Hfea backtest. Try r/TQQQ, r/LETFs, r/HFEA for more informed opinion.
Hfea backtest 36, and max dragdown -81. Backtest is a free backtesting tool for European index investors built by Curvo . This portfolio backtesting tool allows you to construct one or more portfolios based on the selected mutual funds, ETFs, and stocks. Safer than original HFEA, still great, market-beating returns, and super easy to rebalance. Dotcom bubble seems like its repeating itself. Edit: NVM, I think I found it. If you're trying to say that the HFEA backtest since the inception of UPRO and TMF has been positive, which coincides with the start of a bull market, then yes, a levered version of that has been positive. That translated into $10K growing to $232k for UPRO alone, vs $126k for HFEA – which seems like a lot of extra potential growth to pay for the hedge. I will be investing $950 aud ($675 usd) into this every fornight this is the backtest of SWAN simulated, SP500 and QQQs (the ETF inception date is JAN-2020). The Hedgefundie portfolio (hereby called "HFEA") is basically a leveraged variant of the good old-fashioned 60/40 portfolio of stocks and bonds. College senior here looking into the HFEA strategy before I start work full time and have money to put away every 2-ish weeks. If I were to actually use this Canary HFEA strategy, I am thinking of using UPRO/TMF HFEA takes around 5-7 years to catch back up and pass it. Backtest of "Simulated HFEA" (+25% CAGR) vs SPY (+12% CAGR) using asset classes, with The feds have lesser and lesser of a reason to continue raising rates. Summary: Use HFEA unless you want to gamble in the short term, the longer hold the higher chance of getting wiped is. 52%, sharpe 0. A place to mainly discuss Hedgefundie's Excellent Adventure (HFEA) but also similar strategies! HFEA backtest of every 3-months period between 1986 and 2022 Share Add a Comment. 😂 Unfortunately, these subs (especially the first two) are echo chambers with individuals that are incredibly uneducated in investing. I understand many people here are willing to take the risk-reward potential of HFEA, All good, just want people that come across this in a search and backtest to see when fed policy changed. Not that far off since the leveraged treasuries would have carried the portfolio here. This modified backtest suggests that the breakeven point for HFEA with SPY is above 10%, meaning HFEA carries a good amount of risk. If you would like to know the HFEA return and the optimal split/leverage over the next 10 years, write your assumptions in the comments. Backtest using 200%/1. These were done when 40/60 UPRO/TMF was the HFEA gold standard. 1. If you Adding the HFEA preset to your backtest, it very narrowly beats HFEA over this timeframe, but I think with the tax treatment I explained taken into account, it may lose. You can see this using backtests that go way back in the LEFT Simba backtest spreadsheets. 10 votes, 17 comments. HFEA is heavily weighted towards bonds (no one in their 20s / 30s would put 40% to bonds), so when you were in the greatest bonds bull run in human history, HFEA had no choice but to shoot up in the backtest. Would it be possible to substitute TLT with TMF and get similar results. r/LETFs A chip A close button. I think HFEA has a lot of room for improvement as we have seen this even if you take the backtest back a long time, holding gold as 10%, it hardly helps. 30 YEARS Please note, backtest doesn't account for 0. It even survived the 2020 March COVID-19 crash unscathed as long-term Treasurys soared sharply when stocks sold off. Backtest by Curvo is the best backtesting simulator for European index investors. Expand user menu Open settings menu Open settings menu I currently maintain 10% of my total taxable account portfolio in the HFEA UPRO/EDV strategy and have DCA’d it since November 1, 2021. I found the HFEA strategy first posted on "Opitmized Portfolio's" post . See more Therefore, I have provided the backtest below that shows a 2x 40/60 portfolio using S&P 500 and 7-10 year treasuries (P1). And another way to simulate HFEA, by using 200% and 1. Reply reply More replies More replies. Same return as NTSX but with one-third of the drawdown. 10% of my taxable portfolio is VB. 55% UPRO, 45% TMF $10,000 lump sum investment, Using that same backtest setup the HFEA max drawdown is -66% (as seen in fig 1), but UPRO alone would be -97%. Hedgefundie is was a member of the Bogleheads forum who created a now-famous threadon the forum proposing a 3x leveraged ETF strategy. About 3 years ago when HFEA was flying high, that got me downvoted to oblivion. so looks like these LETFs are not so popular. HFEA is at danger of underperforming S&P500 tho when looking at performance since March 19, 2020. I'm a big fan of the wisdom tree efficient core ETFs e. I'm not sure why some insist on pretending HFEA have never been tested over a period where rates were being slowly raised. Anyone know where I can see a backtest between the two? comments sorted by Best Top New Controversial Q&A Add a Comment. Hell, even 10% days are not out of the ordinary for this portfolio! The largest daily swing of HFEA in this backtest occurred in 2008 - to the tune of -32%! HFEA worked great thanks to the stock and bond bull market of the past decade. 