1. The S&P Dec futures run at a 0.9 Beta (20 day average) so should we consider that in the calculations?
Makes sense.
Quote:
2. As the hedge will trigger at the Keltner Band, I think the calculation for the hedge should be based off that entry price and not the close of the S&P?
I thought I stated that the entry was intra day and not the close price.
Nick,
Just listened to your presentation on hedging on the group recording. Could you tell us the results of hedging DTVI ,CAGR,drawdowns etc compared to the unhedged portfolio.
2. As the hedge will trigger at the Keltner Band, I think the calculation for the hedge should be based off that entry price and not the close of the S&P?
I thought I stated that the entry was intra day and not the close price.[/quote]
Could you tell us the results of hedging DTVI ,CAGR,drawdowns etc compared to the unhedged portfolio.
Len,
It hasn’t been systematically tested so there are no results shown. You can see the results of this short period we’ve just been through as an example of the benefits.
Hedging is probably a course all by itself …but one I would sign up for if you ever decided to run one Nick in the future(s) ( )…I would like to know more about hedging stock portfolio for both adverse currency and stock price moves and how to backtest it using futures data from Norgate…
)…I would like to know more about hedging stock portfolio for both adverse currency and stock price moves and how to backtest it using futures data from Norgate…