Wednesday, November 12, 2008

Perfectly Hedged

Posted by TraderMark at 3:09 PM TweetThis
This has been an interesting week; with 40%ish cash and 20%ish short to offset 40%ish long exposure every day this week we've been in an incredibly tight range. We closed last week at $7.936 NAV and as of this moment are at.... $7.932 NAV. Nice. Meanwhile the S&P 500 is down 7.7% thus far.

As we said, with this strategy we will lag the market on the upside, and lag it to the downside but mute volatility but this week has been almost funny - each day we've been up or down 0.1% to 0.2% range. Now that's muted.

Obviously if the market makes one of its notable post 3 PM 3% rallies in 15 minutes we will give up this variance versus the market but since we don't post a daily NAV I just wanted to note how our current exposure is reacting in this market. I'd call it perfectly hedged - we're going nowhere and enjoying it ;)

As noted this morning, S&P 850 - here we come...let's see if we get another fraudulent 2-3% move in the last 15 minutes off that level....

Posted by TraderMark at 3:09 PM Comments (4) | Edit This Post | Create A New Post

4 comments:

Admin said...

Have you considered investing in absolute return vehicles such as merger arbitrage, special situations, business luqiudations?

Asides from my dividend portfolio which is still increasing its dividend payments in 2008, certain value investing strategies have aided me in my performance in 2008..

Dividend Growth Investor

November 12, 2008 5:00 PM  
TraderMark said...

I don't have an expertise in those items, and one thing I've found over investing life is stick to your knitting.

Actually I was reviewing some of my old posts from 07 and early 08 on individual ideas and sectors to short and if I could of shorted 5-6 of those names over the past year I think I'd probably be up or at least flat which I'd be ok with in one of the harshest bear markets in history. Since I can't short individual names those are just ideas and I don't have any benefit but I know what I picked so the thought process was correct; just can't benefit in the current 'experiment'.

The inability to place stop losses is also pathetic in this type of market. So even with what I focus on, I think I could of done a lot better with a full range of motion - right now one arm is tied behind the back or so it feels like. Obviously the trend has been down for a year now and not being able to play individual names on the downside is like not being able to play individual names up in a bull market!

What sort of ideas do you have for "business liquidations" - just curious what sort of things you are even talking about and how you'd play it.

November 12, 2008 5:12 PM  
Colin said...

How much of your performance advantage over the indices come from market timing vs stock picking? Understanding this better might help you focus your investing energy in the right places (I have a feeling the market timing, specifically long/short exposure is responsible for more than you might think, which is more hedge fund than mutual fund).

November 12, 2008 6:19 PM  
TraderMark said...

Colin in the past 3-4 months its all stock market timing

no stocks (ok 99%) are working consistently

before the past 3-4 months we were outperforming by stock picking mostly

for example, the one place to really hide out in Jan - Jun was commodities which we were severely overweight
obviously that went bad Jul 1 forward and we took hits from it

since Aug 1 or so there has been no real shelter
which is the problem with the market right now - fundamentals mean nothing - so your stock picking means essentially nothing. Hence it's all about allocation exposure the past quarter.

November 12, 2008 6:26 PM  

Post a Comment

Subscribe to: Post Comments (Atom)

Disclaimer: The opinions listed on this blog are for educational purpose only. You should do your own research before making any decisions.
This blog, its affiliates, partners or authors are not responsible or liable for any misstatements and/or losses you might sustain from the content provided.


Site by codeeo
Original WP Premium theme by WP Remix