tag:blogger.com,1999:blog-261139923818144971.post5702137713251127108..comments2024-03-29T07:20:07.753+00:00Comments on This Blog is Systematic: Trading and investing performance: year eightRob Carverhttp://www.blogger.com/profile/10175885372013572770noreply@blogger.comBlogger11125tag:blogger.com,1999:blog-261139923818144971.post-24745488162610975482022-09-05T09:32:41.950+01:002022-09-05T09:32:41.950+01:00My account size is 500k. I've written about th...My account size is 500k. I've written about this problem extensively, https://qoppac.blogspot.com/p/systematic-trading-start-here.html search for 'Trading with a small(ish) account'Rob Carverhttps://www.blogger.com/profile/10175885372013572770noreply@blogger.comtag:blogger.com,1999:blog-261139923818144971.post-4218574664582082532022-09-04T19:50:34.960+01:002022-09-04T19:50:34.960+01:00Ah thanks. (Was trying to get a slightly longer IT...Ah thanks. (Was trying to get a slightly longer ITD performance metric back to 2014).<br /><br />Btw- the hyperlink to this page from your "systematic start here" page is broken, I only got here by clicking on "year seven" and then 'hacking' the URL to land here.<br /><br />Another Q regarding sizing and capacity: I haven't seen you mention $ size in your futures trading, and I understand if it's awkward to do publicly. I'm curious what $-amount that's needed to trade the universe you're doing or to run pysystemtrade. How badly does having less $ start to limit you in terms of chunkier sizing, and how badly does having more $ start to shrink your tradable universe due to higher req for liquidity? Say for the $ ranges 100k - 300k, 300k - 600k, 600k - 1mm, 1mm - 2mm, 2mm - 5mm?<br /><br />Thanks RobEric Guohttps://www.blogger.com/profile/17475584410426412755noreply@blogger.comtag:blogger.com,1999:blog-261139923818144971.post-73832517043035617822022-09-03T13:31:22.262+01:002022-09-03T13:31:22.262+01:00I didn't start monitoring my entire portfolio ...I didn't start monitoring my entire portfolio in the same structured way until 2015Rob Carverhttps://www.blogger.com/profile/10175885372013572770noreply@blogger.comtag:blogger.com,1999:blog-261139923818144971.post-83364412047166056392022-09-03T03:41:29.610+01:002022-09-03T03:41:29.610+01:00Can you remind us again why your "Everything&...Can you remind us again why your "Everything" ITD starts in 2015 while "Futures" ITD starts 2014?Eric Guohttps://www.blogger.com/profile/17475584410426412755noreply@blogger.comtag:blogger.com,1999:blog-261139923818144971.post-71675200639953846912022-04-23T12:34:02.942+01:002022-04-23T12:34:02.942+01:00Where did you get these figures from?Where did you get these figures from?Rob Carverhttps://www.blogger.com/profile/10175885372013572770noreply@blogger.comtag:blogger.com,1999:blog-261139923818144971.post-5813851464858725592022-04-22T20:37:53.739+01:002022-04-22T20:37:53.739+01:00I guess this just depends on what are your portfol...I guess this just depends on what are your portfolio level risk targets for stocks, bonds and alternatives (where futures fits in), isn't 5% risk target very low for bonds? It would make sense for a new graduate from university ;)Emre Tezelhttps://www.blogger.com/profile/11516773582824584858noreply@blogger.comtag:blogger.com,1999:blog-261139923818144971.post-40821717529448026372022-04-22T15:41:32.767+01:002022-04-22T15:41:32.767+01:00Hi Rob,
I am following your strategy in your Smar...Hi Rob,<br /><br />I am following your strategy in your Smart Portfolio book. I am very surprised within your Stocks and Bond bucket, your long term target is 90% stocks and 10% bonds. I am very bearish on bonds as well, however even if have a low discretional adjustment on bond risk weight (0.65%) and pretty much no adjustment for equities, I come out as 50/50 cash weights. Did I miss something in your book? Emre Tezelhttps://www.blogger.com/profile/11516773582824584858noreply@blogger.comtag:blogger.com,1999:blog-261139923818144971.post-85480767864488157452022-04-19T16:59:58.343+01:002022-04-19T16:59:58.343+01:00Thanks.
I understand.Thanks. <br /><br />I understand.Matthttps://www.blogger.com/profile/14350481767927820232noreply@blogger.comtag:blogger.com,1999:blog-261139923818144971.post-58007887964358457162022-04-15T19:18:43.116+01:002022-04-15T19:18:43.116+01:00UK equity as proportion of long only is easy: just...UK equity as proportion of long only is easy: just multiply by equity allocation by UK regional allocation. If we use the target figures for these (as I've now rebalanced), then in cash terms its .95*.28 = 27%<br /><br />So long only is 27% UK equity, 73% ETF<br /><br />I can't tell you my futures proportion, because I've said elsewhere what the size of my futures account is, and from that you could back out my total investing account size, which I'd rather you didn't.<br /><br />I can tell you my futures allocation is between 1% and 50%, but that's it :-)Rob Carverhttps://www.blogger.com/profile/10175885372013572770noreply@blogger.comtag:blogger.com,1999:blog-261139923818144971.post-46258712819653117742022-04-15T18:41:37.625+01:002022-04-15T18:41:37.625+01:00Roughly 90:10 split between capital allocated to t...Roughly 90:10 split between capital allocated to the long only investments and futures trading?stathihttps://www.blogger.com/profile/16452696954619652010noreply@blogger.comtag:blogger.com,1999:blog-261139923818144971.post-36014452407095230822022-04-15T18:31:43.872+01:002022-04-15T18:31:43.872+01:00Hi Rob
I really appreciate that you list all you...Hi Rob <br /><br />I really appreciate that you list all your ETF's. It has helped me a lot building my own portfolio.<br /><br />I have a quick question. How is your portfolio weighted in terms of:<br />- UK equity<br />- ETF<br />- Futures<br /><br />33% each? <br /><br />Regards<br />Matthttps://www.blogger.com/profile/14350481767927820232noreply@blogger.com