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Constant stocks allocation with dynamic inverse etf hedging

Constant stocks allocation with dynamic inverse etf hedging

2 responses

Weijen, this is pretty cool, I like that drawdown. Do you mind giving a little context into how the strategy works?

Here's a backtest in minute mode with it trading at the open every day, the results are really similar. I bet you would get some really good looking risk metrics if instead of buying the proshares short ETF, you actually short QQQ. By doing that your exposure to the market would be close to dollar neutral.

David

I went in and swapped PSQ for QQQ and reversed the sign where you calculated the returns of PSQ. It looks better than the version with the inverse ETF, but there is a little more volatility.