Following Up on Hedging Strategies
Two months ago, while expressing some concern about the markets, I played around with ways to hedge the risk of news-driven volatility in a portfolio. I formed some portfolios that were hedged dollar for dollar with a short position in the index. I looked at using the biggest 52-week losers among index components, those yielding at least 3% and trading at new lows, and the ones trading below book value. I also had one portfolio that used F scores, but that one ailed almost out of the box and was discarded.
The results are informative, and I want to review them and share some other observations about the portfolios. I am also going to rebalance and continue testing this approach....526 more words left in this article. To read them, just click below and try Real Money FREE for 14 days.
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