How to use the UIS SPXS-TMV portfolio

How to use the UIS SPXS-TMV portfolio2017-11-07T16:57:32+00:00
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  • Charlie Moore
    Participant
    Post count: 12

    Hi,

    I was wondering how best to use and understand the UIS SPXS-TMV in QuantTrader. I understand that SPXS is a 3x leveraged inverse of SP500 as well as TMV being a 3x leveraged inverse of 20 yr.

    What is confusing is that when I go into portfolio manager this portfolio is defined as a Long trading type. I tried changing the trading type to Short, but that does not appear to change anything.

    Also, when I compare it to UIS SPXL-TMF, it has a better return and greater sharpe ratio. Am I understanding this correctly, that going long SPXS-TMV might be a better portfolio? Thanks.

  • Frank Grossmann
    Moderator
    Post count: 161

    I checked this and I see that at least in the last QuantTrader.ini strategy file it is defined as a “short” strategy. In any case you have to go short these ETFs to run the strategy. This is at least with Interactive Brokers no problem. They are very liquid.

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