4% Backtests with shorted inverse ETFs seems to lower volatility (lower st-dev), increases CAGR (so better risk/return), leading to higher Sharpe and Sortino ratios. Treasury performance before the 80's was Backtesting to create hindsight-opitimized portfolios is a dangerous game. 5% MER and taxes. Try FX Replay today for efficient and accurate strategy testing. Open comment Here is a quick back test I've done using www. Even if you want to pretend equity/bond mix isn't a thing, we also know HFEA isn't overfitting because you can test variations and things check out still. Good approach. Reply Does anyone know if the CAGR values provided in the original HFEA backtests take inflation and expense ratios into account? If not, what is the CAGR of a 55 45 split of UPRO and TMF after inflation and the expense ratio is subtracted since 1987? Here is In my opinion, that should encourage someone to buy into HFEA. That comes out to 129 % and 57% bond. You can run all of 17 votes, 22 comments. A place to discuss Hedgefundie's Excellent Adventure! This sub is dedicated to discussing an investment strategy known as Hedgefundie's Excellent Adventure (HFEA) and other leveraged/unlevered modern portfolio theory portfolios such as NTSX, PSLDX, SPY/TLT unlevered, flavors of using intermediate term treasuries, and so on. PV backtest using asset classes. Only Bredin (bredincapital. Recall from my previous article on the 60/40 that this allocation has historically So the most impressive Bogleheads forum thread of all time is a 250-someodd-page magnum opus picking apart, backtesting, deconstructing, reconstructing, and arguing heatedly HFEA does give much different returns rebalancing quarterly vs. Im working on another alternative to the standard HFEA. 9% ER. Members Online. Lost "just" 41% real 1965 to 1981 instead of 85% real with a 55/45 portfolio (from the annual LETF backtest portfolio). Let's say you made a portfolio only using their four efficient core ETFs: NTSX, NTSI, NTSE (90/60 US, Int, and EM equities) and GDE (90/90 large cap US equity and gold). Would this be a good plan or dumb? Backtest: Like barely beating stocks. quantconnect. Thanks for commenting about expectations, I had included a link to a backtest directly comparing it The german wsb reddit did a pretty good backtest and analyzed HFEA and LETF in general. While SWAN CAGR 9. Here's a graph that compares 9-Sigma (Blue) vs 100% TQQQ (Black) vs HFEA (Green). GameStop Moderna Pfizer Johnson & Johnson AstraZeneca Walgreens Best Buy Novavax SpaceX Tesla Has anyone backtested the original HFEA strategy vs. Order fill simulation that takes into account the order queue position, using provided models or your own custom model. But keeping the gold unleveraged, since backtests show leveraging gold does not help much. Backtest. Current allocations are just a nominal 25% each for ease. Adderalin has come up with a similar number as well. Post by Nate79 » Sun Oct 25, 2020 10:50 pm. In practice, HFEA would have worked better 1955-1986 using cash instead of LTTs. Any backtest of leveraged Treasuries that starts in 1955 will compare unfavorably with straight equities. This test covers 28 years, Everything I read about HFEA made it seem like a slam dunk against the S&P, but I am seeing some We are the UK's independent regulator of fertility treatment and research using human embryos. In my backtests it hat a little better sharpe but less return, but that backtest was something like 2014-2021 Reply reply more reply More replies More replies More replies. 5x leverage. For those saying not to hold leveraged instruments long term, QLD seems optimal compared to both QQQ and TQQQ. If you backtest from 2000 to 2007, emerging markets look amazing. HFEA really only exploded in returns beginning in 2009 because the Fed had to reduce the interest rate close to nothing. Do you not believe that returns from HFEA will exceed fees and volatility decay of 2x gold? When I backtest using the M1 algorithm, I tend to get the equivalent of 1 to 2% ER on average (fairly variable by year) for a UPRO/TMF or TQQQ/TMF portfolio. then -100 CASHX so it all adds up to 100. You can now clear the ticker/allocation fields, as well as assign equal weights to all/remaining tickers. Hello, I am trying to simulate HFEA on portfolio visualizer and have seen some others try to do it on this sub. I have rebalanced 3 times so far to keep up with the strategy. 