longandshort you should be happy now you got others, besides yourself, making wild assumptions. And BTW google Jason Perl why don't you.
Don't you mean who is Google? Ok I'll save you the trouble:. Global Head of Fixed Income, Currencies & Commodities Technical Strategies at UBS Investment Bank in London for well over 14 years. Ya think they would show him the door if he was faking it all these years. No matter, my TD charts and indicators still work for me - 20+ years later.
Yes I am but since I've schooled you a number of times you can save the short bus for those who are actually needy. Ya know those you are trying to attract to sit at your feet in awe.
Hi @longandshort I enjoyed reading your posts, and I read all of them! I have couple of questions. If they go too much into your secrete sauce it's fine if you skip them or you can PM me . 1) As you run beta neutral ptf I'm wondering how your ptf fared in Q4 2018 and Q1 2020? A picture may be worth thousand words. 2) What is your average ptf leverage and what it was during those two periods? 3) Did your broker force you to decrease your ptf leverage during those two periods? 4) How do you manage your ptf risk wise during calm markets (low vol regime) and distressed markets (high vol regime)? 5) What do you have in your toolbox to discern whether markets are just selling off in orderly fashion or are poised for deep dive? 6) As you run beta neutral ptf I'd think you try pinning beta at around 0 be it levered or unlevered? If so, I'm not sure how I'm to read this: "get leverage up to where portfolio beta = ~1" Can you please elaborate? 7) You also mentioned "fancy risk management software"? Was that a private in-house developed software solution or a commercial product that your employer/IBD licensed? 8) You said that if you open a position and price moves against you by a certain pre-determined amount that you reduce size. What do you do about size if price moves back to your entry price? Do you add back to your position? 9) I assume you add to winning positions. How do you manage position size of your winners? Say, you open a position that moves to a profit, you add size but then it drops to your entry price. Now what? 10) When you reduce/add to position size you do it on both legs of a pair to keep it beta neutral, right? 11) You certainly mimic convexity when adding/reducing position size. Do you use different convexity "function" for reducing size of losers than adding to size of winners?
12) How many individual positions (long+short) do you have on average in your ptf? 13) What is your long-term win/loss rate of your pair trades? 14) What do you do if you've found a good candidate stock for long leg but cannot find a suitable peer stock for short leg? Would you consider using sector ETF or even broad market ETF as hedge (short leg)? If so, I'd assume you also may do it the other way, i.e. you've found a good stock to go short but you cannot find a good peer stock to go long, so you'd use sector ETF or market ETF as long leg, correct? 15) What category do you mainly select stocks from? Large-mid-small cap, growth-value, which industry/sector? Do you confine yourself to a particular index e.g. Russell 3000 or the world is your oyster? 16) You suggest that we rookies should start out by finding an industry of our interest/expertise and keep around 10-25 stocks on our shortlist and cover them in great details. How many stocks do you and your team cover in details? 17) Clearly, earnings and more importantly future earnings(analysts revisions, company guidance) are the biggest driver of price momentum. Would you share with us what you consider the second/third most important driver of price momentum? 18) How do you uncover insti buying/selling? I can think of the Form 13 and block trades. Can you tell if a block trade happend in a dark pool or lit exchange? 19) I'm struggling with estimating of "expected return". Could you please elaborate on your thought process to arrive at a reasonable number? 20) I had a look at the spread sheet that you shared with the ET community under this link: https://docs.google.com/spreadsheet...ZUHeRmjE6N8/pubhtml/sheet?headers=false&gid=0 I cannot figure out what the Duration column represents and how to come up with the number? 21) Which equity research companies and/or equity research analysts do you find most impactful? 22) Could you share with as a sample of good and bad equity research paper and point out what makes the good research paper good? 23) You mentioned that you spend $7k+/mo on research and data. I assume that $2k off of your monthly budget is BBG terminal. I'm wondering what else you find worth spending your money on? I did take note you recommend Refinitv Xenith for newbie retail investors. 24) Do you find any value in paying for services like Estimize, which claim to have more accurate estimate of forward earnings/revenues than the industry consensus? 25) Would you expect exotic equity market places that are not in spotlight of global investors to be somewhat less efficient in pricing of listed local companies, e.g. eastern european equities? If so, what equity metrics and/or market microstructure properties would you look at? Take a wild guess here.