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How much have you lost in the market since corona hit?

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  1. #51

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    @foxwendal

    It was for simplicities sake. You're right, I'm both long individual stocks and ETFs as well as short NQ=F and ES=F.

    My long term ETF holds are highly correlated to ES=F and discretionary individual company buys are pretty correlated to QQQ. I don't really bother distinguish though as ES=F approximates the US portfolio close enough.

    If vix is 60 vs a more long run 20, I probably want to try and sell about 66% of my stocks. I don't want to alter the allocation too much, and it can be quite tedious to go through each individual holding and sell 66% of it. Some of it is already in the minimum lot size such as amazon and google. I only have 100 shares of each and it isn't super practical to sell 66 shares of each of them to get my desired exposure.

    I did sell off some though. I use 2800.hk for my HK exposure and sold off a small chunk of that. I also have short MHI, the mini hang seng futures as well as short EWH such that there is always a tradable option to adjust at any hour and not just Hong Kong market hours as would be the case for just 2800.hk.

    When expiry comes as it did for the March 20 ES=F, I just roll it gradually into the next lead maturity.

    In short I would say it's for:
    Ease of calculation: Just short (1-(20/vix)) percent of my SPX Delta.
    I can adjust the above 24 hours a day (not that I try to. I'm pretty settled at my current level).


  2. #52

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    Quote Originally Posted by tck:
    @[B]
    Ease of calculation: Just short (1-(20/vix)) percent of my SPX Delta.
    I can adjust the above 24 hours a day (not that I try to. I'm pretty settled at my current level).
    Do you mean your current exposure isn't settled but then continuously adjusted around VIX? In which case, your formula basically demands you to sell more as stocks go down and buy back when they go up since VIX and stock prices are typically inversely related. I'd be questioning having a system that requires you to buy high and sell low
    Last edited by foxwendal; 01-04-2020 at 06:33 PM.

  3. #53

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    You're totally right on that @foxwendal. It's not long run system, but it was meant to be part of a set of rules to confine my reactions to a situation like this such that I don't overreact or deviate from my long run belief that I should stay in the market. I've not had this rule before, It's something new I'm trying to iron out. It's coming with the realisation that actually am having a hard time stomaching -10% days and I'm trying to figure out a set of systems to be okay with days like that since it seems like they could be the new norm for a bit.

    1. Dollar cost averaging isn't feasible for me because I'm fully dependent on my portfolio and don't have much cash coming in currently given the state of my business. This would probably be ideal as it would purchase more shares during downturns.

    2. I basically have set limits on where my exposure can be. At it's lowest it can be 40% exposed, the equivalent to being 40% invested and 60% cash. At my most risk on I let myself go up to 140% of value. These limits are based on the long run view that stocks go up given a long enough time horizon on the minimum side, and on the upside just trying to avoid margin call and excessive leverage.

    3. The reason I have these limits is because of a behavioural problem. I have a hard time not over reacting to bad / good news. So i'm trying to confine my feelings to align more with my long run view of just always staying pretty invested. So in times of crisis and even if I'm very pessimistic, I can never go less than 40% exposed to the market. In times of exuberance I don't go over 1.4x. In the past I might have reacted by going net short, or completely sold off which is the behaviour I'm trying to restrict out.

    4. The reason for the benchmarking against against the VIX is mainly to have a reference of how much exposure I want to reduce. So it's more from a managing swings point off view rather than maximising return. In hindsight because of how negatively correlated vix is with S&P, yeah, it does bias me to sell on down days. I'm undecided about how bad that is though. I feel it would be dependent on whether you believed that we were more in a momentum environment as opposed to a mean reversion environment. If momentum were ruling than it could make sense to get out of the slide down. I'm open to suggestions but I'm trying to find a way smooth out my equities line. Haha, maybe it's a s simple as being long VIX while long equities.

    Last edited by tck; 01-04-2020 at 07:29 PM.

  4. #54

  5. #55

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    Quote Originally Posted by tck:
    [B]Haha, maybe it's a s simple as being long VIX while long equities.
    This is basically classic "portfolio insurance" where you're long the stock for the gains, and long an out of the money put option for the protection (put = short delta + long vol or VIX). Downside protection never comes cheap and is downright through the roof now with VIX at 60. That said if you just want to protect the extreme downside at a cost, I imagine this would be less a drag in long term than your current buy high sell low delta adjustments.

    But respectfully, sounds like you're probably overtrading the account and may be better served picking an allocation you can sit tight with.
    Last edited by foxwendal; 01-04-2020 at 09:05 PM.

  6. #56

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    I couldn't be bothered to read all of tck's posts, but the dude is clearly a day trader. Good luck to you, sir! I hope you won't need it (but you will).


  7. #57

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    @GentleGeorge, haha I'll confess, I've put more trades in this month than I probably have in the last 3 years. Hence needing some sort of rules or impulse control. I definitely can get tempted by the swings with Macau so inaccessible.

    GentleGeorge and foxwendal like this.

  8. #58

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    Quote Originally Posted by tck:
    @GentleGeorge, haha I'll confess, I've put more trades in this month than I probably have in the last 3 years. Hence needing some sort of rules or impulse control. I definitely can get tempted by the swings with Macau so inaccessible.
    Put your cash into 3 month fixed deposits ... helps with cost averaging and impulse control.

  9. #59

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    Maybe we need another thread specific to HK to keep it more relevant ... (?)


  10. #60

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    Nov 2014
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    I got smashed - down almost 50% in just a few trading sessions (most of it came after Saudi/Russia didn't agree on cutting production). I was levered 1.5x (75% equities, 75% bonds) with the expectation of a 30% correction in the market (I know the overall market fell 30-35% but the companies I monitor fell 50% to 75%) and the correlation between bonds and interest rates to remain but the liquidity crisis really hurt small caps and bonds.

    The companies I like and are in are BA, Soc Gen, ABI, Occidental Petroleum, Western Digital which got absolutely smashed. My healthcare and tech companies are fine but made up a smaller percentage of my portfolio. I have a 30% hedge on my equities but they've all fallen further than that. Small caps were obliterated unfortunately - not enough liquidity in them.

    I'm mostly just holding on to my larger cap equities, IG bonds, some gold and cash now.

    TheBrit and tck like this.

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