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Livermore Active Issues Index for Friday, February 11th

February 11, 2011

7 Comments leave one →
  1. John permalink
    February 14, 2011 8:34 am

    David,

    Do you know what the (weighted average) beta of the Livermore portfolio is each week versus QQQQ?

    Thanks.

  2. John permalink
    February 14, 2011 8:35 am

    I mean, typically.

    It varies from week-to-week, of course.

    Does 1.3 sound about right?

    • david varadi permalink*
      February 22, 2011 4:32 am

      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.
      best
      david

  3. Jethro permalink
    February 21, 2011 11:32 am

    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.

    • david varadi permalink*
      February 22, 2011 4:33 am

      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.
      best
      david

  4. John permalink
    February 21, 2011 6:56 pm

    Good luck getting a reply to your blog post, Jethro.

  5. John permalink
    February 22, 2011 9:04 am

    Thank you for responding, david.

    My apologies on the comment on tardiness made to Jethro.

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