60% NTSX / 40% TYD is looking real good on the backtest. Backtesting of multi-asset and multi-exchange models. The problem I'm finding is how to backtest. decades ago; light-years away. While I agree with starting with 99k from March 19 2020 to get an idea of where Hedgefundie himself is today, your backtest used 50/50 setting which is not correct. I also think that tax drag can be avoided by using new money to rebalance and abusing the no wash sale law is possible, but I need to save up for a house so new money is scarce, and wash sale abuse can only be used in a situation with losses. However the volatility really hurts it versus HFEA using one of the relatively stable US indices. This is the correct backtest. It just isn't insanely good anymore. Overhauled the portfolio UI component. But what happens when the bonds bull run ends? Well, 2022 is what happens. I am wondering to what extent this phenomenon applies to backtesting of HFEA rebalance frequencies - there may be a lot of variance in outcome depending on the specific rebalance date chosen. However we can get 3x ITTs or ,1x LTTs. You could use NTSX to match this with: 20% UPRO 4% TMF 76% NTSX HedgeFundie’s Excellent Adventure (HFEA) Backtesting the rolling returns from June 1986 to Nov 2021. Take say 10 commodities, or anything else like used cars, fine art, or plastic straws - and backtest over whatever limited backtesting timeframe - you will probably find more than one, maybe 3-5, that improve your portfolio by Sharpe ratio or whatever, The 0% constraint as you move from HFEA to mHFEA seems arbitrary. In all periods HFEA exhibits much lower volatility, and because they have similar absolute returns later on, HFEA also has superior risk-adjusted returns but I wouldn’t be so quick to claim 2x is going to be “optimal” based on it outperforming in some A high-frequency trading and market-making backtesting and trading bot in Python and Rust, which accounts for limit orders, queue positions, and latencies, utilizing full tick data for trades and order books, with real-world crypto market-making examples for Binance Futures - nkaz001/hftbacktest Seeing the arguments discussion around the 200ma HFEA made me wonder if this could be a more effective modifier. We're not interested in discussing any market timing strategies/algorithms that makes trading decisions on indicators like moving averages, prices, or any other predictive data that tries to predict market crashes just because it happens to use UPRO and TMF in the strategy. g. I’m curious how you are supposed to incorporate leverage into a backtest on non-leveraged ETFs? I’ve been using the -200 CASHX method but I’ve seen many people use a 200% leverage ratio with around 1. u/Kaawumba has an interesting (non-HFEA & non-Leveraged) approach to investing using signals from AIAE (and a couple of others) which he's shared a spreadsheet backtest of here. HFEA was created on the idea that even with the extreme 3x leverage, you could still have a portfolio with a great risk-reward ratio than a traditional 60/40 or 55/45 mix. Post by AlinMC » Sun Mar 03, 2024 3:40 pm. I'm looking into a mild HFEA with SOO/UBT, the liquidity and AUM are lower than the x3 LETS (UPRO/TMF). HFEA isn't supposed to be your only investment. See my post about the correlation earlier. Reply reply So in a 60/40 HFEA portfolio you are looking at around 1. Here are my notes: With a short search of CME, one of the products corresponding to their strategy is theEurodollar future here. 51% of my taxable portfolio is IVV. Though this is closer to HFEA than a leveraged All-Weather. Posted by u/rao-blackwell-ized - 10 votes and 10 comments Since you're talking about reducing HFEA's leverage, we can use NTSX without needing any margin. On the flip side, if you bought KMLM and likely many other managed futures etf/fund you are likely buying at ATH in a macro environment that strongly favors managed futures at the moment. That’s the baseline I have to work with in the account. HFEA usually uses quarterly rebalancing. The results are still quite good, compared to other methods like IV HFEA or Canary HFEA. I was recently in an argument with u/Adderalin and the topic of how UPRO would have performed in the 11-year period starting Jan 2006 ending Dec 2016 came up. software lover, sc2 lover, 3 time former C# MVP. Take the backtest that goes back to 1993 or whatever, and HFEA is indeed better by about 8% but if you look from 2013 to now, the difference is in favour of UPRO by itself the other way. Gehrman's Bumpy Ride: Starting my real-money test of 3 leveraged ETF strategies (HFEA, "Leverage for the Long Run", 9Sig) One of the common criticisms of leveraged ETF investment strategies is that any attempt to do a Changelog for 2024-12-09: Starting values and cashflows now accept decimal values. The longer backtest for these components would have looked like this. Which is why if you want to play this game, you gotta jump onboard the inflation-is-a-solved-problem train with me. It's swung 15% losses three times in the past year - October 2021 and March 2021. 