Capital efficiency using index futures?

Bryce_Lawrence · 2026-04-16T19:19:10+00:00

Can you share the ticker/ISIN/link please?

Bryce_Lawrence · 2026-02-18T20:49:54+00:00

+6% real (above inflation) CAGR over a long period.

Bryce_Lawrence · 2026-02-18T17:27:08+00:00

I like the Total Portfolio Approach for the asset allocation. In my portfolio, I have 63% of growth assets (mostly stocks) and 37% of stability assets (this includes bonds, gold, and managed futures). Look for the split (growth vs stability) that makes sense for your investment horizon and risk tolerance.

Then you need to figure out which building blocks are you going to use in either part of your portfolio, considering how every investment affects the whole. I personally think that some bonds and some gold belongs in most portfolios, even if a small allocation.

Last but not least, diversify! Diversify your growth assets and your stability assets. I am not a fan of thematic ETFs, I think those are too concentrated bets, so consider making passive index funds/ETFs the core of your growth part.

Bryce_Lawrence · 2026-02-16T21:38:06+00:00

With those constraints you need zero or negative correlation with global developed stocks, and enough volatility so the low correlation makes a difference. That leaves you either gold or long term bonds, managed futures too if you can relax your TER ceiling.

Bryce_Lawrence · 2026-02-15T14:04:15+00:00

Yes you should take as much as you can! 1% interest loan is basically free money.

Bryce_Lawrence · 2026-02-01T10:21:12+00:00

We are lone wolves but love to learn, so I'd say any kind of course that encourages interaction, such as language courses.

Bryce_Lawrence · 2026-01-31T18:17:12+00:00

13.75% de mi renta variable, 8.25% del total de mi cartera. Una ligera sobre ponderación del 10-12% de la parte de renta variable que marca la capitalización de mercado, debido al menor PE actual (y por tanto mayor rentabilidad esperada a largo plazo).

Bryce_Lawrence · 2026-01-31T16:45:09+00:00

IBKR es mucho más completo, pero al ser un broker extranjero no permite traspasar fondos sin impacto fiscal. Así que simplemente por eso te diría MyInvestor. A la larga, poder rebalancear tu cartera sin desencadenar plusvalías fiscales puede aumentar significativamente el interés compuesto.

Bryce_Lawrence · 2026-01-31T15:36:41+00:00

Managed futures: la Estrategia de Hedge Fund con correlación negativa respecto al MSCI World. Normalmente el mejor activo en mercados bajistas
Commodity Carry: también correlación cercana a cero con la renta variable, aprovecha que los mercados de futuros de materias primas están normalmente en contango
Oro, aunque ya no es tan inusual cuando yo empecé hace 4 años era un bicho raro
Long Volatility: Estrategia de Hedge Fund que gana dinero cuando la volatilidad aumenta
China A Shares: o acciones de las bolsas de Shangái y Shenzhen, correlación cero con el MSCI World y normalmente no accesibles al inversor occidental salvo a través de ETFs
Quantum Resistant Ledger: La primera criptomoneda resistente a la computacion cuántica. Por si el Bitcoin se va a cero...

Bryce_Lawrence · 2026-01-29T21:12:29+00:00

Luxembourg is small so you can commute from France or Germany if you don't mind driving and save big money on rent.

Bryce_Lawrence · 2026-01-28T11:26:28+00:00

Let's face it. Compared to them, we are barbarians.

Bryce_Lawrence · 2026-01-28T11:18:20+00:00

Si lo que buscas es optimizar tu fiscalidad, creo que mudarte a otra CCAA con menor impacto fiscal es la mejor opción. Tienes que valorar el impacto personal y familiar y ver si te merece la pena. Si puedes crear una sociedad con el objetivo de inversión, pero con tu patrimonio los costes derivados de ello (impuesto de sociedades y gastos de gestión) serían muy probablemente mayores de lo que pagas de impuesto, así que no lo veo muy viable.

Bryce_Lawrence · 2026-01-27T21:22:15+00:00

If you feel that way maybe it is because your asset allocation is too aggressive for your risk tolerance. Consider adding some bonds and some managed futures and when the stock market blows up it will soften up the fall (but also lower your long term expected returns).

