- 07/21/2020 at 5:12 am #79451
How does the model foe the US market strategy determine the weighting (60 or 40%) for the hedge component?
Best James07/21/2020 at 10:32 am #79452Frank1 GrossmannKeymaster
It looks what has been the best allocation with the highest Sharpe value during the last 48 trading days. This allocation will be used for the next month. As equity volatility or risk is still high, the hedge will have a higher allocation than equity.07/21/2020 at 9:06 pm #79454
Thanks Frank. Understood07/22/2020 at 10:58 am #79455ShoupbsParticipant
Please explain why GLD was not used this month as a Hedge? GSY?
I decided to maintain a large Gold and Silver position regardless.
I’m using a Core Portfolio Strategy.
Thanks.07/22/2020 at 9:14 pm #79459
Indee, an unfortunate month to not be long GLD!07/23/2020 at 10:20 am #79460Frank1 GrossmannKeymaster
The gold hedge uses a 3 month lookback period. The first 2 months of this period was an up and down and only in June it recovered nearly 6%. After such a performance some profit taking (=mean reversion) is normally the case and as there is a mean reversion rule in this strategy it locked in profits for a month going to GSY.
This rule has a high probability to succeed but I agree, this month staying invested in Gold would have been better.
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