Logical Invest team’s own personal allocations?

Home Forums Logical Invest Forum Logical Invest team’s own personal allocations?

Viewing 18 posts - 1 through 18 (of 18 total)
  • Author
    Posts
  • #78759
    iantest1
    Participant

    I read in some recent threads that the Logical Invest team invests its own money using the Logical Invest platform. I’m curious, would you be willing to disclose your personal allocations to the strategies and why you’ve chosen them? percentages would be fine. we don’t need to know absolute numbers.

    Thanks!

    #78767
    Vangelis
    Keymaster

    My strategy of choice is the Top3 strategy. As I am a bit conservative I often tend to err on the side of cash. On my more active account I use variations of the permanent portfolio, MYRS (using futures) and some non-LI shorter term strategies. I also trade crypto.

    #78771

    I am doing the “Enhanced Permanent Portfolio Strategy” however instead of buying GLD, TLT or SPY I write LEAP options on these ETFs. GLD and TLT about delta 25 put options and SPY d75 put options. Instead of GLD and SPY I use Future options on GC and ES. This generates constant income from premium decay but it needs also more frequent small allocation changes as these positions change delta on bigger moves of the underlying.

    #78775
    Patrick
    Keymaster

    I am primarily invested in the Aggressive Portfolio.

    #78778
    Alexander Horn
    Keymaster

    I’m in the Volatility below 15% portfolio, but with some cash on top (scaredy-cat of the team, and proud of it!)

    #78858
    dan4960
    Participant

    Hi. Vangelis, what is MYRS?

    #78862
    Patrick
    Keymaster
    #78900
    ikoskela
    Participant

    Gentlemen, thanks for sharing your allocations. I feel more confident know you have skin in the game and like that you each have different styles/objectives.

    #78965
    Korving99
    Participant

    Frank,
    When you sell the options, how many days out will the contract be?

    Willem

    #78980

    I am basically doing the permanent portfolio strategy using options instead of ETFs.
    For SPY I sell delta 0.7 put options 30, 60 and 90 days out. When the first is about to expire, then I roll back. Delta 0.7 is very similar to a long position. I use d0.7 to minimize risk in case of a sudden crash. In such case my delta can increase only 30%. I use ES Future options instead of SPY. If SPY goes down, then I roll far out with the goal to build up a vega position which captures as much volatility premium as possible.
    For TLT I sell delta 0.3-0.5 put options with a very long expiry. At the moment I have sold the Jan 15, 2021 put options.
    For Gold I do the same as for TLT. It is important to go far out with the expiry, so that you do not have to adjust your delta $ position every day if the underlying does big moves.
    If delta increases to much, then I buy back a put and sell a call with the same time value. The goal is to only do trades with a negative price (profit).
    If the underlying goes up again, then I would open new position in march 21 or even Jan 22.
    This way you can make an additional 10% per year without increasing your risk.
    The whole thing is not so easy to execute and I needed several years to manage successfully bigger price moves. The most important rule is to only use options with an expiry of at least 200 days. Second rule is not to sell low delta SPY or ES puts as they will increase delta very fast in a crash.

    #78982
    Korving99
    Participant

    Dear Frank,

    Thanks for your clear explanation.

    I asume that the sentence “The most important rule is to only use options with an expiry of at least 200 days” is for TLT and GLD. Why are you selecting this duration for GLD and TLT, because for the SPY its 30,60,90?

    Willem

    #78985

    You don’t have really a downside crash risk for GLD and TLT. The delta 0.7 for SPY options limits your downside delta increase and risk. You can also sell such put options with 200 and more days of expiry but this will reduce a lot your premium income. In a real crash the risk is about the same as both options will go to delta 1.

    #79105
    marcel
    Participant

    @Vangelis: With regards to MYRS using futures, do you adjust the rebalance date to when you roll over the futures contracts or to you rebalance on the last day/first day of month and roll over the contracts independent of the rebalance date?

    #79119
    Vangelis
    Keymaster

    I adjust the re-balance date. Much like MYRS, the strategy takes advantage of contango but it has its’ own sets of rules, some being discretionary. This may not be the best time for such a strategy without using some extra type of protection. There are also variations that can be traded like selling a spread that can reduce risk.

    #79124
    marcel
    Participant

    Got it, thanks a lot for sharing!

    #79125
    robininni
    Participant

    Nice guys, thanks for sharing.

    #79390
    MisterYu
    Participant

    @Frank, when selling the puts, how do you determine the sizing of the position? For instance, if the current strategy allocation says you need to have $30K in SPY, how many of which puts would you sell? Do you go by price or by buying power reduction or some other metric?

    Current 70 delta puts for aug, sep and oct go for $17, $25 and $29, respectively…

    I’m really asking to implement the replacement for the lost 3x ETFs with options. As a quick fix for this month I am doing it with long ATM calls in GLD, but obviously I don’t want to be buying premium and want to be selling it… Just not 100% sure how to calculate the sizes right on the put side.

    Thank you.

    #79391

    You divide 30k$ by the SPY price and by 100: 30’000$/319$/100=0.94
    So, this means that at delta 1 you would have to sell 1 put option. If you sell a delta 0.7 put option you are slightly underinvested but you get the time value of the option so that’s ok as you need to be aware that if SPY goes down you end up quite quickly at delta 1.
    I would sell put options about 60-90 days out

Viewing 18 posts - 1 through 18 (of 18 total)
  • You must be logged in to reply to this topic.