For 2008 I have decided to run a weekly market neutral long/short portfolio based on 2 screens I developed from the AAII stock database. I’m doing this just for fun with a small amount of capital in a separate cheap-o brokerage account. Basically, each screen will turn out a list of longs, and a list of shorts. I intend to buy the longs and sell the shorts on monday morning. I’ll run the screen again each weekend, and rebalance each Monday morning. I may use some stop limits etc. I’m limiting my screen to mid & large cap domestic stocks. Instead of just buying X amount of each position and rebalancing, I’ve been playing with riskgrades to try to get a truly market neutral number. However, the input is pretty clunky through the web (and I’m not sure I like the output, either). Does anybody have any suggestions for some sort of program that will tell me my results faster & better… I want to know my beta and be able to adjust inputs, etc. to see the new beta. thanks…
virginCFAhooker Wrote: ------------------------------------------------------- > For 2008 I have decided to run a weekly market > neutral long/short portfolio based on 2 screens I > developed from the AAII stock database. I’m doing > this just for fun with a small amount of capital > in a separate cheap-o brokerage account. > > Basically, each screen will turn out a list of > longs, and a list of shorts. I intend to buy the > longs and sell the shorts on monday morning. I’ll > run the screen again each weekend, and rebalance > each Monday morning. I may use some stop limits > etc. I’m limiting my screen to mid & large cap > domestic stocks. > > Instead of just buying X amount of each position > and rebalancing, I’ve been playing with riskgrades > to try to get a truly market neutral number. > However, the input is pretty clunky through the > web (and I’m not sure I like the output, either). > > > Does anybody have any suggestions for some sort of > program that will tell me my results faster & > better… I want to know my beta and be able to > adjust inputs, etc. to see the new beta. > > thanks… howd you put together the screens, what are you looking at?
I haven’t finalized the screens but so far I’m just tweaking the preset screens that AAII gives for just domestic broad market, mid & large cap stocks. If you look at the AAII website it will tell you how well those screens have worked over the years. The long screens have been backtested fairly well. They don’t do any short screens so I"m just going to make up my own and see how they work. I know i’m going to include insider sales and negative earnings surprises otherwise I’ll probably just reverse some of the long screens. It sure would be nice to be able to plug the results of the screen into some database that tells me how much to buy/sell to get it the portfolio market neutral and to have low volatility. So far, riskgrades isn’t working in that capacity and I can’t find anything else (That’s free).
Ok, I found a desktop application that does what I need. It’s called Portfolio Pilot from Riskmetrics but I have to pay for a license. Anybody ever paid for a license or tried this?
The whole fun of this kind of thing is writing your own algorithm - pick up a computer and start writing…
I did it once in excel. While it was a memorable experience, it was also an ugly pain in the ass mess and I don’t think I want to do it for more than 4 stocks. The Portfolio Pilot thing is pretty cool. I can’t figure out how to make it work for shorting stocks. It seems to be constraining me to long only portfolios. I’m using the demo now. I hope the fullup version is cheap. I’ll find out monday or tuesday I guess.