Trades for September 1, 2010

As mentioned in previous posts, my systems adjust positions only at the beginning of each month. Click on the links to each portfolio to go to the results on Collective2.com.

Here are the trades for the small portfolio (starting value of $30,000):

symbol asset class $ risk per share maximum allocation ($) price per share # of shares trade direction portfolio risk (%)
RJI Commodity 0.0908333 5000 7.34 681 short 0.2063
UUP Currency 0.465833 5000 24.12 207 long 0.3219
EFA International Equity 2.62833 2500 49.94 50 short 0.4386
VNQ Real Estate 4.19583 5000 50.3 99 long 1.3903
SPY US Equity 4.07667 2500 105.31 24 short 0.3226
IEF US Treasury Bond 6.59667 5000 99.26 50 long 1.1076

Here are the trades for the hedge fund portfolio (starting value of $300,000):

stock asset class $ risk per share maximum allocation ($) price per share # of shares trade direction portfolio risk (%)
DBA Commodity 0.704167 7500 25.98 289 long 0.0678
DBC Commodity 0.9525 42500 22.2 1914 short 0.6078
GLD Currency 10.2333 16666.66667 122.08 137 long 0.4657
UUP Currency 0.465833 33333.33333 24.12 1382 long 0.2146
SCZ International Equity 1.03167 25000 34.28 729 short 0.2508
VWO International Equity 0.991667 25000 40.8 613 short 0.2025
VNQ Real Estate 4.19583 50000 50.3 994 long 1.3903
IJR US Equity 1.84667 16666.66667 53.25 313 short 0.1927
SPY US Equity 4.07667 33333.33333 105.31 317 short 0.4301
IEF US Treasury Bond 6.59667 16666.66667 99.26 168 long 0.3692
SHY US Treasury Bond 0.504167 16666.66667 84.34 198 long 0.0332
TLT US Treasury Bond 12.405 16666.66667 108.56 154 long 0.6348
stock asset class $ risk per share maximum allocation ($) price per share # of shares trade direction portfolio risk (%)
DBA Commodity 0.704167 7500 25.98 288.6836028 long 0.067760489
DBC Commodity 0.9525 42500 22.2 1914.414414 short 0.607826577
GLD Currency 10.2333 16666.66667 122.08 136.5224989 long 0.465691896
UUP Currency 0.465833 33333.33333 24.12 1381.978994 long 0.214590474
SCZ International Equity 1.03167 25000 34.28 729.2882147 short 0.250794924
VWO International Equity 0.991667 25000 40.8 612.745098 short 0.202546364
VNQ Real Estate 4.19583 50000 50.3 994.0357853 long 1.39026839
IJR US Equity 1.84667 16666.66667 53.25 312.9890454 short 0.192662493
SPY US Equity 4.07667 33333.33333 105.31 316.5258127 short 0.430123762
IEF US Treasury Bond 6.59667 16666.66667 99.26 167.9091947 long 0.369213849
SHY US Treasury Bond 0.504167 16666.66667 84.34 197.6128369 long 0.033209957
TLT US Treasury Bond 12.405 16666.66667 108.56 153.5249324 long 0.634825596

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One Response to Trades for September 1, 2010

  1. Pingback: Correction for maximum allocations for the small portfolio (SPY and EFA) « The Cybernetic Trader

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