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Talk about all normal (i.e. non-personal) investing questions and points, investing information, and concept.
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Re: HEDGEFUNDIE’s excellent adventure Part II: The next journey
jarjarM wrote: ↑Fri Aug 02, 2024 6:42 pmfirebirdparts wrote: ↑Fri Aug 02, 2024 6:40 pm
Seems like we crossed into the “dangerous information is dangerous information” period at the moment. I do not know if we’ll keep there, however for at the moment no less than UPRO and TMF transferring reverse instructions on imagined rate of interest motion.TMF did a great job at the moment. Too dangerous my TMF allocation is skewed so it did not save me
about time, proper! hope we’re previous the inflation scare for now. I want there was a leveraged lengthy TIPS fund. there are a number of inflationary dangers (like local weather change, demographic employees scarcity, mass deportation of employees) that make me cautious of holding a nominal Treasury fund when there is no such thing as a cap on nominal charges. presumably actual charges cannot get too excessive
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Re: HEDGEFUNDIE’s excellent adventure Part II: The next journey
TrendingValue wrote: ↑Thu Jul 04, 2024 10:56 pmskierincolorado wrote: ↑Thu Sep 02, 2021 1:53 pmLTCM wrote: ↑Thu Sep 02, 2021 1:36 pmskierincolorado wrote: ↑Thu Sep 02, 2021 7:45 am
I feel there are different brokers (TastyWorks?) that allow you to maintain STT as collateral for futures. It isn’t a giant concern for me although so long as I am not holding extreme money collateral.I feel its very laborious (unimaginable) to search out brokers that assist you to maintain STT as collateral as a retail investor (particularly in retirement accounts). Discovering one on could be a reasonably large deal for the effectivity of this technique.
Any person on this thread posted 2 years in the past that Tradestation permits it: viewtopic.php?t=289144
I am probably not involved about it and I feel the impact on the efficiency of the technique is negligible. You do not have to carry that a lot money. The charges charged by LETFs would dwarf any money drag utilizing futures by like an order of magnitude. And there at present is not any money drag as a result of charges are zero in any case.
I do know I’m going all the best way again however I’m interested in this. In my calculations, particularly at present charges, utilizing UPRO got here out cheaper when evaluating amount of money collateral wanted to not be continually checking (and curiosity foregone on holding it) with UPROs ER + 1% price of borrowing.
Use FOPs to get rid of money drag
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Re: HEDGEFUNDIE’s excellent adventure Part II: The next journey
For some time I used to be however then I discovered utilizing field spreads + monitoring constructive money steadiness in an IRA to be a problem. In taxable, the place you’ll be able to go unfavourable on money for futures and/or use field unfold to lever equities – it is a no brainer over LETFs. However in an IRA… 30 bps is not horrible to scale back mind harm.
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Re: HEDGEFUNDIE’s excellent adventure Part II: The next journey
That is what I keep in mind, too. However the Volcker shock was in 1981-1982, but the change from constructive to unfavourable correlation between long-term Treasuries and shares occurred across the yr 2000. I do not keep in mind HEDGEFUNDIE addressing that. Was the year-2000 impact attributed to a year-1982 trigger? If not, was there another Fed coverage change round 2000 that’s supposed to elucidate it?
Annual revenue twenty kilos, annual expenditure nineteen nineteen and 6, consequence happiness; Annual revenue twenty kilos, annual expenditure twenty kilos ought and 6, consequence distress.
Re: HEDGEFUNDIE’s excellent adventure Part II: The next journey
nisiprius wrote: ↑Fri Sep 06, 2024 12:50 pmThat is what I keep in mind, too. However the Volcker shock was in 1981-1982, but the change from constructive to unfavourable correlation between long-term Treasuries and shares occurred across the yr 2000. I do not keep in mind HEDGEFUNDIE addressing that. Was the year-2000 impact attributed to a year-1982 trigger? If not, was there another Fed coverage change round 2000 that’s supposed to elucidate it?
5 or ten years from now will we glance again on this COVID interval, ensuing TEMPORARY inflation, and the fed’s transfer to boost charges and preserve them there longer than mandatory as a coverage shift or a blip?
laborious to see the forest for the bushes when a tree is falling on you, however we did not get hit and inflation is over. long run charges are above 4%, 1,000,000 miles above the place they had been once I began this journey; and whereas brief time period charges are inverted the ache is over and they are going to be dropping. lengthy stay HFEA.
