I am interested in long/short portfolios with trades on either side. Shorts are more miserable than longs due to availability issues, cost to borrow fees, sometimes days to locate shares, etc. etc.
So I am working on a long/short system for the Russell 3000 that only rebalances every 3 months. It has a minimum of 100 positions on either side and can go up to 1,000 if need be (but likely not practical). Below is a screenshot with 0.25% slippage factored in but no other fees.
Is there any other P123 designers, fund managers, or anyone else that has an interest in this sort of product? Just feeling out the waters as to the sort of general interest in various products. It seems so far that the average sub really likes combining 5 or 10 stock smallcap ports that use market-timing…but hope that we attract some bigger fish too.
I am interested in long/short, and trade both long and short myself. Too bad that R2G does not support short strategies. Re. the number of stocks, I have a hard time seeing the value beyond 20 stocks for a given strategy. Personally I would not want to manage/hold that many stocks. I know there are other perspectives on this and do not wish to debate this (again), just expressing my preference.
Thanks Don. For this type of system, I was thinking about something larger than a retail investor. Probably the smallest would be a $5 million fund and up to a very large fund. I guess I was wondering if there were long/short hedge funds or any other larger people that use P123 that want to collectively put their minds together on a project like this.
I am very interested in such a system. I have experience in running a long/short factor system based on S&P500. Even then, getting short side lined up was occassionally tough so doing it against an index is a great idea. The short side could be done with S&P mini futures and the Russell futures in practice.
I have various hedged systems using a major index ETF but this one is actually 150 long and 150 short positions with 3 month rebalancing. I really like my hedged models but I have a couple ranking systems such as this one that actually has consistent short alpha. If you use a Russell 3000 ETF hedge on this one it is not nearly as good.
I like this idea, and utilize a similar long/short index-style approach myself with investments that I manage. I’d be interested in exploring this further with you. FWIW I’m located in California.
I’d be interested in this as well. Is this fundamental based? This is the ranking system only? With liquidity filters? Not market timing of any kind? Would likely want it to be autotraded safely. I don’t want to trade it. Are you looking to sell this to one person / fund? Or many?
P.S. Ed…or anyone else. I have similar long-short systems showing about 24% AR and 2+ Sortino for monthly or quarterly rebal based just on the ranking of 100 stocks since 2000. Fundamentals based. Bottom up financial statement analysis from Prussell3000 with $1MM Avg Daily 60 liquidity and $100MM mkt cap and $2 or more close. I’m guessing people don’t want these? But if people are interested and/or talking about, I’d be interested in talking.
I have traded a Russel1000 long/short portfolio for over 3 years, from 2008 to 2011. Largely, I used a 130% long 80% short approach. My experience hasn’t been a very positive one, however, that might be related to the relenetless market meltup that had the ‘worst stocks’ outperform by a large margin. In particular, my out-of-sample results were much worse than the backtests indicated. Also, some stocks were very expensive to borrow (up to 80% annualized at times, JOE or SHLD come to mind). I have abandoned the approach in 2012 and went to shorting just the S&P500 futures against my portfolio of long positions.
If you use short positions, I’d add a 5% annualized short borrow fee into your backtest, just to be certain it outperforms a short SP500 future position.
Sure, I’d be interested in talking about this further with you. Sounds like we’re doing something similar, and seeing similar numbers. BTW I see you’re located in L.A. … same here.
So…you’re in LA, too. What part? Maybe we meet up for late Lunch some time?
I’ve been trading long-short for about 12 months only. Good results so far, but 90% of my short systems include a market timing piece. Hard to short in a bull market.
This ranking system I just posted was different origin. It was inspired in part by Marc G’s call for people to build bottom up, financial statement and fundamental analysis driven systems. Just started playing with that over past two days…(I had the building blocks from other systems I’d built in the past, but put them all together). Kind of cool to see how they worked assembled.
