Adding the buffer or any notion of portfolio distance from optimal to trigger a rebalance will help
As someone wise once said "no solutions, only tradeoffs"
That sounds fair. I guess you can always come up with examples where substitutability of instruments in the risk space does not agree with...
Some Dynamic Optimisation observations... Assume you have just 2 very similar assets: Sp500 & Nasdaq, with optimal weight say 22.3% and 11%. Both...
Very interesting. Thanks!
Thanks for sharing this!
Sorry - yes IBKR shows me lower volumes as well. I dont have a proper data subscription on IB though, but by the looks of it the avg volume for...
This makes sense - just because you have 10x the equities relative to bonds doesn't mean you should have 10x the risk in that group. But.... while...
This is what I am using in UA: [ATTACH]
Sorry for my non standard nomenclature - by C1 contract I mean the nearest/most liquid contract i.e. the one you trade. That would be the march...
Thanks. This is so helpful. I haven't got any trades on at the moment on this but CSI tells me the avg C1 contract volume now is ~200+ Yes - I...
I spent the last week retooling my database. I finally took the plunge and bought a NUC PC (ewww) so that I can switch to CSI UA - so I now have a...
100%. So many ways for equity like risk to creep in from other assets - FX Carry, Short VIX etc. FX trend right now looks just like a carry...
A related question you could ask yourself is - if this were true why isn't your portfolio construction/risk framework picking this up? Do you...
yep... even in Jan PnL was bouncing around all over the shop.
I know it's an imperfect measure but have you measured what your daily VaR is and whether your observation in line? I have setup my system to...
77bps down for me overnight. It was a very volatile day though - at one stage before bed time I was up more than 1.5%. I am heavily long USD esp...
Done. Thanks.
That's really interesting - MATLAB is still popular in many older quant firms but their obscene pricing model means almost everyone is either...
There are many variations of what can be considered as a good approach. I use the big ideas from various places (I have Clenow's book as well and...
Separate names with a comma.