I think the hypothesis is that when the yield curve reverts, that will no longer be the case (90/0), since the interest from the longer bonds will start to exceed the cost of the leverage:It's a good choice, just be aware that your expected return net of leverage is more like 90/0 than 90/60.
https://www.wisdomtree.com/investments/ ... s-ntsx.pdf
As of 8/23:
bond overlay is yielding -1.03%
cash collateral gives 5.13%
.572 * (-1.03%) + .116 * 5.13% / (.572 + .116) = +0.86% from the not-stocks part of the portfolio
So perhaps we call it 90 / 20 now (since BND yields 4.16% and this yields 0.86%)
Statistics: Posted by muffins14 — Tue Sep 03, 2024 8:50 am