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explo last won the day on January 16

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  1. To get better understanding of my portfolio's return contribution I'm breaking out the part that comes from foreign currency denomination. That part consists of risks without premia, but the risks are negatively correlated to the other risks and thus contributes to total risk reduction and it does not allocate any capital so it is sort of costless. Hedging the foreign currency exposure would therefore add both cost and risk which seems like a bad idea. The reason for this free lunch offering in terms of portfolio risk reduction is that the portfolio currency is a smaller currency which like stocks is considered high risk and therefore correlates with stocks in risk on / risk off scenarios. The foreign currencies denominations of the assets translates to positions long those larger and safer currencies against the smaller and riskier local currency and thus those positions tend to appreciate when stock prices depreciate. Allocation Return Contribution Attribution
  2. explo

    Beyond Solar

    TSLA roaring back this week..
  3. explo

    Beyond Solar

    I'm not an expert on shorting but I would guess that it would be a short-term volatility event to the upside. Right now I feel good about that 75% reduction of the position yesterday.
  4. explo

    Beyond Solar

    The greatest short squeeze of all time https://finance.yahoo.com/news/tesla-stock-rally-explained-morgan-stanley-teracap-super-bull-morning-brief-104634103.html
  5. explo

    Beyond Solar

    Thanks Jet. Lucky to get a buying frenzy in one of my stocks.
  6. explo

    Beyond Solar

    Thanks Pete. A first for my new portfolio (13 months old).
  7. explo

    Beyond Solar

    Yes, it takes a lot for a forced 75% trimming to be triggered in my portfolio, but this one hit it now.
  8. explo

    Beyond Solar

    It reached the portfolio's forced profit taking limit today.
  9. explo

    Beyond Solar

    My TSLA is going parabolic. Their Solarcity division too, but the reason the stock has gone nuts is "beyond solar". It might become my first forced profit taking stock.
  10. It's very much how I traded solars (but I guess with more exposure). It works well for solars. You could say that odds on the volatility bet is better than the odds on the trend for those stocks. That's why unorthodox tactics that normally isn't as profitable can be very profitable for solars.
  11. Thanks for describing your approach. Solar stock behaviours are quite suitable for trading strategies (they have not worked well as investments the last decade as we all know). Your strategy is a bit similar to the one I used when I was focused on solar. I called it FARS = Frequent Aggressive Rebalancing Strategy. Just to translate your tactics to rules you can view it as a rebalancing strategic between the asset class cash and the asset class equities, but it is very flexible, i.e. you try to increase equity allocation when price of equities go down and vice versa. This is more risky than normal rebalancing strategy but you compensate that by having a large target neutral cash allocation. This strategy can during most periods (e.g. 2013, 2017 2019) be very lucrative for trading solar stocks. During other periods (2015, 2016, 2018) it can be a bit distressing I think, i.e. the choppy net moves up are very lucrative and the choppy moves down are distressful. One thing that can save you is the part where you exit on the way down to look for stabilization. I was never good at that part.
  12. Pete, taking profits makes sense and is straight forward, but for me the difficulty in strategy design is to know how to redeploy that cash. I think that is what determines the success of the strategy. Basically you want to redeploy it at less risk (or rather higher risk adjusted expected return) than you exited at, right?
  13. The average leverage for the year was actually the same as Q1, i.e. 2.36x. The target is 2x (after a complete rebalance), but long-term expected average is 2.2x since the unbalance tolerance tend to slide to slightly higher leverage on average than the target. Here's a chart of the leverage over the year. Note that bigger jumps are due to cash withdrawals. Regarding your question on return, it's return on equity not return on assets, i.e. return after leverage, not before leverage. Return before leverage was 29.35% for the portfolio and 27.55% for the benchmark. Note that the return needs to be put into volatility context. The higher return than the benchmark (67.87% vs 63.27% after leverage) was achieved at lower volatility than the benchmark (20.39% vs 26.95%). Thus on a risk-adjusted return basis it was a beat year. Good result considering the very low risk due long periods.
  14. Now is a good example of when "time in market" pays. If those times when things go vertical to the upside are missed a lot of the long-term return will be missed out on (unless pairing by avoiding at least the same magnitude to vertical drops). It's really hard to know when the big moves come.
  15. The "rising tide lifting all boats" generally applies to all long biased strategies. What I have found important is to separate beta and alpha when analysing the return in order to see if the alpha is healthy. Your approach can certainly generate good alpha too. I would say that it requires more ongoing effort and is more difficult to keep long-term consistent than my approach as your alpha is generated from picking both asset and time and, I guess, less diversified than my asset picking. I have around 120 assets in my portfolio with fixed target allocation. My approach required massive upfront allocation optimization effort, but the continuous management effort (to rebalance to target when diverging beyond tolerated target deviation) is quite low.
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