“TE OCCIDERE POSSUNT SED TE EDERE NON POSSUNT NEFAS EST”
Re: HEDGEFUNDIE’s excellent adventure Part II: The next journey
bgf wrote: ↑Fri Sep 06, 2024 3:06 pmnisiprius wrote: ↑Fri Sep 06, 2024 12:50 pmThat is what I keep in mind, too. However the Volcker shock was in 1981-1982, but the change from constructive to unfavourable correlation between long-term Treasuries and shares occurred across the yr 2000. I do not keep in mind HEDGEFUNDIE addressing that. Was the year-2000 impact attributed to a year-1982 trigger? If not, was there another Fed coverage change round 2000 that’s supposed to elucidate it?
5 or ten years from now will we glance again on this COVID interval, ensuing TEMPORARY inflation, and the fed’s transfer to boost charges and preserve them there longer than mandatory as a coverage shift or a blip?
laborious to see the forest for the bushes when a tree is falling on you, however we did not get hit and inflation is over. long run charges are above 4%, 1,000,000 miles above the place they had been once I began this journey; and whereas brief time period charges are inverted the ache is over and they are going to be dropping. lengthy stay HFEA.
Or we’ll look again on the put up monetary disaster interval and see that rates of interest had been too low for too lengthy and now we’ve merely normalized.
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Re: HEDGEFUNDIE’s excellent adventure Part II: The next journey
However my query is whether or not there’s cause-and-effect between Volcker’s actions in 1981 and stock-bond correlations turning unfavourable in 2000. If it is cause-and-effect, why the two-decade delay?
Annual revenue twenty kilos, annual expenditure nineteen nineteen and 6, consequence happiness; Annual revenue twenty kilos, annual expenditure twenty kilos ought and 6, consequence distress.
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Re: HEDGEFUNDIE’s excellent adventure Part II: The next journey
TrendingValue wrote: ↑Fri Sep 06, 2024 12:33 pm
For some time I used to be however then I discovered utilizing field spreads + monitoring constructive money steadiness in an IRA to be a problem. In taxable, the place you’ll be able to go unfavourable on money for futures and/or use field unfold to lever equities – it is a no brainer over LETFs. However in an IRA… 30 bps is not horrible to scale back mind harm.
The price of LETFs is by magnitudes increased than the money drag of futures, even if you’re lazy and permit a beneficiant money steadiness.
Re: HEDGEFUNDIE’s excellent adventure Part II: The next journey
nisiprius wrote: ↑Fri Sep 06, 2024 12:50 pmThat is what I keep in mind, too. However the Volcker shock was in 1981-1982, but the change from constructive to unfavourable correlation between long-term Treasuries and shares occurred across the yr 2000. I do not keep in mind HEDGEFUNDIE addressing that. Was the year-2000 impact attributed to a year-1982 trigger? If not, was there another Fed coverage change round 2000 that’s supposed to elucidate it?
I do not assume Hedgefundie ever deal with that individual level nevertheless it was mentioned partially I by different contributors. There have been basically two arguments supporting the continuation of the unfavourable correlation. One is the inclination for a extra energetic Fed from the Bernanke on to take extra drastic motion throughout financial turmoils (dot com bust, 9/11, GFC, 2018 mini crash, Covid to call a couple of). The opposite is the long run development of decreasing rate of interest for the reason that 1600s with the trendy liquidity of capital that capital will move freely and shortly from danger to risk-free belongings throughout market correction.
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Re: HEDGEFUNDIE’s excellent adventure Part II: The next journey
I do not know what HEDGEFUNDIE would say, and I haven’t got any private curiosity within the HFEA technique, however I feel one of many typical academic answers to what drives stock-bond correlations is the concept that the correlation turns into unfavourable when actual rates of interest get low sufficient. This appears in keeping with the lag impact you’re noting. Whereas Volker’s actions allowed rates of interest to start to normalize after 1982, it took fairly a very long time for real interest rates to return to low ranges, which typically appears to coincide with the swap in 2000.
