A portfolio idea: Zero Beta

peter2 · 25 March 2008

I had a quick look at your US portfolio. I shouldn't have to tell you that you have let two longs (CME, GOOG) get way out of control. It doesn't matter what short they are associated with. Your results should have been much better.

Work in progress I assume. Good luck with it.

reece55 · 25 March 2008

peter2 said:
I had a quick look at your US portfolio. I shouldn't have to tell you that you have let two longs (CME, GOOG) get way out of control. It doesn't matter what short they are associated with. Your results should have been much better.

Work in progress I assume. Good luck with it.

Yeah Peter, the US one is a work in progress....... It was actually where the idea stemmed from when I was messing around, but I will be opening another portfolio on that same site that adheres strictly to a pair stop and take profit methodology.....

Looks like you have a bit of knowledge in this area, do you run any portfolio's in a similar fashion? Any insights that you have that might assist me in my journey?

Cheers

peter2 · 25 March 2008

I have no experience in this style of trading but understand what you are trying to do. It is another method of avoiding the high daily volatility while ensuring that you are invested in the markets.

You will need to use leverage to get bigger profits, this means cfds or options US stocks)
Do as much paper trading as you can to fully understand what can go wrong. Use TA to time your entries into spreads that you have identified.
Work out the right risk/reward for your W%.
Exit trades that start losing even if it is one of a pair. Replace it with another stock same sector.
Short a poor stock against its sector (EFTs) if you have strong ideas about one stock.

I have said it before, there are unlimited opportunities out there every day for you. Get into them.

reece55 · 25 March 2008

peter2 said:
I have no experience in this style of trading but understand what you are trying to do. It is another method of avoiding the high daily volatility while ensuring that you are invested in the markets.

You will need to use leverage to get bigger profits, this means cfds or options US stocks)
Do as much paper trading as you can to fully understand what can go wrong. Use TA to time your entries into spreads that you have identified.
Work out the right risk/reward for your W%.
Exit trades that start losing even if it is one of a pair. Replace it with another stock same sector.
Short a poor stock against its sector (EFTs) if you have strong ideas about one stock.

I have said it before, there are unlimited opportunities out there every day for you. Get into them.

Thanks Peter once again for your comments....

My idea would be to get plenty of back-tested data before playing the portfolio "live", because the aim would be as you have said to use leverage to achieve larger profits. You can't do this until you are confident in your method.

Your comments have given me something to think about, particularly the exiting where even one side of the pair has a negative return (that is something I had not considered, because so far I have been focusing on net profit or loss on the pair in aggregate, regardless of the inter pair valuation) and shorting a stock against the ETF...

Cheers

martinad · 9 May 2016

I need to construct zero beta portfolio ( Blacks - CAPM) via excel, could someone help me?

Thanks in advance!

Best regards!

A portfolio idea: Zero Beta

peter2

reece55

peter2

reece55

martinad

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