This post is going to serve as a placeholder for a spreadsheet I’ve set up to monitor an investment strategy I mused about in the post “The Equal Short Bull-Bear As The Ultimate Negative Correlator“. I had posited that instead of putting 100% of your money into an index, you would’ve been better off (since 2000 anyways) to have put 50% in the index and then put 50% into shorting (in equal amounts) a 2x Bull and 2x Bear ETF (on that same index).
The first spreadsheet is displayed below and has an inception date of June 3rd, 2009, and you can click on the tabs at the bottom for a more detailed version. UPDATE: A second spreadsheet is located at the bottom which has back-tested data.
The Performance Tabs show the values adjusted for paying the interest owed on holding your short positions, and the Detailed Tabs show the non-interest-adjusted strategy returns.
- I’m using $100,000 of market exposure. Technically you could take the proceeds from the shorts to invest in the long part of the portfolio. So essentially, if you had $100,000 in cash, you could get yourself more than $100,000 of total market exposure, but I’m not going to look at this. I’m strictly comparing $100,000 of market exposure in the long only strategy (100% invested in XIU) versus $100,000 of market exposure in “the strategy” which is 50% long XIU, and 25% short HXU and short 25% HXD.
- On the Performance tab, I have subtracted the running interest total for holding $50,000 short, calculated at 3.75% (prime + 1.5% as quoted by one of my discount brokerages).
- The spreadsheet updates automatically every 5 minutes.
- The above portfolio has an inception date of (intraday) June 3, 2009.
- The BELOW spreadsheet shows the data for as far back as all three ETFs have history (to January 9, 2007).
- Feel free to make suggestions for improvement!