Over the weekend BPT member 'tad51' (his name is Tom) put
together a spreadsheet using Profunds 200% Ultra Bull and Bear
mutual funds in place of SPY. Profunds began trading in 1997,
therefore you get to see a longer example of using a leveraged fund
in place of the SPY vs SSO or SDS which only began trading in 2006.
The results are pretty incredible; for example s
tarting with only
$10,000, this grew to an incredible
$66 millionusing compounding, where all profits are re-invested into
each new trade! or
6600 times the initial investment!! Contrast
this to the only 176 times your money grew when trading
SPY.
$100,000 would have grown to $660 million! Contrast this
to the current system trading SPY where $100K grew to only $17.6
million or 176 times LOL only
, also remember that the Profunds began
in 1997, therefore the 6600 times was achieved in less time
Tom sent the spreadsheet to me in Excel, however I converted it
to a Google Document so that everyone can view it (even if you
don't have Excel). You can review the trades etc.
Please
note: The trades would been even better if he could
have followed the SPY system rules exactly for the Longs, for
example since you can only sell the Profunds funds at the close of
the day and NOT on the open, the Longs had to be sold on the close,
which is different from the system rules of exiting longs on the
open, however even still, the results add up to a return of 6600
times!
Both ProFunds and Rydex Funds have no transaction fees if you go
direct. It is true that one can trade the Rydex Funds by
10:30 AM EST (the price actually records at 10:45 AM EST) and at
the end of the day. I choose not to use the Rydex funds
because I have sensed alot of price manipulation around these
morning cutoff times. And no I have not done an actual
study. Profunds trades like any other mutual fund at the end
of the day. One can also use Charles Schwab which allows no
transaction fees with many of the Profunds mutual funds. I
don't know about using Rydex with CS. I did the study because
I use the Profunds mutual funds in my 401(k) and my IRA's.
Hope is was helpful.
Fidelity charges a short term trading fee each time I sell or
exchange shares of a NTF fund held less than 180 days, fee is $ 75.
Others may have similar fees , just wanted to point it out the
performance is still superb.
I was just wondering if you were talking about a 401k or an IRA.
I have some insight into trading an IRA and it doesn't have to be
through a mutual fund via broker or via a fund family. I used to
think that was the only option.
After a job change I transferred my old 401k into an IRA (they
call it a rollover IRA). You can take this IRA and trade it just
like any account through a discount broker. The only limitations
are that you can't short in an IRA. You can buy any inverse etf's,
etf's or stocks though.
Then I took it one step further and found a broker,
optionshouse, that only charges $3.95 per transaction. They give
you $100 and 100 free trades (over a two month period) just for
opening an account and transferring your IRA. There are not trade
restrictions whatsoever and you can even trade after hours.
If you have a $25k balance, Merrill Edge offers 30 free trades
per month. I think there is a promotion until May 15 to give
the $100 for opening an account.
My quick addition shows that SSO has, up to our first 'real'
trade last week, produced a return of 268.55% vs. the Profund's
return of 244.84% going back to the first SSO trade that Matt
showed on his "substituting SSO" message on April 28.
I guess I wasn't clear enough with my previous post, so, in an
effort to be as useful as I might be in relation to this particular
question, let me elaborate slightly on what I wrote: From the Spy
System sell on 12/31/2008 (trade 231), SSO--according to Matt's
April 28th post, "substituting SSO..."--has produced a return of
268.55% vs. the Profunds 2X 244.84% (in the "sold on the close of
the same day" column; the "sold on the close of the following day"
yields about the same %, if not a bit less). Same period; same
trades.
Doesn't this argue for the directness of Matt's system,
employing SSO, rather than Prounds and Rydex Funds? Or am I missing
something obvious?
I have to do more, but see about a 2.5x return from URPO vs.
almost 2.2x on SSO. Initial conclusion would be why take the
additional risk in this vehicle rather than stepping up to options
if you want more leverage.
algyros - SSO can be sold on the open, whereas those stats show
the funds sold on the close of the previous day and the following
day, so it will be different for the longs
chlo888 -- you can get the same leverage using SSO and
SDS. With futures you are getting 10x leverage, which is a
lot of leverage. That's great for short-term trading, and it
may seem great for the SPY system, until you have to sit through a
drawdown of 40% or 50% or 100% of your
capital. I agree with perthx --
of course in the grand scheme of the system, intra-trade drawdowns
are to be ignored. Its only the trade losses that matter
statistically. But still, you must go into it with eyes open
and being realistic about how much of a drawdown you will be able
to stomach without second-guessing the system and closing the
trade.
