Tag Archives: SPY

Modifications to the Hedge Fund Portfolio

Posted on October 31, 2011 by Ptolemaios

I have made some changes to the hedge fund portfolio, in terms of portfolio composition and parameters for trading strategy. I have increased the diversification of the portfolio by adding an international real estate (RWX) and bond ETF (BWX). I … Continue reading →

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Updates

Posted on August 31, 2011 by Ptolemaios

Here are the new positions for the hedge fund portfolio: short: 252 IJR, 428 SCZ, 135 SPY, 1162 VNQ, 385 VWO. Note that I did not renew the subscription for the small portfolio, as I mentioned would be the case … Continue reading →

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Position updates for October 1, 2010

Posted on September 30, 2010 by Ptolemaios

Position updates for the small portfolio are: cover short position in EFA, buy 87 shares cover short position in RJI, buy605 shares cover short position in SPY, buy 42 shares cover long position in UUP, short 211 shares Position updates … Continue reading →

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Correction for maximum allocations and shares for the small portfolio (SPY and EFA)

Posted on September 4, 2010 by Ptolemaios

Each ETF/ETN in the small portfolio should have an allocation of 1/6 of the total portfolio value. Thus the maximum allocation column here should read $5000 for each. Thus, the number of shares shorted for EFA should be 100 instead … Continue reading →

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Changes to the hedge fund portfolio

Posted on August 31, 2010 by Ptolemaios

Here is the new composition of the large portfolio: Symbol Asset Class Weighting DBA Commodity 3/120 DBC Commodity 17/120 GLD Currency 1/18 UUP Currency 1/9 SCZ International Equity 1/12 VWO International Equity 1/12 VNQ Real Estate 1/6 IJR US Equity … Continue reading →

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New small portfolio and new online simulator

Posted on August 15, 2010 by Ptolemaios

I set up an account on Collective2 to simulate my trading systems. I also created a small portfolio version of my system to be accessible to the average investor. The portfolio name is Cybernetic System 1 – Small Portfolio. Here … Continue reading →

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Selecting asset class components – US equities

Posted on July 8, 2010 by Ptolemaios

This is the first of a series of 6 posts explaining which trading instruments I used to construct my portfolio. All portfolio holdings are ETFs. To construct the US equity asset class, I selected SPY and IJR. SPY tracks the … Continue reading →

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