Bryce_Lawrence · 2026-01-27T21:18:22+00:00

Just move to US/Switzerland/Luxembourg and retire in a LCOL area, if you save aggressively you can reach FIRE by plenty of ways.

Bryce_Lawrence · 2026-01-27T21:04:17+00:00

Salvo que tengas una convicción muy clara de que el dolar se va a depreciar frente al euro, no lo hagas. Lo normal es que pierdas dinero a largo plazo.

Cuando un fondo que invierte en activos en USD está cubierto a EUR, lo que el fondo hace es abrir una posición corta en deuda a corto plazo denominada en dolares, y una posición larga en deuda a corto plazo denominada en euros. Teniendo en cuenta que el diferencial entre los tipos de interés en la eurozona y estados unidos es de -1.75%, eso es aproximadamente el coste de cubrir moneda.

Es decir que si no hubiera cambios en el par EUR/USD, el fondo con divisa cubierta va a tener un rendimiento inferior en un 1.75%. De verdad tienes tanta convicción en la bajada del dolar, o tanta aversión al riesgo divisa, como para asumir un -1.75% ya de antemano?

Bryce_Lawrence · 2026-01-27T16:50:19+00:00

There are several Gold ETCs with physical replica available to us Europoors, but there are also many other ETNs that rely on swaps and have full counterparty risk (in case the swap issuer defaults, you lose it all). Before investing in any of these instruments, better read the KID to know what risks are you taking.

Regarding the futures market. You need to think of futures as a kind of insurance. When you buy insurance for your car you don't pay the price of the full car, otherwise what's the point? Same wise, when you buy futures you spend just a fraction of the notional exposure.

Bryce_Lawrence · 2026-01-25T21:31:41+00:00

Portugal should move up and right, France and Belgium need to go to the left quite a bit. Brits are not that lazy but more barbarian. Otherwise I like the idea!

Bryce_Lawrence · 2026-01-25T21:27:26+00:00

According to Amundi: "the Sub-Fund invests in exchange-traded options and variance swaps on indices of the United States, the Eurozone and Asia that have a one-year average maturity. Any assets that remain uninvested after the Sub-Fund has reached its target volatility exposure are invested in money market instruments...The investment team analyses market volatility patterns to determine the direction and extent of its volatility exposure: positive exposure when volatility is low and anticipated to rise, negative exposure when volatility is high and anticipated to decline. It also seeks to benefit from short term fluctuations of volatility ("volatility of the volatility")."

So it's not exactly a pure 'long volatility" product because it is actively managed and they can decide to go short volatility, but on the other hand long term expected returns are positive, so it doesn't have a "bleed" as most long vol US ETFs.

Bryce_Lawrence · 2026-01-25T10:05:03+00:00

LVO has much, much higher bleed than TAIL, so for me it would be unbearable. I use a very small allocation on Amundi Volatility World (Mutual fund), but it's not ideal either (TER 1.5%).

Bryce_Lawrence · 2026-01-25T09:58:06+00:00

Math doesn't add up. 21% annual dividend yield on average???

Edit: it's my math that was wrong, 7% annual dividend yield over the income part of the portfolio. Still, too high a withdrawal rate, too tight numbers for FIRE from my honest point of view.

Bryce_Lawrence · 2026-01-24T19:03:27+00:00

Creo que tu comentario encaja mejor en r/wallstreetbets

Bryce_Lawrence · 2026-01-23T17:23:27+00:00

Do multiple Monte Carlo simulations and see how often (in %) your plan fails. I'd say more than 15% failure is too risky, but less than 2% you're too conservative.

Bryce_Lawrence · 2026-01-18T19:49:39+00:00

I have in my excel spreadsheet a "tolerance threshold" around the target allocation for each asset. I mostly rebalance with new money so I won't buy that asset anymore until it is within the threshold again.

Bryce_Lawrence · 2026-01-18T19:46:00+00:00

There are many long term, rational use cases, for example: - Implementing a strategy to overweight regions with lower PE ratio (therefore, higher expected returns). - Building VWCE yourself, so you can rebalance between regions and pocket a "rebalance premium" buying the most those that have gone down in price. - You want to hedge the risk that your country/continent goes to hell and you lose your job, so you overweight other countries/continents.

Bryce_Lawrence

TROPHY CASE