25%, Vanguard 500 was -5. Edit: Tagging u/RNAProf. You might want to check out the PV backtest link above for 12 votes, 11 comments. $100 in 1993 turned into ~$228k. The reason it is bad, is because if the stock market crashes when interest rates are 0% then bonds will not act as a hedge against S&P, Here's a simulated backtest going back to 1986 for the portfolio I'm considering with ~2. However, rebalancing frequency doesn't make or break the HFEA strategy (at least not the differences in rebalancing frequency discussed here). anybody has already done it? I'm trying to follow the lifecycle investment Despite all of the warnings that I and others have posted about the dangers of going all in on HFEA, I'm very sympathetic to The worst period in HFEA's history is during the last time we had high inflation in the 70s (see Bogleheads backtest here: https: 10 votes, 20 comments. Here's some backtest links for your consideration. An investor in HFEA who rebalanced on schedule would have avoided massive losses, and then made a handsome profit during the V-shaped recovery. HFEA and tilts of HFEA is a buy and hold strategy. Re: HFEA Mods Thread. We're back to October 2021 levels for HFEA. true. I also made a post of HFEA's daily volatility as Portfolio Visualizer doesn't show that - for instance Feb-March 2020. Discover FX Replay, the ultimate backtesting software with TradingView integration. That's why you are seeing what you are seeing. Sure 1:3 was closest to the efficient frontier since 1991. The best way would be if I could somehow backtest buying 100% UPRO vs 55/45 UPRO/TMF at every single day if held for X years. the Leverage Rotation Strategy from “Leverage for the Long Run” head-to-head? I’d love to see an apples to apples comparison. go up during a recession. 2024 backtest of Leveraged portfolios: Moving Average vs Efficient Frontier. An inverse-volatility UPRO/TMF combination and a 40/60 UPRO/TMF combination both did ok 1955 - 1963, very poorly until 1982, What are you looking for from such a backtest? Because unfortunately, the posts above highlight that anyone who did such an analysis would be throwing darts at dartboard blindfolded and upside down due to the data limitations and limitations around Treasuries. com website for info) and I used that site to backtest my portfolio to 1970. Top. IT also includes Datamodels and there are 12 parts, the Code with all the backtesting Data is also linked and avaible. ) Reply reply Nautique73 Title. The Code of Practice helps clinicians understand and comply with your legal requirements as a licensed centre. I am wanting to backtest simulated UPRO, TQQQ, and TMF starting before the start of the 2000 crash. Obviously no one can predict what will happen next, but I make my decisions assuming 2007-2020 type returns. My model actually looks optimistic in comparison. NDEer What you want to do is to backtest a portfolio with multiple start dates and holding period and then see how the CAGR holds up for 5 year, 23 votes, 39 comments. I also like to bake bread. HFEA overweights on bonds, so it's no surprise that it outperformed in the last 30 years with a super strong bonds bull market. I'd deleverage the portfolio as I approach I think I'm going to run an experiment of a bigger cauldron of ingredients alongside HFEA just to have some empirical data to look back at and see how they do relative to each other Yes hfea was backtested relentlessly on the bogleheads forum. . . Just translate it with deepl or similar: This post will go through the portfolio design and backtesting strategy, but for those of you who might find it tl;dr, here's a 27-year backtest, from April '94 to September '21, compared to HFEA, VFINX, and a 60:40 Portfolio (HFEA and 60:40 rebalancing quarterly): FIGURE 1. Yes, in the spectrum VOO-HFEA the proposed portfolio is closer to an improved VOO. Business, Economics, and Finance. with a longer time period QQQs has CAGR 7. HFEA Volatility Targeting Backtest Data Note 4: HFEA works so well because LT treasures are not correlated with SPY when SPY is increasing, but are negatively correlated when SPY is decreasing. Reply reply More replies. I am 24 years old. Couple of things I see wrong with your backtest