Given those findings, is the strategy feasible in tax-sheltered retirement account? My backtests indicate that quarterly rebalancing is usually sufficient, even with leveraged ETFs, but it’s still worth intervening sooner when vol gets high.
In a taxable account, does tax-loss harvesting to offset your short-term capital gains help? You would rotate among leveraged ETFs. You can also indirectly reduce exposure by hedging with a different ticker rather than realizing short-term gains by selling immediately. You can either short-sell or buy an inverse ETF. LEAPS are also an option (heh), but you have to remember to roll them.
Given those findings, is the strategy feasible in tax-sheltered retirement account? My backtests indicate that quarterly rebalancing is usually sufficient, even with leveraged ETFs, but it’s still worth intervening sooner when vol gets high.
In a taxable account, does tax-loss harvesting to offset your short-term capital gains help? You would rotate among leveraged ETFs. You can also indirectly reduce exposure by hedging with a different ticker rather than realizing short-term gains by selling immediately. You can either short-sell or buy an inverse ETF. LEAPS are also an option (heh), but you have to remember to roll them.