Fat CAGR clean-beta giga-portfolio part 1
Comments (26)
Ben, Why would you have a FX ETF in a Risk Premium portfolio? FX in nature is said to post no risk premium. What is the rationale behind allocating 10% to FXE?
Sorry just saw this I think the idea is it adds diversification which improves sharpe
Hi Ben. Have you done any backtests how the core portfolio strategy would perform compared to automated investing strategies 90% stocks 10% bonds with automatic tax harvesting? I am curious how much more you end up paying in short term taxes because you would need to close the etf positions. cheers, great video
Hey glad you enjoy that’s a good question. This historically would have performed better, but that doesn’t necessarily mean it is better. A more automated 60/40 or 90/10 stock bond thing is probably better for anyone that doesn’t have a huge interest in the markets. You don’t have to pay short-term capital gains tax, and even seemingly simple strategies like this are much harder to execute over long periods of time than you’d expect. Doing something simple is usually way better for almost everyone.
I like this new approach. Robert Carver has a lot of sauce. I have been stealing his shit for years.
Hell yea
What are your thoughts on these mega-IPOs that are filing? Do u think they are over valued? Are shareholders using hype and modern speculation to exit at a massive Mcap?
Might look at this for a vid tldr I have no idea
That’s all great pimp but I think you forgot to mention to yourself that sometimes you can sit back and smoke a fattie and do absolutely nothing if things are working already. I’m up YoY with tlt bc I’m not down like market :/. Don’t try to bleed the rock. I liked that you mentioned bonds tho :D.
Dope vid. I guess I'm also curious how/if these strategies can be applied to the current state of the world. Is it even sensible to start trading when the world is this volatile? This is coming from someone with no experience. Edit: nvm, 13:30 mentions this lol
Good question general rule is that unfortunately most people think the edge in holding macro assets is basically that something crazy is always happening in the world meaning holding these things is risky. The riskyness systematically keeps the price depressed below its fair value, meaning people able to hold for the long-term get returns.
Make more videos man, the contents peak
One thing I would be interested in w these types of strategies is how sensitive the performance is to the specific parameters of the backtest. e.g. For the bitcoin trade how does it look at 7 days or 4 days. Similar for the Predicting Alpha portfolio, how does it back test if we try 50/200 instead of 64/256 (or any other set of parameters that should still capture the essence of the strategy)
Really good point I didn't include it here but I usually do some checks to make sure everything doesn't break when you use a slightly different implementation or delay the signal -> trade timeframe. Will include that in the next one. Where it gets hard is in cases like 2020 where the Predicting Alpha portfolio triggered long in VIX during a big crash. I know their thresholds are sensible from first principles and aren't overfit in a classic sense, but it was just truly "lucky". Could have been caught on the wrong side of that tho which knocks the realistic cagr and sharpe down a bit
Really great content - this is a new perspective for me :)
Glad you enjoy
Backtesting isnt good... I use backtasting ! This strategy will work until it doesnt, one "Black Swan" event away from implosion. Imo the market isnt something that can be quantified esspcially short-term. The market is influenced by us: absolute irrational degenrated retards. Even when there is a "pattern", its because you made one, I believe you should always look at it with "new fresh clean look". You cant beat the casino you can have the best strategy in the world, have a PHD in statistics but this wont effect the outcome of roulette. I think the biggest lesson in investing is realizing this ! My stepdad knows nothing and just bought the biggest companys like google, amazon etc. and his portfolio went 200% up in the last 2-3 years. I know 1000x more, read so many books and got worse every year because I wanted to speed up the process. Time in the market beats cocaine indused day trading! Anway this is no critism but rather a "food for thought". I hope it will work that way you hoped and make a big bag ! You deserve it.
Cool video!
Glad you liked it
Are you planning to automate this strategy?
Not at the moment
Major hack is to execute on these strategies that structurally have alpha that is largely eroded by taxes, but trade them in a tax deferred account or just be not a US citizen and trade them in a no capital gains tax jurisdiction (e.g. Singapore). The alpha is more likely to last bc US traders can't take em bc of taxes. Kinda like tax loss harvesting effects in Nov/Dec.
Good hack
Watched it 3 times to understand how do you think about any trade or overall strategy. I am noobie so i have a question how do you split 100percent of your account for core portfolio and flow effects do you split like 70 percent in core portofolio and rest in flow ones. Maybe i missed something in video..
i think he means litterally split 70% of your money for one strategy and 30% for another.
God refresh ❤️