大家周末好！！！贴一下我的weighted average portfolio beta

23/5/2008 (0.6180)
22/5/2008 (0.4397)
21/5/2008 0.2173
20/5/2008 1.6286
19/5/2008 1.3902
16/5/2008 1.2875


注：
1. 这个数据有一点滞后。但是portfolio position特点还是鲜明地。
2. 5月15号beta更大。想想别帖出来了，容易误导。

从5月20日开始reverse的position.


这种东西很玄，所以绝不是一天晚上就从long 立刻变成short。但是这么渐渐的根据rules，就会有这个渐变。

在大势出现可能的turning point的时候，这样的beta management非常帮助你控制风险，就算现在突然暴涨，-0.618的beta也不能伤害到哪里去。



天下没有不散的宴席：）


[speculatist (5-24 9:08, Long long ago)] [ 传统版 | sForum ][登录后回复]1楼

周末好[ghorse (5-24 9:51, Long long ago)] [ 传统版 | sForum ][登录后回复]2楼

你怎么一天就把BETA变了这么多？ 怎么做到的21/5/2008 0.2173
20/5/2008 1.6286 [亢股有悔 (5-24 10:09, Long long ago)] [ 传统版 | sForum ][登录后回复]3楼

the changing is a little bit fastI don't know how do u know that. It's so sensitve!!!

In fact I expect this turning coming 2nd half of June...
STI is kena weak among region.

Eyes on Monday, but I think there is no suspense for STI breaking 3100.

[tangba (5-24 20:46, Long long ago)] [ 传统版 | sForum ][登录后回复]4楼

(引用 亢股有悔:你怎么一天就把BETA变了这么多？ 怎么做到的21/5/2008 0.2173 20/5/2008 1.6286 ).... portfolio beta , surely you can do it. you are the controller.sell some long positions and add some short positions you can make it. [speculatist (5-25 23:54, Long long ago)] [ 传统版 | sForum ][登录后回复]5楼

(引用 tangba:the changing is a little bit fastI don't know how do u know that. It's so sensitve!!! In fact I expect this turning coming 2nd...)hi guys, i must clarify that,this beta is my own portfolio's implied beta. it depends on my holdings and holdings individual beta.

so theoretically i can sell some long positions and add some short positions , the whole portfolio beta will change completely.

it is not any beta published on financial information websites. (those beta is longer period beta, not accurate enough anyway)


then back to tangba, i think the whole sentiment turning weak, hk is very weak, SG is stronger than hk, surprisingly, JP is stronger.

technically, of course, DOW is the weakest:)[speculatist (5-25 23:57, Long long ago)] [ 传统版 | sForum ][登录后回复]6楼