Short Sale Model Portfolio To Assume 100% Cash Position At Market Close

Dec. 08, 2017 3:59 PM ET2 Comments
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Long/Short Equity, Growth At A Reasonable Price

Contributor Since 2009

J. Stephen Castellano founded the equity research and financial modeling consulting firm Ascendere Associates in 2009, building upon a diversified 20-year career in sell side and buy side equity research. His roles included coverage of the steel industry at PaineWebber and telecom services at Warburg Dillon Read (the predecessors to UBS), where he worked closely with institutional sales people, traders and investment bankers. In addition, he provided analytical support for numerous independent valuation, consulting and investment banking studies, including for mergers, secondary offerings and IPOs. At Ascendere Associates, in addition to developing equity research for family offices and other clients, he has consulted for a wide range of startups, established businesses, and global consulting firms. Mr. Castellano holds a B.A. in English from Oberlin College, an MBA from the F.W. Olin School of Business at Babson College, and has passed the first two levels of the CFA exam.

Summary

  • We track two versions of a long/short model portfolio strategy. One version, the Opportunistic Long/Short model, uses a cash allocation strategy while the other does not.
  • The Opportunistic Short Sale Model is currently down -5.68% MTD.
  • Just prior to the market close today, positions in the Opportunistic Short Sale model will assume cash positions for the balance of the month.
  • In contrast, the Core Short Sale Model will keep its short sale positions in place.
  • Since inception, the Opportunistic Short Sale Model has outperformed the Core Short Model.

The Opportunistic Short Sale Model portfolio has exceeded its stop loss and will assume a cash position for the balance of the month.  

Disclosure: I/we have no positions in any stocks mentioned, and no plans to initiate any positions within the next 72 hours.

Additional disclosure: As a simple quantitative model based on fundamental rankings, the portfolio models do not take into account rumors or pending M&A transactions. Theoretical return data reflect simple cumulative returns (not compound returns) and do not assume the impact of costs such as execution fees, margin fees, slippage, the availability of stocks for short selling, or any other kind of cost. There are limitations inherent in our theoretical model results, particularly with the fact that such results do not represent actual trading and they may not reflect the impact material economic and market factors might have had on our decision making if we were actually managing client money. We do our best to provide accurate information in this report, but do not guarantee its accuracy.

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