In mid of November, I added the HFEA strategy to my portfolio. It took me a while to release funds to fund the strategy but at approximately mid of December I dedicated $15,000 (not exactly, it was slightly less but for now, $15k is my threshold) for this strategy. And here is my monthly strategy report.
As I mentioned above, I dedicated $15,000 for this strategy. It means that if a strategy underperforms and is below this threshold, I will add cash to it. If it outperforms and ends above this threshold, I will trim the position and save the cash aside.
The HFEA strategy is about investing in leveraged ETF but adding protection to the downside since the leverage works both ways. I like the idea because drawdowns can be significant.
Initial HFEA allocation
Start date: 11/27/21
Approach: Variable allocation* – 45%/55% SPXL/TMF
Rebalancing frequency: Quarterly*
Return (total / YTD): 0%/0%
Initial contribution: 15% of portfolio Net-Liq (~ $15k)
* Variable allocation will be adjusted based on the moving averages and VIX term structure. When moving averages turn negative (downside) and VIX turns into backwardation, the SPXL allocation will be decreased and TMF allocation increased.
Current HFEA allocation
Approach: 45% SPXL, 55% TMF
| MONTH | NET-LIQ | PROFIT/ LOSS |
PROFIT/ LOSS %% |
| November 2021 | $13,441.91 | $0.00 | 0.00% |
| December 2021 | $14,773.72 | $1,331.81 | 9.91% |
HFEA charts
Strategy Net liquidation value
Strategy performance vs. SPY
We will be rebalancing the position in March 2022.
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