No. of Recommendations: 2
Just for fun...I have some data that is a simulation of TMF AND UPRO back to 1955. Risk parity changes with time and for the things Jim notes I tend to use very long term calculations as to the ratio applied. Usually this gets you a ratio of long treasuries to stocks of low 60s/high 50s to high 30s/low let’s go 60/40 for our simulation.

1955-1982 CAGR 3.22/DD -71.09
1983-2018 CAGR 18.58/DD -50.08

Whole period 11.65 CAGR

There are several caveats on the data that I won’t post, but I have no reason to doubt the main finding...interest rate direction makes or breaks this strategy. Lastly, both assets’ MaxDD is 90%+...
Print the post  


What was Your Dumbest Investment?
Share it with us -- and learn from others' stories of flubs.
When Life Gives You Lemons
We all have had hardships and made poor decisions. The important thing is how we respond and grow. Read the story of a Fool who started from nothing, and looks to gain everything.
Contact Us
Contact Customer Service and other Fool departments here.
Work for Fools?
Winner of the Washingtonian great places to work, and Glassdoor #1 Company to Work For 2015! Have access to all of TMF's online and email products for FREE, and be paid for your contributions to TMF! Click the link and start your Fool career.