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Peter,
I am not familiar with available futures as far as DKK is concerned. If you do find a solution please share for the benefit of other users. If anyone else has more info feel free to join the conversation.Peter,
Depending on your broker you can hedge your USD ETF exposure by buying an equal nominal amount of DKK/USD in the forex market (via margin) or use futures if those are available to you.Hi caputoe,
Futures involves substantial leverage and other aspects (rolling the positions, etc), so one needs to be sure to get 100% comfortable with all aspects of futures before you consider executing a real dollar position. Also, a good practice is to paper trade a while first. Once one gets to that comfort level, the contract shows you how to translate the cash value of the futures to the “exposure value” of the contract. The idea would be to keep the exposure value ratio of the S&P contract to the Treasuries contract at the same ratio as the ETF signal that you are aligning with. Never think of futures in terms the cash margin requirement, work from the underlying exposure you are taking on, otherwise you can quickly blow up your account with a margin call at the worst possible point.
wigmoney,
Overtime the results will often be somewhat similar between SPY and MDY, however for extended times they will deviate by measurable amounts. Over the last year, SPY has been measurable stronger, but that will changes. I would be surprised to see them move in opposite directions for days in a row.
Net…you might be mostly OK, but results will differ somewhat.
Michael,
Thanks for the heads up on Folio Investing brokerage. They look like that could work for some subscribers; I will need to give them a call.hawaiianwaverider,
Excellent point; that is one criteria we look at and I intend to do more in that direction.Of course, the challenge is developing the strategies that are logical, stable going forward, and non-correlated to each other and the S&P; other than that, it is quite easy. :)
Thanks for the kind words, and good question Sam. Answer depends how someone is set up with the brokerage . . . Interactive Broker trading fees, or more like $8/trade model? Ultra Low commission and you can make smaller allocations work. Also the personal preferences of time overhead of managing very small trades. Remember, some of the adjustments will be partial shifts, so a 10% allocation shift may mean moving just $1K of a normal $10K position. Finally, there is the tax reporting.
All this depends on your situation and we do not advise individuals, only general ideas. For me, I would work out allocations that targeting trades of at least $2.5 or more per ETF per trade adjustment. See what makes sense for you and project back to how much total allocation that works out to be.
I hope this helps a bit.
It also depends on which strategies you are using. Some make smaller adjustments than others. If you are forced into a 3 day delay, keep in mind that historically the end of month days have a slight positive bias (good for selling) while 2nd to 5th days of the month are relatively weak, i.e. better for buying (even though this has recently changed).
You can replace EDV for TLT. EDV is the zero coupon version, so more a pure play interest rates, more volatile and less liquid.
SVXY is a direct swap for XIV, with is the short duration and more volatile version of ZIV.
Trading these, and especially options
Tread carefully, slowly if you are not used to trading options on things like this, they obviously create new levels of risk. I trade and portfolio hedge with options on both, and they often require watching/managing daily & never ever use market orders as the bid/ask is often very large or you will get awful fills.
Fred,
Why not use or upgrade to a Reg T Margin or even portfolio margin account instead of using a cash account?
Alternative there is an IRA account that ‘clears’ and makes sale proceeds available instantly:
http://ibkb.interactivebrokers.com/article/1380
If these two choices are not viable I would suggest you contact IB support and explain what you would like to do. Maybe they have a suggestion.
VangelisJeff,
PS: Regarding the “fund of funds” strategy – which we internally call a “meta-strategy”; it is a high priority, already working in “alpha” form. We plan to offer a version in the next 2 to 3 months. Thanks for your interest – will keep it high on the list.
Hi Jeff,
Excellent question.
All strategies do take on risk, as they are not market neutral and you are “buying beta”. The good news is, they have a lower level of risk vs simply buying the indexes, for the reasons you have read about, including varying degrees of shifts towards low/inverse correlated assets, like treasuries.
Frank’s statement is a reflection of his valuable judgment and experience that later points in the coming months might provide stronger relative strategy returns, but does not include the optional crystal ball.
Historical results are quite real, starting from June 2013 when the strategy went live, however, performances going forward will shift with the market conditions. We are confident it will add value over time, but one should not expect a straight line of growth.
One can further reduce risk by further spreading around assets between strategies, and, managing how much assets are at risk. Of course, you might miss an opportunity. No free investment return lunch here, but we do strive to provide better quality lunches with ways to access at lower cost.
I hope this helps.
Ruth,
Generally you can take long positions in leveraged ETFs in US IRAs, but you can’t short nor use margin in most IRA accounts.
