Should I keep my 20% short TMV Treasury hedge?

Home » Topics » FAQ » Should I keep my 20% short TMV Treasury hedge?
Should I keep my 20% short TMV Treasury hedge?2017-03-03T15:27:46+00:00
  • Author
    Posts
  • Frank Grossmann
    Moderator
    Post count: 167
    I would keep Treasuries for quite a while. Sure, because of their inverse character they show a bad performance if stocks are going up, but as a hedge it is probably the best thing you can do.
     
    Look at the YTD 20%TMV 80%SPY portfolio performance (green) compared to 100% SPY (blue). It has more than twice the Sharpe ratio.
     
    47b09cab-a7cb-4226-8df5-46b7c959b0bb

You must be logged in to reply to this topic.