios

Post by var » Wed Aug 19, 2020 12:02 pm

Ubt imploded yesterday. -47 pct
C6EAFCB5-368A-459D-8E52-C70051354C4E.png
C6EAFCB5-368A-459D-8E52-C70051354C4E.png (551.96 KiB) Viewed 557 times

Any news why?

Proshares usually good with other products.

One needs to be careful
User avatar
ozzy
Executive Member
Executive Member
Posts: 161
Joined: Sat Dec 17, 2011 9:34 pm
Location: Tampa, Florida
Contact:

Re: PP Inspired Leveraged Portfolios

Post by ozzy » Wed Aug 19, 2020 6:52 pm

Var - do your own UBT? Can you confirm it imploded? I don't see any evidence. According to Morningstar, as of 8/18/20, its up 41% YTD: https://www.morningstar.com/etfs/arcx/ubt/performance
var
Associate Member
Associate Member
Posts: 36
Joined: Thu Jan 07, 2016 11:12 pm

Re: PP Inspired Leveraged Portfolios

Post by var » Thu Aug 20, 2020 10:40 pm

Maybe charting was off that day.

No I don’t own it. It’s trading volume way to low.

I been watching it does have a lot of tracking errors.
User avatar
Kbg
Executive Member
Executive Member
Posts: 1763
Joined: Fri May 23, 2014 4:18 pm

Re: PP Inspired Leveraged Portfolios

Post by Kbg » Fri Aug 21, 2020 10:05 am

I tried to swap UGL for DGP, but my company retirement plan has a restriction on it...go figure.
User avatar
Kbg
Executive Member
Executive Member
Posts: 1763
Joined: Fri May 23, 2014 4:18 pm

Re: PP Inspired Leveraged Portfolios

Post by Kbg » Mon Aug 31, 2020 11:50 pm

The "official" mix is changing.

VGSH 35%, UST 30%, TQQQ 25%, DGP 5%, VIXY 5%

Decided to add some pure negative correlation to the mix and I could see no redeeming quality to holding TMF anymore when VIXY is guaranteed to be negatively correlated.

Overall up this year ranging from 36-42% with actual money.
User avatar
Kbg
Executive Member
Executive Member
Posts: 1763
Joined: Fri May 23, 2014 4:18 pm

Re: PP Inspired Leveraged Portfolios

Post by Kbg » Thu Sep 24, 2020 11:50 pm

It has been a while since an official update...so let's do one.

My personal mix has changed this year:

Start: 60% VGSH, 20 TQQQ, 10 TMF, 10 UGLD

Then: 55% VGSH, 20 TQQQ, 10 TMF, 15 DGP (adjustment for the demise of UGLD)

Now: VGSH 35%, UST 30%, TQQQ 25%, DGP 5%, VIXY 5%

I will ignore the "Start" mix as it really isn't tradable anymore for performance.

Through the close on 9/24/20:

Then Portfolio: 23.40%, MDD - 18.33%

Now Portfolio: 21.75%, MDD - 13.64%

Live Portfolio: 25.71%. MDD ??

As noted previously the live portfolio includes some timing on my part...strictly done however within the overall construct of the portfolio. What I'm doing is timing rebalances which with leveraged ETFs is worth doing more contrary to the standard advice for unleveraged assets where less is often better. Risk control is key when using leverage and if you have an ok timing system then it can add value which (I think) I've demo'ed for most years I've posted.

I bailed on the futures version of this which I experimented with in an IB IRA. Keeping track of margin and required cash balances was just too much pain in the butt and there are settlement/trading restrictions which, strangely enough, is not the case with leveraged ETFs. This was even worse I thought. So went back to ETFs which is a bit of a bummer cost wise.

The board has discussed LTTs quite a bit lately and the "Then" and "Now" allocation mixes reflect my decision. I would not be the least bit surprised to see me bail sometime down the road on UST to further shorten duration. To compensate for pulling out some diversification you can see I've added VIXY (actually VXX) which provides pretty much guaranteed negative correlation when one needs it. And the recent performance stats are beautiful for illustrating the pros/cons of using VIXY. Rounding off (using above performance #s) 1.75% less return for 4.75% less max drawdown. However, let's break it down a little bit more to illustrate what happens under the hood. The numbers just below are the two respective portfolios time segmented by market type.

2/19 - 3/23 Then -8.51% Now +.94% (big down market)
3/23 - 9/2 Then +89.91% Now +99.89% (big up market)
9/2 - 9/24 Then -8.57% Now - 9.26% (down market - size TBD)

Big down market...actually eked out a small profit. VIXY up ~654% (1K = 5.95K), TQQQ down 73% (5K = 1.36K)..If this stuff is of interest to you, this math is well worth pondering. However lest I oversell this thing I said you should consider carefully, our hedge that did so wonderful in Feb-March lost 7% in this latest decline which is typical. In the bull market it lost 40%ish of it's value. Just ain't no such thing as a free lunch folks. (OBTW...both allocations had way better performance and way less risk than a 100% QQQ portfolio.)

Well, I think this was one of my better updates in awhile. Most of the key principles and examples of running a leveraged portfolio I wrote about extensively a couple of years ago. This one adds the element of long VIX futures and how they behave. Hope my long time readers enjoyed it.
User avatar
Mark Leavy
Executive Member
Executive Member
Posts: 1043
Joined: Thu Mar 01, 2012 10:20 pm
Location: US Citizen, Permanent Traveler

Re: PP Inspired Leveraged Portfolios

Post by Mark Leavy » Fri Sep 25, 2020 8:49 am

Kbg wrote:
Thu Sep 24, 2020 11:50 pm
Hope my long time readers enjoyed it.
Thanks Kbg! I'll sit down with this over the weekend and go over it with a fine toothed comb. I always learn a ton when I pick apart the machinery behind your allocations. I'm looking forward to it.

Mark
User avatar
Kbg
Executive Member
Executive Member
Posts: 1763
Joined: Fri May 23, 2014 4:18 pm

Re: PP Inspired Leveraged Portfolios

Post by Kbg » Fri Sep 25, 2020 10:12 am

Mark Leavy wrote:
Fri Sep 25, 2020 8:49 am
Kbg wrote:
Thu Sep 24, 2020 11:50 pm
Hope my long time readers enjoyed it.
Thanks Kbg! I'll sit down with this over the weekend and go over it with a fine toothed comb. I always learn a ton when I pick apart the machinery behind your allocations. I'm looking forward to it.

Mark
Tip...spend time looking at basically a ratio of VIXY/VXX to your leveraged stock component. Also, UVXY just has way too much contango to overcome. I was hoping to use less UVXY but it doesn’t seem to work out well. And as noted, UST is probably my biggest “should I use this” question about the allocation. Wish I could predict interest rates. :-)
Post Reply