leveraged portfolios

[mathjak107]

i didn’t know we are playing a game. lol

[Wile E. Coyote]

No, 6% is still kind of noncommittal. So, I am still following to see how this develops. If it is truly super low volatility it might be something I could stomach for myself.

[mathjak107]

Made the additional purchase

[Wile E. Coyote]

Originally Posted by mathjak107

Made the additional purchase

Do you pay any fees for the trades or do you have some preferential pricing?

[mathjak107]

I pay no fees at fidelity except a few cents for what they get for paperwork It’s like pennys on a trade. For the most part it’s zero

I have unlimited trades

They do search multiple exchanges though for lowest prices

[mathjak107]

i wanted to test a really rough patch for all investments
and in modern times it looks like jan 2020 was a pretty tough starting point .

so with harry brown’s permanent portfolio being the grand pappy of risk parity portfolios i compared it thru the rough patch with the reaper


20% upro a 3x leveraged equities fund
13.333% tyd a 3x leveraged bond fund
and 66.666% dbmf a non leveraged managed futures fund

the pp averaged a cagr of .38% , 100k grew to 101,256 jan 2021 to april 30 2024


the leveraged risk parity portfolio the reaper grew to 146,408 , a return of 12.12% cagr

the sharpe ratio on the carolina reaper is .85

the ratio for the pp is minus .19.



like the pp it takes crazy volatile assets and smooths them out greatly .

but it seems to do it with better gains then the pp and less risk .

worst down year for the pp was minus 13.85% .in 2022

worst year for reaper minus 2.79%in 2022

max drawdown for pp is 17.20%

for reaper 8.96%


https://www.portfoliovisualizer.com/bac ... 1Mz32vxRYK
Top


even going back to 2020 right before covid the reaper blew it away

https://www.portfoliovisualizer.com/...W34LOu41UHBuS9

[Wile E. Coyote]

Originally Posted by mathjak107

i wanted to test a really rough patch for all investments
and in modern times it looks like jan 2020 was a pretty tough starting point .

so with harry brown’s permanent portfolio being the grand pappy of risk parity portfolios i compared it thru the rough patch with the reaper


20% upro a 3x leveraged equities fund
13.333% tyd a 3x leveraged bond fund
and 66.666% dbmf a non leveraged managed futures fund

the pp averaged a cagr of .38% , 100k grew to 101,256 jan 2021 to april 30 2024


the leveraged risk parity portfolio the reaper grew to 146,408 , a return of 12.12% cagr

the sharpe ratio on the carolina reaper is .85

the ratio for the pp is minus .19.



like the pp it takes crazy volatile assets and smooths them out greatly .

but it seems to do it with better gains then the pp and less risk .

worst down year for the pp was minus 13.85% .in 2022

worst year for reaper minus 2.79%in 2022

max drawdown for pp is 17.20%

for reaper 8.96%


https://www.portfoliovisualizer.com/bac ... 1Mz32vxRYK
Top


even going back to 2020 right before covid the reaper blew it away

https://www.portfoliovisualizer.com/...W34LOu41UHBuS9

Is there a comparison using GLD, VTI, TLT and BIL? That would correlate with the Reaper ETFs...

[Wile E. Coyote]

Oh, Sheesh! I just pulled up that graph. There is an enormous performance difference.

Compare it to 75% BIL and 25% SPY for me (pretty please).

[mathjak107]

Originally Posted by Wile E. Coyote

Is there a comparison using GLD, VTI, TLT and BIL? That would correlate with the Reaper ETFs...

the permanent portfolio with bil is no where near the reaper which uses. managed futures and 3x funds ….

but using bil instead

from 2021 its 1.07% cagr 103,624

https://www.portfoliovisualizer.com/...i2ZlTJYnVjpUY6


from 2020 120,306. 4.36% cagr

https://www.portfoliovisualizer.com/...i2ZlTJYnVjpUY6


comparison to reaper from 2020

https://www.portfoliovisualizer.com/...mMnasyHZFI2PqX

[Wile E. Coyote]

Reaper looks way better.