of 200-day SMA: This is using 10-month MA, not 200-day MA. com Daily Rebalancing - $1,433,131, 30. I personally am interested more in the sets of daily bond values, because daily values really aren't available prior to the mid 1980s. Get app In the case of HFEA increases returns as soon as your backtest includes a major crash. Let's say a 100 year backtest reveals that over each year, the range of returns was from 20-40% for your strategy. Hedgefundie did a 1955-1981 backtest of the original 40/60 allocation and as you can see, it got destroyed by the s&p. 3LUS (or 3USL) is 3x S&P500, 3TYD is 3x ITTs and 1x LTTs have a few options (IDTL) being an example. I haven't simulated the portfolio construction you have indicated yet, but there's a more tax-efficient version of HFEA that uses 43 UPRO/57 EDV. (HFEA) and other leveraged/unlevered modern portfolio theory portfolios such as NTSX, PSLDX, SPY/TLT unlevered, flavors of using intermediate term treasuries, and so on. So when I modified your first backtest, the gains for both Leveraged Larry and HFEA went up. Backtest using 90% DFSVX / You'd have to "discount" those results because the chart wouldn't factor in borrowing cost, among other things like slippage, decay, etc. My simulated HFEA had an annual rate of -4. There’s one lump sum of cash invested, with zero effort to DCA. Looks something like HFEA + managed futures, so that's quite a lot more equity beta and correlation HFEA, or the other allocations here in this post. Assumptions: Yes, HFEA does bounce back nicely, but I just want to point out that the link in your OP appears to have setting set to "contribution" rather than "withdrawal", which would explain unusually high SWR. It’s recent performance was always possible in an increasing rate If you backtest starting from 2011 you only get 6 quarters where TQQQ isn't pegged at 100%. CAGR improvement of +5. Get app Get the Reddit app Log In Log in to Reddit. So it depends on the environment. Discover the historical performance of your portfolio and compare it to others. If you look at the backtest I linked, HFEA also beats it over almost the entire period between 2015-present up Well it seems the conclusion is that upro/tmf backtest are pointless when you backtest a high and declining interest rate environment but we are in a near zero low interest rate environment most of the time and a Yes the graph is cruel for pre Volcker area for LTT. $100 invested in 1993 would have turned into ~$626k. I used 200%, 1. 79%, sharpe 0. From this week onwards I will be starting my HFEA journey. 2-3 years ago lots of people here were going "all in" on HFEA. com, simulated back to the 80’s using VFINX, There’s a major problem I have with this backtest though, it’s simply not representative of an investors behavior. Based on the comments I've seen and exchanges I've personally been involved in regarding this strategy over the years, I can say with certainty that many are much more "confident" in it than I am. Now will that pattern hold in the future, no one knows. All the answers you need are there. Any help on that matter would be highly appreciated. My point was to compare my version vs HFEA during a time when inflation was a problem and from this point, it did the job slightly better than the original. A backtest to 2010 shows 60/40 would have performed better than 55/45. It’s all about start and end dates. Portfolio Backtesting Overview. Just backtest it and you’ll see on portfolio visualizer or code it up yourself with publicly oh, ive seen a sim HFEA backtest done. I have compared it to a 60/40 portfolio of comparable non-leveraged funds (P2), a 40/60 portfolio of Backtest The original HFEA backtest does not include the time before the 80's. The original split was 40/60 which has been demolished with the raising of interest rates. No worries! Some would find the datasets a good benchmark for their own backtest approach. When a major crash occurs, the price of treasuries inflates as investors flee to safety. Reply Where did you get the backtest data from? Reply Using PFIX with HFEA was a YTD return of -3% compared to HFEA which has -22% Then switch back to TMF when rates fall. Contribute to neelriyer/HFEA_VAR development by creating an account on GitHub. ? Go to the bogleheads forum where HFEA was hatched. That backtest doesn’t cover any high-inflation time periods. So when you rebalance during/just after a crash, you end up selling some of your inflated TMF to buy more UPRO/TQQQ near the bottom thereby boosting your returns. I'm curious to hear people's thoughts on using 2x leverage if you have a very long horizon 10+ years and continue to DCA. 38% taxes per year. Bonus: Here's a backtest comparing traditional HFEA vs HFEA shorting both inverses of UPRO and TMF (SPXU and TMV). I hold some TQQQ, but I wouldn't base my entire HFEA strategy around it. I know the backtest only goes back to ~2005, so yes I understand the 2000s horrendous equity drawdown isn't in there, but I am But here's the backtest of 5x version of HFEA. Supposing we could not buy TMF. You would then also have to run the backtest on 1982+. I think the impact on CAGR or Sortino would be minimal, but the problem is that I can’t backtest this idea on portfolio visualizer. 