Hedging Function in Portfolio Manager in 514S

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This topic contains 1 reply, has 2 voices, and was last updated by  Frank Grossmann 8 months, 2 weeks ago.

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  • #57284

    Richard Thomas
    Participant

    I notice that there are some changes to the layout and function of the portfolio manager, but cannot find any explanation of the changes on your website. Is there an updated user guide?

    For example I want to compare the new N100 hedged strategy with the old style hedge of UGLD or TMF.
    In the 513S version I set this up in the portfolio manager with TMF then UGLD then “#Nasdaq 100 balanced without hedge” and set the parameters to DR with top 1. This would then pick the top 1 of TMF or UGLD and use it with the Nasdaq component.

    How do I do this in 514S as there is a separate Hedge section and it is not possible to list the Equities in the same order as in 513S because the #Nasdaq strategy always gets put at the top irrespective of which order I add the equities?

    Do I put TMF and UGLD in the equity section and #Nasdaq… in the hedge section or vice versa?

    I strongly recommend that the description of this function is put into a user guide.

    #57351

    Frank Grossmann
    Participant

    You would have to put TMF and UGLD in the “hedge” section. This way QT will rank in “DR=dynamic ranking” mode all TMF-Nasdaq pairs and all UGLD-Nasdaq pairs and pick the best ones.
    If you switch to SR=static ranking, then it just ranks all stocks and ETFs without creating pairs. The DR pairs ranking has the advantage that also the negative correlations between hedge and stock have an effect on the result.

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