PP Inspired Leveraged Portfolios

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

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Mark Leavy
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Re: PP Inspired Leveraged Portfolios

Post by Mark Leavy » Sun Sep 27, 2020 12:57 pm

Thanks again, Kbg. I spent all morning on this and I'm pretty comfortable with your reasoning. You really have a good mind.

Now, I just need another week or so of pondering and what/ifs to game how these variable would fit in with my life. I like about 40% of my assets in physical gold and about 5 years of living expenses in cash. The rest should be making me money - over the very long term.

I'm going to play around for a bit and run every scenario I can think of. Much like Vinny, (who I suspect has not yet taken the PP jump :) I'm a slow moving guy.

Whenever I read well thought out plans or strategies, I always wonder what the author really knows, and how much was elided for the purpose of public consumption.

Mark
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Re: PP Inspired Leveraged Portfolios

Post by vnatale » Sun Sep 27, 2020 1:09 pm

Mark Leavy wrote:
Sun Sep 27, 2020 12:57 pm
Thanks again, Kbg. I spent all morning on this and I'm pretty comfortable with your reasoning. You really have a good mind.

Now, I just need another week or so of pondering and what/ifs to game how these variable would fit in with my life. I like about 40% of my assets in physical gold and about 5 years of living expenses in cash. The rest should be making me money - over the very long term.

I'm going to play around for a bit and run every scenario I can think of. Much like Vinny, (who I suspect has not yet taken the PP jump :) I'm a slow moving guy.

Whenever I read well thought out plans or strategies, I always wonder what the author really knows, and how much was elided for the purpose of public consumption.

Mark
100% correct assumption on your part! Good memory!

Vinny
"I only regret that I have but one lap to give to my cats."
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Kbg
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Re: PP Inspired Leveraged Portfolios

Post by Kbg » Sun Sep 27, 2020 8:15 pm

There are somethings I make allusions to (my momentum system) and things that are fully disclosed/discussed. This is in the latter and the entire thread and previous similar one I hijacked have been A) research/observations real time and B) has a substantial piece of my retirement funds in.

Thoughtful criticism/critiques new ideas/approach/tweaks within the basic framework of what this thread is about are heartily welcomed.
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Mark Leavy
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Re: PP Inspired Leveraged Portfolios

Post by Mark Leavy » Sun Sep 27, 2020 8:47 pm

Kbg wrote:
Sun Sep 27, 2020 8:15 pm
Thoughtful criticism/critiques new ideas/approach/tweaks within the basic framework of what this thread is about are heartily welcomed.
Not criticism. Admiration.
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Re: PP Inspired Leveraged Portfolios

Post by mrbk2fi » Sat Oct 10, 2020 5:33 pm

Ozzy - how is this new allocation treating you recently?
ozzy wrote:
Mon Jun 22, 2020 8:01 pm
Houston, we have a problem. UGLD is being de-listed, see article here:

https://www.prnewswire.com/news-release ... 80971.html

This is a real bummer. I've owned UGLD since 2014 and made good money with it. I'm going to sell it and pay tax, then replace it with UGL (2x gold).

To bring ya'll up to speed, I've been running my own version of a leveraged PP, which consists of: 45% UPRO, 35% TMF, 20% UGLD, rebalanced yearly.

Now, I'm thinking my new version will be: 40% UPRO, 30% TMF, 30% UGL, rebalanced yearly. Its very similar performance, here's the comparison between the old and new versions:

https://www.portfoliovisualizer.com/bac ... tion6_2=30
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Re: PP Inspired Leveraged Portfolios

Post by ozzy » Sun Oct 11, 2020 3:21 am

mrbk2fi - You can track the allocation here:

https://www.portfoliovisualizer.com/bac ... tion3_1=30
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Re: PP Inspired Leveraged Portfolios

Post by modeljc » Thu Oct 15, 2020 12:30 pm

Kbg wrote:
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.
I showing this to have a Max drawdown of 44%. Why so high when you have 115% outside of TQQQ with 75% in TQQQ? Does your rebalance take some of this out? What rebalance do you use?
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Re: PP Inspired Leveraged Portfolios

