Do you know what the (weighted average) beta of the Livermore portfolio is each week versus QQQQ?
I mean, typically.
It varies from week-to-week, of course.
Does 1.3 sound about right?
Hi John, Im not sure what the beta of the Livermore has been recently, however over the long term it hovers between 1 and 1.25. The relative performance is primarily alpha-driven, but the composition can vary as a function of numerous factors such as aggregate intra-index correlations and volatility etc.
Back in March 2010, here: https://cssanalytics.wordpress.com/2010/03/11/new-livermore-active-issues-index-hedged-nasdaq-100/, you mentioned keeping two Livermore lists. Still, there only seems to be one list posted. Are keeping both lists and only posting one? Which one is being posted here?
First post here. Skimmed through the whole blog this weekend and read a tons of stuff that appealed to me immediately. Fantastic work.
Hi Jethro, thanks for the kind words. We have only published the Nasdaq on the blog, but provide S&P500 lists (and the NDX) to institutional clients. We will be launching a retail product formally at some point.
Good luck getting a reply to your blog post, Jethro.
Thank you for responding, david.
My apologies on the comment on tardiness made to Jethro.
Fill in your details below or click an icon to log in:
You are commenting using your WordPress.com account. ( Log Out / Change )
You are commenting using your Twitter account. ( Log Out / Change )
You are commenting using your Facebook account. ( Log Out / Change )
You are commenting using your Google+ account. ( Log Out / Change )
Connecting to %s
Notify me of new comments via email.
Enter your email address to follow this blog and receive notifications of new posts by email.
Join 1,061 other followers
Create a free website or blog at WordPress.com.