Marc Gerstein

Building a Do-It-Yourself ETF Hedge Fund

Just a matter of keeping things clear. I definitely do work with the short and leveraged ETFs. I described a strategy using those in a separate article. I want to avoid putting too much into one model mainly to preserve an ability to think judgmentally about whether what's being done makes sense. I think if I mixed leverage and shorts into the same strategy as this one, the whole thing might turn into one big "black box."


On Apr 21 01:40 AM old trader wrote:

> A good article, with a lot of information to digest, but I've got
> a question. If one is trying to replicate hedge fund performance
> (specifically an absolute return strategy), why exclude the short/w2x
> shorts?
>
> Normally, proper sector allocation would ensure exposure to non/low
> correlated asset classes, but as the last year, or so showed...periods
> of extreme "distress" causes correlations to narrow towards 1, negating
> the benefit of using non-correllated asset classes. Wouldn't one
> need to have a short exposure to achieve a positive return in the
> kind of market we've had recently?