Closed on 08/25/10. See final comments below.
I have been reading some posts on hedging/market neutral portfolios. I think the simplest feature to implement would be to allow 2 port variables: Hedge Index and Hedge Percent.

For example, use the RUT20000 index and cover 66% of the portfolio value.

This would be a very blunt analysis tool, but would let one see the effect of hedging with various indices, ETFs, etc... Now, I leave the fun part of finding the algorithm for margin/cash impact etc... up to you! Hint: don't bother with the margin/cash effect - keep it blunt for now....
Results: Total score: 27 , # of Votes: 9 , Average: 3.0
a
 
16 (4)
b
 
9 (3)
c
d
 
2 (2)
Scores are calculated as (importance) × (# of votes), where importance ranges from 1 to 4.
Final Comments
Closed by author
Requested by: crakes
On date: 11/21/06
Category: Portfolio

0 comments