Forum Replies Created
- 10/07/2020 at 1:41 am in reply to: hedging the value of the portfolio (in dollars) for European subscribers of LI #80323
@Frank: I like the idea of using futures instead of ETFs for the reasons you mentioned. However, for ES and UB, would I still get the dividend yield and coupon yield?
Got it, thanks a lot for sharing!
Hi Frank, hi Alex,
it would be great if going forward there would be the option to still replicate the current versions of the Universal Investment Strategy and Max Yield Strategy using futures, e.g. by creating a synthetic UGLD version (that is the daily 3x of GLD) instead of having to follow a workaround using UGL or the like.
@Alexander: do you have any data on what day of the month it is optimal to rebalance? If the day of month makes any difference at all. Thanks!
@Vangelis: With regards to MYRS using futures, do you adjust the rebalance date to when you roll over the futures contracts or to you rebalance on the last day/first day of month and roll over the contracts independent of the rebalance date?
Thanks for sharing. Link to paper going in a similar direction: https://www.cambriainvestments.com/wp-content/uploads/2017/10/TAIL-Final-10.03.17-B.pdf