2% to match baseline HFEA returns. 480% CAGR, $228k unrealized gains (FIFO) Quarterly We know HFEA isn't overfit in the same way we know the old-school, stodgy equity/bond mixes isn't overfitting. I don't know, i suspect HFEA and mHFEA are mostly overfitting to Isn't your TMF / CSAIX allocation high (55% while HFEA is 40 or 45% right?) At a 55/45 (UPRO/TMF & UPRO/CSAIX) allocation, TMF performs better for both unleveraged and leveraged on this backtest (and for a baktest since 1980 possibly too?) Reply reply Has anyone played around with the absolute/relative deviation rebalancing of HFEA to find a superior return vs the quarterly rebalancing? Over long It's an imperfect backtest but I think it gets the point across. Obviously HFEA helps maximize gains, while reducing risk, but what is a worst case scenario using this strategy? Skip to main content. I’m not strictly following HFEA - It might be interesting to run a backtest of a tactical timing strategy with 12-month trailing inflation as an input on 1964-1982. Overall, this is a good contribution towards exploring variants of HFEA and I hope it receives a lot of attention. A large portion of the improvement in HfEA comes from the very large positive returns of bonds over the last 40 years - returns that seem very unlikely to continue given the evaporation of the term premium. Hedge Fundie was a member of the bogleheads forum so Obviously, the backtest for the S&P/total market goes back quite a lot longer than the NASDAQ. Backtesting HFEA using the two different methods results in two wildly different returns since 1986. Hell, even 10% days are not out of the ordinary for this portfolio! The largest daily swing of HFEA in this backtest occurred in 2008 - to the tune of -32%! Disclaimer: I'm currently repositioning some into a HFEA portfolio (UPRO+TMF). The only downside I can see is the huge tax drag from selling a huge TMF position. 01% during that 11-year period. More like a leveraged Gold-Butterfly portfolio. This is the 9th edition of the Code of Practice and contains wide ranging revisions to 23 of the code’s 33 guidance notes, including updated information on areas such as OHSS, patient emotional support and data submission. A period which HFEA performed just fine by the way. It seems that this strategy relies heavily on post 1982 monetary policy pursued by the Fed and the furthest backtesting that anybody in the dedicated sub has done is to 1982. Treasury performance before the 80's was different because treasuries were callable. daily, and quarterly is superior to daily. HFEA would have sucked from 1999-2009. However, according to Here is the backtest of the main portfolio I am describing compared to an unhedged S&P 500 portfolio. 6%. Both of which backtest pretty well. you do it something like 165 VFINX, 135 (normal 20 year treasury something, i forget the ticker). HFEA is of course the seminal example but that’s UPRO not TQQQ Reply reply patriot2024 • We Your backtest chose the worst time to invest in a high-risk investment. Even on a 30 year backtest the sample size of major market crashes is just so low it's often hard to draw statistically relevant conclusions. This sub is dedicated to discussing an investment strategy known as Hedgefundie's Excellent Adventure (HFEA) and other leveraged/unlevered modern portfolio theory portfolios such as NTSX, PSLDX, More importantly, we cannot be using shorter backtest periods (like you did, "since January 2020") to make decisions. I would say now is a much better time to enter HFEA positions, compared to 2 years ago - we want to buy things on the cheaper. 40/60 I’m guessing HFEA would’ve done better over this period with the current 55/45 allocation but I can’t seem to find a backtest. 1K subscribers in the trueHFEA community. I read the paper. So HFEA is protecting during economic turmoil, not stock market volatility like right now. It is not a market timing strategy. I believe that from a returns perspective one of those strategies has to be the optimal portfolio (HFEA is optimal for risk Welcome to testfolio! This is a portfolio backtesting tool that lets you construct investment portfolios and compare their historical performances. 