As stated in the first article for the GTC Sample Portfolio, we’re keeping our quantitative processes private, but will share the moves we make on an actual portfolio. And please note our risk statement.
So, we’ve been thinking about this GTC Sample Portfolio a bit as of late.
As stated in previous posts, this sample portfolio been light on trades. True, it is based off of actual Quantitative Processes? But it is a sample portfolio. We have actual portfolios and other businesses we need to run, apart from this. So we need to apply strategies, that are high RoE strategies. No, not ROE (Return on Equity). RoE. RoE is our own term. A Return on Effort.
This does not mean the strategy requires no effort. Just minimal management, to implement.
So we had this portfolio, split into three segments. Two such segments will have longer term positions … wherein the third segment, was and ‘is’, for short-term trades. Think … trades that last 20 trading sessions or less. Earlier today we were looking for such trades in the trading strategy we had selected, but nothing really jumped out at me.
Trading is like that sometimes.
“Check”
Which spurred a thought.
This ‘short-term trading segment’ of the portfolio? As mentioned, it will run trades that last 20 trading sessions or less. But to generate alpha over the long run, when other trades are light, we figured that it could also simultaneously run a strategy we have that is split into definite 20 day segments. Another ‘low-effort’, high-alpha strategy (great RoE) in our arsenal. And this strategy that focuses on the indices, carries a different thesis than the other strategies being employed.
Which all keeps the GTC Sample Portfolio easy for us to maintain.
So today? We bought 32 shares of QQQ for the GTC Sample Portfolio. Consider the fill at $378.41. We may need to hedge that purchase, but for now? BTO 32 QQQ at $378.41. We’re holding it until the end of September, and will review it at that time.
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