Although the Hawking Portfolio is not fully invested (limit orders still outstanding to purchase EPI (India) and XLV (Health Care)) I want a hedge position in case the market falls and these orders are filled. It has been difficult to find a good hedge position but I have just been filled on an SPX Risk […]
Hawking Short-Term Hedge Update – October 1, 2014
With the market getting a little volatile I’ve decided to get out of the way a little so I’ve bought back the 1950/1965 Put Spread I was holding. This position expires on Friday Oct 3. The current P/L situation is shown below: I am now holding a wide unbalanced Condor with a maximum profit of […]
Hawking Short-Term Portfolio Hedge – Expiring October 11, 2014
With my Quarterly Options expiring today (looks like a $3,150 profit) and plenty of price movement I have legged into another hedge position expiring in a little under 2 weeks. This is a Risk Reversal trade (Purchase of a vertical Put Spread financed by the sale of a vertical Call Spread) that is itself hedged […]
Hawking Short Term Portfolio Hedges – September 30, 2014
Readers who have been following my short-term hedge positions against the Hawking portfolio will know that I have positions expiring today (Quarterly Options in SPX). I also still have on an “Iron Condor” Hedge, expiring on Friday: This is a wide “Condor” position and is (almost certainly) likely to expire with a $500 profit. However, […]
Strange Behavior in PGX – Why do we need Liquidity?
As members who read my Posts regularly may be aware, I presently have a Stop Loss order in place to sell shares of PGX. This is actually a Stop Limit order at 14.32 (same Stop and Limit prices) so that I do not get “raped” by slippage. When I checked my charts this morning I noticed […]
On the Question of Benchmarks
In the Word file attached to Part 10-4 of the Feynman Portfolio Study I included some comments on “benchmarks” – which ones might be used (common index, appropriate Fund, customized index e.g. ITA Index…etc), what to expect when comparing portfolio performance to the selected “benchmark” and whether we should expect to “beat the index/market/benchmark”. For […]
CWM Projections During Great Recession
How do the CWM (Sample 6.2 CWM) projections compare with the “Markowitz” projections during the Great Recession? Based on the following data, I think you will see a remarkable improvement. Using the same set of ETFs (VTI, EFA, VNQ, TLT, TIP, IJJ, IJK, SHY, IEF, VWO, ICF, and GLD) and the same time frames, I […]
“Markowitz” Projections During Great Recession
Readers who have been following the discussion on future return projections will find the following information of interest. Using the Hoadley “Efficient Frontier” software, I set out to see what the optimal projections would be for three different time periods. In each case I selected two years of historical data as that is the default […]