Astounding Performance using Profunds 2X from 1997
Posted by matt on 8th of May 2011 at 04:51 am
Over the weekend BPT member 'tad51' (his name is Tom) put together a spreadsheet using Profunds 200% Ultra Bull and Bear mutual funds in place of SPY. Profunds began trading in 1997, therefore you get to see a longer example of using a leveraged fund in place of the SPY vs SSO or SDS which only began trading in 2006.
The results are pretty incredible; for example s tarting with only $10,000, this grew to an incredible $66 million using compounding, where all profits are re-invested into each new trade! or 6600 times the initial investment!! Contrast this to the only 176 times your money grew when trading SPY.
$100,000 would have grown to $660 million! Contrast this to the current system trading SPY where $100K grew to only $17.6 million or 176 times LOL only
, also remember that the Profunds began
in 1997, therefore the 6600 times was achieved in less time
Tom sent the spreadsheet to me in Excel, however I converted it to a Google Document so that everyone can view it (even if you don't have Excel). You can review the trades etc.
Please note: The trades would been even better if he could have followed the SPY system rules exactly for the Longs, for example since you can only sell the Profunds funds at the close of the day and NOT on the open, the Longs had to be sold on the close, which is different from the system rules of exiting longs on the open, however even still, the results add up to a return of 6600 times!
here's a link to the spreadsheet
https://spreadsheets.google.com/ccc?key=0AgJLW2tpK5B6dDRHUVlMRDZLaHFGUE9XY0JPbU1hWXc&hl=en
Fees
Posted by tad51 on 9th of May 2011 at 03:41 pm
Both ProFunds and Rydex Funds have no transaction fees if you go direct. It is true that one can trade the Rydex Funds by 10:30 AM EST (the price actually records at 10:45 AM EST) and at the end of the day. I choose not to use the Rydex funds because I have sensed alot of price manipulation around these morning cutoff times. And no I have not done an actual study. Profunds trades like any other mutual fund at the end of the day. One can also use Charles Schwab which allows no transaction fees with many of the Profunds mutual funds. I don't know about using Rydex with CS. I did the study because I use the Profunds mutual funds in my 401(k) and my IRA's. Hope is was helpful.
S-T fees
Posted by meaghan on 9th of May 2011 at 02:01 pm
Fidelity charges a short term trading fee each time I sell or exchange shares of a NTF fund held less than 180 days, fee is $ 75. Others may have similar fees , just wanted to point it out the performance is still superb.
Why don't you change brokers
Posted by oreo on 9th of May 2011 at 03:58 pm
Why don't you change brokers if they charge such high fees or is this a 401k where you don't have any choice?
fees
Posted by meaghan on 9th of May 2011 at 04:41 pm
I checked a few brokers and they all seem to have short term trading fees.
Just to be clear I can buy the profunds with no transaction fee but once I buy it if I sell any before 180 days has past I will incur a $75 fee.
Again, just wanted to let folks know what I found for Fidelity customers.
I was just wondering if
Posted by oreo on 9th of May 2011 at 06:00 pm
I was just wondering if you were talking about a 401k or an IRA. I have some insight into trading an IRA and it doesn't have to be through a mutual fund via broker or via a fund family. I used to think that was the only option.
After a job change I transferred my old 401k into an IRA (they call it a rollover IRA). You can take this IRA and trade it just like any account through a discount broker. The only limitations are that you can't short in an IRA. You can buy any inverse etf's, etf's or stocks though.
Then I took it one step further and found a broker, optionshouse, that only charges $3.95 per transaction. They give you $100 and 100 free trades (over a two month period) just for opening an account and transferring your IRA. There are not trade restrictions whatsoever and you can even trade after hours.