Post by Kbg » Sat Oct 17, 2020 8:25 pm

modeljc wrote:
Thu Oct 15, 2020 12:30 pm
Kbg wrote:
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.
I showing this to have a Max drawdown of 44%. Why so high when you have 115% outside of TQQQ with 75% in TQQQ? Does your rebalance take some of this out? What rebalance do you use?
What data are you using for a 44% drawdown? Portfolio level or TQQQ?
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Re: PP Inspired Leveraged Portfolios

Post by modeljc » Sun Oct 18, 2020 10:12 am

Kbg wrote:
Sat Oct 17, 2020 8:25 pm
modeljc wrote:
Thu Oct 15, 2020 12:30 pm
Kbg wrote:
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.
I showing this to have a Max drawdown of 44%. Why so high when you have 115% outside of TQQQ with 75% in TQQQ? Does your rebalance take some of this out? What rebalance do you use?
What data are you using for a 44% drawdown? Portfolio level or TQQQ?
Using Portfolio Visualizer I get 33.48% CAGR with -43.94 drawdown with no rebalancing! Seems high. With rebalance annually I only get a CAGR of 16.09% and drawdown of -12.3%. This seems low. Probably something wrong with the data. What rebalance system do you plan to use? Thanks for the help.
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Re: PP Inspired Leveraged Portfolios

Post by modeljc » Sun Oct 18, 2020 5:19 pm

modeljc wrote:
Sun Oct 18, 2020 10:12 am
Kbg wrote:
Sat Oct 17, 2020 8:25 pm
modeljc wrote:
Thu Oct 15, 2020 12:30 pm
Kbg wrote:
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.
I showing this to have a Max drawdown of 44%. Why so high when you have 115% outside of TQQQ with 75% in TQQQ? Does your rebalance take some of this out? What rebalance do you use?
What data are you using for a 44% drawdown? Portfolio level or TQQQ?
Using Portfolio Visualizer I get 33.48% CAGR with -43.94 drawdown with no rebalancing! Seems high. With rebalance annually I only get a CAGR of 16.09% and drawdown of -12.3%. This seems low. Probably something wrong with the data. What rebalance system do you plan to use? Thanks for the help.
Would you be willing so share how much of your total assets you apply to this system? I remember WONK not trusting these new products and had 45 % gold physical and 25% in SHY. This gave him a 70% safety outside of the new leveraged products. Willing to see 15% to 30% get no bid. Your new allocation has 65% in the new products. How did your overcome this unknown risk with leveraged new products? I'm ok with decay and expenses. Again we appreciate your posts.
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Re: PP Inspired Leveraged Portfolios

Post by Kbg » Sun Oct 18, 2020 5:56 pm

A lot

Of course one rebalances more frequently. One must do so when using 3x ETFs. My rebalancing method has been explained earlier but remember risk control is the primary reason for rebalancing. The rebalancing rules for a leveraged PP and a normal PP are not the same, nor should they be. The volatility of 3x ETFs must be respected and the rebalancing approach should be tailored to the volatility inherent in them. As a basic difference, one should rebalance more not less. A simple approach would be monthly or quarterly.

A good way to think about things is the effective non-leveraged size. So if I’m 25% TQQQ, I’m really 75% QQQ. If my allocation then grows to 30%, the effective is then 90%. It would take a very long time to have that kind of swing in a PP, but in a leveraged PP that can happen in a month. Do you really want a 90% allocation or are you more comfortable with 75%? If so, time to rebalance.

Never forget the best rebalancing strategy is path dependent, which is unknowable in advance. Therefore, risk and taxes should be your guide...and with 3xETFs, I suggest risk should be the primary driver.
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Re: PP Inspired Leveraged Portfolios

Post by Kbg » Sun Oct 18, 2020 6:00 pm

On performance...those numbers are good. Basically holding TQQQ since inception would have made anyone wealthy. However, one should model 2000-2002 with a simulated TQQQ...my mix tries to be a mix for the long haul.
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