Market Neutral Strategy

[james1989]

Currently testing a market neutral strategy with some success (so far), you may view holdings and up to date account performance at Likey Palace - Landing

Regards

James Thomson

 

[james1989]

Anyone else trading a similar strategy?

Would be interesting to discuss your results if so, most of the market neutral funds tend to get hit in downturns along with the general market, I would be especially interested in hearing results from those who traded like this in 08/09.

 

[james1989]

Just added CVS long and Citrix short.

 

[alphahunter]

I do.
Do you adjust your lines for each individual stock's Beta?

 

[james1989]

Hi Alpha,

No I don't take beta into account. I hold 20 stocks all at 5% each. 50% long, 50% short.

Did you to trade neutrally through 08/09?

 

[alphahunter]

Interesting, that's about the number of stocks and weightings +/- 2% (if large or small caps).

I started towards mid 2009 and I was for short periods of time 10%-15% net long but mostly 0%-5%, down to timing in investment in individual small caps.

I find it far more difficult to be net short (the dreaded short squeeze, the relentess "Buy" notes from brokers) and I would use an index to force the portfolio down if needed.

 

[alphahunter]

Hi James,

I take it that you have a Bloomberg with DDE links to update/refresh you daily data on your excel spreadsheet. Or do you use something else?

 

[james1989]

I see, i've thought about switching to net 5% long/short after rallies on the alternative side, would have proven sensible, but is hard to judge in volatile markets, hence i'm keeping it flat for a longer test period.

I'm simply using snipping tool to copy data to the website.

James

 

[alphahunter]

Hi,

I meant feeding maket data to your excel spreadsheet...unless of course you do it manually (20 stocks is manageable).

 

[james1989]

I do it manually Alpha, very simple process, a screener is sufficient, mostly looking for value and momentum.

How do you currently invest? I find market neutral comforting to some extent, but I know in the long term a good long only value strategy will outperform this method.