55/45 was determined to be most optimal over the long term. I’ve been searching reddit and bogleheads to see a 70s backtest of the current HFEA allocation. Reply reply ectivER PV's 'dynamic backtest allocation' feature does not allow you to have short positions. Posted by u/12kkarmagotbanned - 6 votes and 5 comments You don't really have a backtest, because you aren't using historical prices, only historical IV. It's like WSB 💎👐(today, not before GME), without any DD, and no one knows what an option is. Hi, on the neverending adventure to obtain superior risk-adjusted performance to the S&P I decided to compare Moving Average crossovers with HFEA using the latest data. 25 subscribers in the jrwren community. During that period, SPY returned a CAGR OF 7. And, of course, tiny differences compound over time. Reply fannypackbuttsnack No. NTSX. You can analyze and backtest portfolio returns, risk Going through these graphs we can tell on a daily basis HFEA is VERY VOLATILE. These types of posts are why I'm constantly being the annoying "boomer" in reminding people these are extremely risky products and investors should probably bucket off a small % of assets to use with them as a lottery ticket and never one's entire net worth. Not only that, but the 200 MA backtest you linked me to, showed ending balance of $149k, while the HFEA backtest you linked me comes out ahead with $151k. Unfortunately UK HFEA needs to be a compromise as we can't get 3x LTTs. 07%. I ran a back test of just the stock portion using the same parameters and it significantly underperformed. rgbrdt • hedgefundie value at risk modelling. 2% borrowing rate. Part of the criteria for selecting funds is the Sharpe and Sortino ratios. HFEA main claim to fame is that the backtest shows significant outperformance from the 80's, but conveniently leaves out the fact that we had the longest bonds bull market in history in the last 30-40 years. I believe quarterly rebalancing does also make more sense in practice as it's less of a hassle than, say, daily rebalancing (on top of the slight performance improvement). The goal of this portfolio is optimized risk/return to defend against the inefficient nature of leveraged funds during bad years, and to defend from Backtest accounting for both feed and order latency, using provided models or your own custom model. Edit: just set my first two limit orders at 19 and 18 for 40 shares of UPAR. 82% for HFEA. I don't want to fall victim to backtest-based investing that is pretty much what HFEA is all about haha. Note, Besides HFEA doing well from 1982 to 2000 when the correlation was positive, HFEA also would have done well from 1931 to 1968, which consists of both positive and negative correlation periods. Try r/TQQQ, r/LETFs, r/HFEA for more informed opinion. So HFEA is a bad idea right now, but fine in a couple of years. 📉 Most of us in HFEA are shocked from TMF performance being From Jan 2010 - Apr 2022 (as far back as I could go in portfoliovisualizer), UPRO alone had a CAGR of 29% vs 22. In any given day it can swing +- 5% in a single day. HFEA's strategy of 60/40 TMF and UPRO, rebalancing quarterly. 35% borrowing costs. That's all it is. At the expense of a little bit more fees and some volatility decay, you keep the same amount of gold, but you get free place for extra 15% HFEA. Here's a backtest starting Nov 2007, the peak before the housing crash, comparing "Simulated UPRO" vs "Simulated HFEA". Nate79 Posts: 9595 Joined: Thu Aug 11, 2016 11:24 pm Location: Delaware. I've been wanting that information since I ran across the HFEA approach in 2019, to test out some adaptive allocation ideas. That makes this backtest unusable. The original HFEA backtest does not include the time before the 80's. Welcome to testfolio! This is a portfolio backtesting tool that lets you construct investment portfolios and compare their historical performances. They even Backtest. I need to observe it for a while but the index it is trying to match looks good - I wish I could backtest exactly what they're doing. ♌ HFEA with emerging markets does technically work in the sense that its returns dwarfs the those of unlevered S&P 500 and are greater than 100% 3x LTTs. I have something similar, a HFEA with some 10% gold and with some leveraged intermediate bonds. 