[rfernando80]

Hi Frank,

I started trying the SPY/ TLT with an approx. 45/55, which gives the smallest drawdown since inception (about -16%). I intend a single yearly rebalancing. I have two questions for you, have you considered using rebalancing bands, like between 35 and 50% SPY to tlt, and rebalancing whenever it goes above or below. 2- Have you considered using options risk reversals for the SPY/TLT strategies, as you get a very good risk reward from selling ‘expensive’ puts to buy comparatively ‘cheap’ calls? If you look at the SPY or SPX options table, you you see that if you choose a delta of say, .30, your long call would be way closer to the money than your short put, giving the trade a very nice risk reward profile. I guess you would be interesting to combine these strategies.

Best,
Fernando

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