Constructing TIPS ladder for all residual wants and a few needs after SS, pension, and paid-off home. Different needs from 5% fixed share from Threat Portfolio (80/20 AA w/ 80% world + 20% US-tilt)
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Re: HEDGEFUNDIE’s excellent adventure Part II: The next journey
comeinvest wrote: ↑Fri Sep 06, 2024 5:54 pmTrendingValue wrote: ↑Fri Sep 06, 2024 12:33 pm
For some time I used to be however then I discovered utilizing field spreads + monitoring constructive money steadiness in an IRA to be a problem. In taxable, the place you’ll be able to go unfavourable on money for futures and/or use field unfold to lever equities – it is a no brainer over LETFs. However in an IRA… 30 bps is not horrible to scale back mind harm.The price of LETFs is by magnitudes increased than the money drag of futures, even if you’re lazy and permit a beneficiant money steadiness.
In an IRA? No?
Assume you get the identical borrowing charges between utilizing SP500 Micro E-Minis and LETFs. So, we’re simply evaluating ER to Money Drag. Take away needing field spreads since I do not need the mind harm.
I at present maintain 10% of my portfolio in LETFs. That prices me 9 bps yearly.
If I would like the identical publicity utilizing MES and sufficient money to account for a ten% drop it could imply holding 7% of my portfolio in money which might forego 5.3% at present. (Want 2x margin minimal + quantity to cowl 10% drop).
Now, in backtest, LETFs have had a 1% drag in comparison with direct held leverage (as we’ve mentioned above, consists of ER).
What am I lacking?
I might like to be incorrect right here and compelled to make use of futures as a result of the financial savings are too good.
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Re: HEDGEFUNDIE’s excellent adventure Part II: The next journey
LoveTheBogle wrote: ↑Fri Sep 06, 2024 6:53 pmThanks. Kind of an fascinating dialogue. I acquired so distracted by the a whole lot of occasions the man mentioned “you realize”. Starting, center, or finish of an announcement, nearly all statements had a “you realize” in it. It is rather laborious for me to take anybody severely that does that in interview speech.
I work together with HML usually and I can inform you that he is one of many smartest, most beneficiant DIYers on the market. So what if he will get nervous on a podcast and makes use of filler? Not everyone seems to be constructed for or has expertise in public talking. I believed he was extremely articulate.
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Re: HEDGEFUNDIE’s excellent adventure Part II: The next journey
TrendingValue wrote: ↑Sat Sep 07, 2024 3:07 pmcomeinvest wrote: ↑Fri Sep 06, 2024 5:54 pmTrendingValue wrote: ↑Fri Sep 06, 2024 12:33 pm
For some time I used to be however then I discovered utilizing field spreads + monitoring constructive money steadiness in an IRA to be a problem. In taxable, the place you’ll be able to go unfavourable on money for futures and/or use field unfold to lever equities – it is a no brainer over LETFs. However in an IRA… 30 bps is not horrible to scale back mind harm.The price of LETFs is by magnitudes increased than the money drag of futures, even if you’re lazy and permit a beneficiant money steadiness.
In an IRA? No?
Assume you get the identical borrowing charges between utilizing SP500 Micro E-Minis and LETFs. So, we’re simply evaluating ER to Money Drag. Take away needing field spreads since I do not need the mind harm.
I at present maintain 10% of my portfolio in LETFs. That prices me 9 bps yearly.
If I would like the identical publicity utilizing MES and sufficient money to account for a ten% drop it could imply holding 7% of my portfolio in money which might forego 5.3% at present. (Want 2x margin minimal + quantity to cowl 10% drop).
Now, in backtest, LETFs have had a 1% drag in comparison with direct held leverage (as we’ve mentioned above, consists of ER).
What am I lacking?
I might like to be incorrect right here and compelled to make use of futures as a result of the financial savings are too good.
I acquired a bit misplaced in your numbers video games; however reality is that the frequent LETFs have ca. 1% expense ratio (or 0.33% on publicity to the asset class). Futures have ca. 0% if you happen to use FOPs as collateral.
You probably have solely 10% in LETFs, all numbers scale down. If you happen to had only one% in LETFs, they might scale down additional. If one thing that provides or removes ca. 1% annual portfolio drag in your LETF publicity (or ca. 0.33 on you publicity to the asset class) causes you mind harm, you then may wish to see a physician. Or if you happen to merely do not care, then pay the bills. What does any of that should do with the details at hand.