121 votes, 110 comments. so people talked about gold, precious metals, as a hedge against increases of interest rates. Of course this wouldn't apply to the easier LETF variant of HFEA. I have been trying to backtest a DCA approach for HFEA as opposed to a single lump sum and was wondering what you Backtest of HFEA (+35% CAGR) vs SPY (+15% CAGR) going back to 2010-- Backtest of "Simulated HFEA" (+24% CAGR) VS SPY (+11% CAGR), using funds going back to 1993 <-- note that this is only a ballpark, because it's not easy to backtest without borrowing costs factored in. so you'll have to backtest to see if adding other things, is better overall. With that I need to backtest that more. Backtest of HFEA is saying max drawdown occurred August-October 2020, when I suspect the real max drawdown happened in March 2020. Didn't notice this the first time, but you used monthly rebalancing in the first backtest link. Next Top 19% Rank by size That's the nature of idiosyncratic risk-reward structures. I am invested in it and that is precisely how I see it. Reply I've been doing (edit: my own modification of) HFEA for about 6 months and it occurred to me that something too good to be true usually doesn't last //portfoliocharts. EDIT2: New backtest with DBMF data instead (DBMF is closer to the vol target of the managed futures portion of RSST). Here’s 100% UPRO vs HFEA in portfoiliovisualizer. Given backtest history 2010-2020/22 is a great return, 2000-2010 was 3% while SPY was 0%, and realistically you needed to hold from 2000-2020/22 for the best return so far. that's how you enter it. HFEA is basically a 55/45 equity/bond mix, leveraged 3x. 03% dividends. Here’s a backtest of using QLD with a 80 day moving average strategy. Something like this but for HFEA vs 100% TQQQ might be a very interesting backtest, just wish I knew how to do it effectively. At the 37% (top US) income tax bracket, that's 0. Portfolio Visualizer isn't going to show that info, because the max drawdown values are based on end-of-month values only (ignoring what happened within the month) . HFEA is 55/45 UPRO/TMF. If this volatility bothers you I highly suggest to NOT invest in HFEA. Sort by: Best. A backtest of the funds I have mentioned will prove my points. I converted the %s into VFINX, VUSTX, and -CASHX equivalents since the data goes back to 1990. It has always been a lurking Backtest Portfolio Asset Allocation. The strategy of holding UPRO when the SPX is above it's 200 day moving average, This idea has been brought up every week and no one provided a backtest. Going through these graphs we can tell on a daily basis HFEA is VERY VOLATILE. 63%. You'll see the point of the portfolio by looking at the chart vs HFEA. 08% (ouch). I wish I could backtest this model way back into the '65~'85 era, but I don't know how to do that. I claim UPRO would have underperformed SPY, returning a CAGR of 7. Only I assumed it would happen and the most likely trigger would be a rollback of globalization (which has been a major contributor to low inflation). This assumes taxes are paid from outside of the HFEA portfolio (no additional shares sold for taxes). If the returns were great from 1988 until just this last year, you’re again buying at a killer discount. HFEA will not perform as straight equities. For those doing a leveraged Risk parity type of strategy or HFEA, It turns out that the KMLM data in this backtest already factors in a 0. The only answer I could see was a long period of painful underperformance. That's not how it works. This is potentially problematic because of the 40 year bond bull run. But 2:3 still solidly beats HFEA. Overfitting. DCA with QLD and SSO instead of HFEA? This is pretty normal volatility. 2% for March 2000 to March 2013. And if you're betting SPY will CAGR above 10% with a lot of conviction, then do the wilder ride with SSO or UPRO. See the comparason here. A place to mainly discuss Hedgefundie's Excellent Adventure (HFEA) but also similar HFEA - substitute TMF with TLT . Edit: Here's a probably more realistic backtest, using leverage ratio of 400% (for 5x) and 3% borrowing cost. Are there any tools online that would allow me to backtest not just individual stocks and ETFs but also investment strategies like HFEA etc. Open menu Open navigation Go to Reddit Home. com, u/cbredin) Rebalancing quarterly for HFEA has been shown via backtesting to produce the best returns. I would edit your title because HFEA isnt something most people would understand HFEA beats SPY, naked holding sometimes beats SPY if you are lucky. Whenever people stop talking about a recently hot strategy, I feel the urge to check in on it and see why that might Does HFEA still even backtest well with how far TMF has dropped? HFEA is currently in one of the biggest drawdowns ever. I'm expecting SPY to go back to 4000 so I'll add more at lower limits when that occurs. Returns on a $10k input, from 1994–2021. That's his strategy. This also happened in the 70's and 80's when HFEA got crushed. 2K subscribers in the trueHFEA community. And here is a backtest to 2004 using CASHX. Backtest it from inception of record keeping to present and it’s CRUSHING the S&P 500 1x still. 81, and max dragdown 16. gjvlaku jixfo dis fsmj zzqd srne cobxieu ponz iuqnvj jgfe