Roger Nusbaum

90% T-Bills/10% Berserk and Other Intriguing Portfolios

are you talking the same dollars? investing an entire portfolio (for discussion sake) in a double long fund is not much different than being on margin.

90% T-Bills/10% Berserk and Other Intriguing Portfolios

yes the concept has been around for a while. the academic aspect is interesting to me in that if, as some believe we are in for a period of below normal returns for equities (maybe this is been going on already if you read Hussman) then taking the risk of the equity market without the prospect of normal equity returns may not be worth it.

this could lead to a traditional 70/30 being 50/50 or something like a 35/35 and the last 30 going into alternative stuff. for now this is just a theoretical exploration.

The Case Against Leveraged ETFs

amounts to 5% of the small portion not in t-bills?

The Case Against Leveraged ETFs

which equates to the number days left until maturity of the current 91 day t-bill I believe? So are we talking about a small drag on a small slice of the fund?

The mis conception about long-term versus daily would seem to be much more important. Just my take.

The Case Against Leveraged ETFs

The mis-conception that these funds capture twice the index over the long term is huge huge huge, I agree that a lot people miss that.

I use the double short SPX, ticker SDS, in a small amount as an insurance policy and I concede the long term flaws you cite that may leave investors disappointed with results.

There are a couple of things in your article that I don't quite follow. The 2x funds are mostly cash invested in T-bills earning around 5%, they don't borrow anything, as I understand it they are something like 90% cash. Yes there is perpetual tweaking to maintain the right mix.

I have used SDS for quite a while and last December clients got a fairly healthy dividend on the t-bills.

I do not disagree with you on the flaws but as a small insurance policy is was a big help on 2/27.

Leveraged Market Cap ETFs

Two things to add. Actually there probably will be a dividend. almost all of the fund is in tbills. The proper exposure can be created with a little bit og money and the tbills collateralize the futures. Those tbills obviously accrue interest.

The other thing is that the funds capture double the move on a daily basis. If you look at a longer period of time the move captured may slightly different than double.