I hope this helps :)
Check Merrill Edge too
Posted by kalinm on 10th of May 2011 at 02:28 am
If you have a $25k balance, Merrill Edge offers 30 free trades per month. I think there is a promotion until May 15 to give the $100 for opening an account.
fees
Posted by meaghan on 9th of May 2011 at 06:46 pm
Yes, it does help.
I have an IRA but right now but I am happy with Fidelity.
Thanks for the informative reply !
Thank you tad51 for putting
Posted by cw12 on 9th of May 2011 at 11:24 am
Thank you tad51 for putting the worksheet together. It's extremely helpful.
Spy System
Posted by ihbdsb on 9th of May 2011 at 10:36 am
Great work-thanks fro sharing ! IHB
SSO vs. Profunds Spy System return since Trade 231
Posted by atget on 8th of May 2011 at 04:56 pm
My quick addition shows that SSO has, up to our first 'real' trade last week, produced a return of 268.55% vs. the Profund's return of 244.84% going back to the first SSO trade that Matt showed on his "substituting SSO" message on April 28.
SSO vs. Profunds (2X) again
Posted by atget on 9th of May 2011 at 04:34 pm
I guess I wasn't clear enough with my previous post, so, in an effort to be as useful as I might be in relation to this particular question, let me elaborate slightly on what I wrote: From the Spy System sell on 12/31/2008 (trade 231), SSO--according to Matt's April 28th post, "substituting SSO..."--has produced a return of 268.55% vs. the Profunds 2X 244.84% (in the "sold on the close of the same day" column; the "sold on the close of the following day" yields about the same %, if not a bit less). Same period; same trades.
Doesn't this argue for the directness of Matt's system, employing SSO, rather than Prounds and Rydex Funds? Or am I missing something obvious?
Thank you for the data.
Posted by algyros on 8th of May 2011 at 10:41 pm
Thank you for the data. Now, I wonder what UPRO would have returned.
I've gone back about a year and find UPRO not much better than SSO...
Posted by lessarda on 9th of May 2011 at 12:30 am
I have to do more, but see about a 2.5x return from URPO vs. almost 2.2x on SSO. Initial conclusion would be why take the additional risk in this vehicle rather than stepping up to options if you want more leverage.
Have you looked into using
Posted by ditch on 9th of May 2011 at 08:09 am
Have you looked into using QQQ and it's ultras such as QLD,QID ?
Figure it out and let us know?
Posted by burkmere on 9th of May 2011 at 12:07 am
Algyros, instead of wondering, why don't you compute it and let us know?
Would the statistics be essentially
Posted by algyros on 8th of May 2011 at 01:08 pm
Would the statistics be essentially the same going long and short SSO, or do Profunds perform better?
algyros - SSO can be
Posted by matt on 8th of May 2011 at 01:59 pm
algyros - SSO can be sold on the open, whereas those stats show the funds sold on the close of the previous day and the following day, so it will be different for the longs
In other words, are the
Posted by algyros on 8th of May 2011 at 01:33 pm
In other words, are the results roughly the same since SSO started trading (letting us extrapolate back to before it was availabe?)
wow....quite unreal alright....thanks for all
Posted by marketguy on 8th of May 2011 at 10:22 am
wow....quite unreal alright....thanks for all the work tad51....
Thanks Matt. Could you not
Posted by chlo888 on 8th of May 2011 at 08:35 am
Thanks Matt. Could you not get this same type of leverage with the emini futures?
chlo888 -- you can get
Posted by Michael on 8th of May 2011 at 05:01 pm
chlo888 -- you can get the same leverage using SSO and SDS. With futures you are getting 10x leverage, which is a lot of leverage. That's great for short-term trading, and it may seem great for the SPY system, until you have to sit through a drawdown of 40% or 50% or 100% of your capital. I agree with perthx -- of course in the grand scheme of the system, intra-trade drawdowns are to be ignored. Its only the trade losses that matter statistically. But still, you must go into it with eyes open and being realistic about how much of a drawdown you will be able to stomach without second-guessing the system and closing the trade.
rydex funds
Posted by onoffon on 8th of May 2011 at 09:52 am
rydex lets you sell at 10:30 am if you want something close to the opening price.