Hi Andreas - would you consider making the ETF portfolio available as a P123 Designer Model? I bet it would be great in a book with my small-cap systems. Thanks.
1. How does your system decide what % of portfolio to be long smallcap value quality momentum and short IWM? I.e. are you always long 100% your trending factor basket and then add 33% short IWM when you are concerned about deflation, or is there some rule to follow?
2. The papers you mention suggest that idiosyncratic momentum trends even better than vanilla momentum. Have you considered using that factor trend instead/in addition to your current approach?
1. It is baked into the book which has 5 Systems. The systems are very selective. For example look for EPS up revisions in small caps. If there are no up EPS revisions it stops buying and the sell rule (lets say rank below 70%) sells all weak stocks. If there are then now new small caps with a high ranking + EPS up revisions it raises cash. The 33% short is fixed and discretionary.
But if the system raises cash (like now) the following happens:
Cash (right now) 104,176.41
Longs: 438024.43
Short IWM: 243293.18
Short / Long: 0.55%
So it automatically raises the coverage of the longs when it raises cash!
Hi Andreas - would you consider making the ETF portfolio available as a P123 Designer Model? I bet it would be great in a book with my small-cap systems. Thanks.
Great video! If you don't mind 2 more questions:
1. How does your system decide what % of portfolio to be long smallcap value quality momentum and short IWM? I.e. are you always long 100% your trending factor basket and then add 33% short IWM when you are concerned about deflation, or is there some rule to follow?
2. The papers you mention suggest that idiosyncratic momentum trends even better than vanilla momentum. Have you considered using that factor trend instead/in addition to your current approach?
1. It is baked into the book which has 5 Systems. The systems are very selective. For example look for EPS up revisions in small caps. If there are no up EPS revisions it stops buying and the sell rule (lets say rank below 70%) sells all weak stocks. If there are then now new small caps with a high ranking + EPS up revisions it raises cash. The 33% short is fixed and discretionary.
But if the system raises cash (like now) the following happens:
Cash (right now) 104,176.41
Longs: 438024.43
Short IWM: 243293.18
Short / Long: 0.55%
So it automatically raises the coverage of the longs when it raises cash!
2. Yes, that is an open todo ;-)