4 ms·
Not sure if they outperform on a risk adjusted basis but both UPRO and TMF are 3x levered (55%/45% weight) A more fair comparison would be like 33% UPRO and 66
by smabie 5y ago
Not sure if they outperform on a risk adjusted basis but both UPRO and TMF are 3x levered (55%/45% weight)
A more fair comparison would be like 33% UPRO and 66% TMF. This would get you a portfolio that is similar to SPY, but with some leveraged treasuries on top.
Regardless, bonds have done really well due to the drop in interest rates over the last 10 years and I doubt they can go any lower. Bonds will probably perform a lot worse in the future, unless the fed wants to try out negative rates (unlikely).
Also you don't need them to disclose their returns, you can construct your own version: https://www.portfoliovisualizer.com/backtest-portfolio https://www.portfoliovisualizer.com/backtest-portfolio
Edit: constructing the portfolio, it does seem to outperform SPY on a risk adjusted basis, with a Sharpe of 1.25 from 2010-2021. However, my caveat about bonds still stands.
- quickthrowman 5y agoAgreed, long Treasurys has a low reward, high risk setup. Particularly if you believe the inflation narrative.
- reducesuffering 5y agoThe risk/reward in isolation isn’t useful, because the market has priced in and bid them up so to their favorable inverse correlation with equities the past 40 years. Assets are priced due to their usefulness in the risk/reward for a portfolio as a whole.
- cudgy 5y agoWho buys long treasuries other than the Fed?
- imtringued 5y agoPretty much every nation that has a trade surplus with the USA, worse it's also possible that a trade surplus between two non USA countries can result in the purchase of treasuries if they transact in USD. I say "worse", because this money can only enter the US economy by making the government run a deficit, if it does not do this then unavoidable unemployment is the consequence.