I am wondering 2 things about a portfolio book. Let's imagine that we have 2 strategies in the book. Each of them representing 50% for a total of 100k.
one of the strategies in between 100% and 120% invested (with some leverage from time to time, increasing exposure to 60k). Is leverage considered at rebalancing? If yes, one should be 50k and the other one 60k?
if I hedge within one of these strategies (let's assume 100% hedge on one strategy, therefore with 50k long and 50k edge), how would it work in the book? 50k for one strategy and 100k for the other (incl. the hedge)?
The portfolio book needs a couple tweaks to make it usable for long/short. You cannot use leverage in books directly, which is a big problem for using short hedges.
What I have to do now is run the long strategies together in a book. Then export these to excel. Run short strategies. Export to excel. Mix them by hand so I have the correct gross and net exposure (e.g. 130/70). This is tedious and requires creating a new time series data. Then I have to get a subscription to PortfolioVisualizer which is $660/year. Upload the new equity curve and run it there.
I don't know of any other solution until the book allows for leverage. Something simple like
Strategy A long 50%
Strategy B long 60%
Stragegy C short - 50%
Then it is 110/50. And you don't need to apply leverage at the model level...only the book level.