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bompus
Feature Request: Support Custom ETF Universe for Hedge

What would really be helpful, and I believe the most flexible, would be to allow any custom ETF universe to be used as a hedge in stock sims. Right now, we are limited to a restricted list of ETF tickers.

Supporting a custom universe would allow us to use rankings and formulas based on market timing to be utilized for picking the hedge(s).

Ideally, supporting an ETF universe which returns multiple tickers would be desired. This would allow a hedge for example of IEF + TLT (50/50) or IEF + TLT + SH (33/33/34) to be used, etc.

I've tried to use a Book to accomplish this, using 1 Stock Sim + 1 ETF Sim, with mutually exclusive rules. This isn't working for me though, as the best I can do is be 50/50 always in the Book, instead of 100/0 during bull markets, 0/100 during bear markets. Hopefully that makes sense as to what I am trying to accomplish.

This would also be useful if/when hedging is supported for ETF sims.

Related: https://www.portfolio123.com/feature_request.jsp?featureReqID=1147
Related: https://www.portfolio123.com/feature_request.jsp?featureReqID=1180
View the feature request here .

May 15, 2019 1:46:38 PM       
geov
Re: Feature Request: Support Custom ETF Universe for Hedge

I've tried to use a Book to accomplish this, using 1 Stock Sim + 1 ETF Sim, with mutually exclusive rules. This isn't working for me though, as the best I can do is be 50/50 always in the Book, instead of 100/0 during bull markets, 0/100 during bear markets. Hopefully that makes sense as to what I am trying to accomplish.

In order to get 100/0 during bull markets, 0/100 during bear markets, you have to leverage your two book assets by x 2, because the book allocates 50% of the money to each assets. Leveraging by 2 will give you the desired result of 100/0 and 0/100.

May 15, 2019 4:12:05 PM       
bompus
Re: Feature Request: Support Custom ETF Universe for Hedge

@geov - Thanks for the tip. I'll categorize that in my wonky/crazy workarounds folder. I'm still a fan of the feature request though. Having all the info in one place and not having to toggle leverage and switch between three tabs to try and figure out stats would be much more intuitive.

May 15, 2019 4:53:31 PM       
geov
Re: Feature Request: Support Custom ETF Universe for Hedge

I voted for your feature request.
Another improvement would be to have an option to run different strategies at different periods, depending on market climate or any other trigger.

But good luck with those requests, I don't think that any such option will be available soon. I have been advocating for years to have a hedge module in ETF sims, which would be easy to implement according to Marco, but no such luck yet.

May 15, 2019 5:02:25 PM       
Edit 1 times, last edit by geov at May 15, 2019 7:01:00 PM
hataso
Re: Feature Request: Support Custom ETF Universe for Hedge

I have upvoted this feature request.

May 17, 2022 7:44:06 AM