sucking caveat

Ok… I’m reporting the pain of my new trading strategy. I repeat, it was not designed to be market neutral, but according to the data had I increased the short position so that it was market neutral, I would be doing great… see how the cumulative short position is higher than the cumulative long. port week 1 week 2 week 3 cumulative long -4.01% -2.61% -5.80% -12% short 5.36% 1.46% 5.33% 13% combined -2.69% -3.39% -6.07% -12% index returns: index week 1 week 2 week 3 cumulative qqqq -7.1% -3.0% -3.61% -13% midcap -5.5% -2.0% -4.87% -12% emergin mkt -5.8% 0.4% -7.80% -13% small cap -6.5% -2.1% -5.36% -13% sp500 -5.0% -1.1% -6.10% -12% As the 3 weeks proceeded, I rebalanced & added to the long position, but not the short position … that really hurt me. I think I might start another trading program that is completely beta/market neutral.

Hey virgin, the first three weeks of the year have been pretty bad, so market neutral would have been better, but lots of people are in your boat too, so don’t be too down. I went neutral too, but not by enough. My position reduces the damage, but I still have gotten whacked. I’m really mad at myself that I let my broker talk me into something which, not only de-neutralized my position, but turned out to be a bad stock pick as well. I’ve been working with this guy for nearly 20 years, and he knew me when I was just a 10 year old kid, and I like him, and I don’t think he deliberately screwed me over, but I’m starting to realize that I know this stuff well enough that I should be trusting my own judgement over his. Virgin, what is your rebalancing criteria: do you do it at regular intervals, or just when the allocations drift too far away from target?