As described in http://seekingalpha.com/article/2430115-structural-arbitrage-making-money-with-math?page=2
Buy ZIV with 30% of the dollar value of the portfolio.
Buy XIV with 20% of the dollar value of the portfolio.
Buy TMF with 50% of the dollar value of the portfolio.
Rebalance weekly to maintain the 30%/20%/50% dollar value split between the positions.
Thanks for the share. I had seen this strategy before, but if you run it in mid 2009 to late 2010 it does not outperform the SPY and has a sizable drawdown as well. You do however achieve marginally better results having the portfolio rebalance once a week or twice a week, but that could just be good timing.
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.
In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.
