Let?s say you have a group of assets in a Book, and want to add an asset to the book that is intended to hedge the Book, and this asset involves market timing that takes itself in, and out of the market depending on market conditions. Right now, if this hedge asset is out of the market, the Book treats this asset as cash.

I would like to have a two way switch that gives the option for the Book to take the cash generated from the assets that are out of the market, and apply this cash to the remaining assets in the Book (apply the cash to the remaining assets in the same ratio as the asset relative weight set up in the Book).

So for example if I want to hedge the book with a simulation that uses timing to buy and sell SH or TLT at 30% relative weight, I want to have the option to apply the cash generated when these assets are out of the market to the remaining assets.

Results: Total score: 5 , # of Votes: 2 , Average: 2.5
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Requested by: stumo
On date: 07/07/14
Category: Simulation

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