portfolio management
Posted: Tue Jul 20, 2004 3:26 pm
Hi, I just read this chapter in Jones's book and, while the development of the theory seemed quite nice, I got puzzled by the fast explanation about the practical mangement of contracts trading different futures.
All I found is a summary table with the astonishing data but I fear being astonished in a different way trading it for real so i prefer to go deeper into the subject.
If for example you are trading simultaneously (but with two different strategies) both S&P and Nasdaq would you better apply separate money management to each equity or would you consider the resulting equity and from that decide the different bet sizes? In case the answer is for separate management no problem but what if you consider the two together? I could calculate how many S&P and how many Nasdaq depending on my approach buy should I average them in case of simultaneous trade? I believe not but your opinion is appreciated.
To better explain: if I calculate to trade with 4 S&P or 6 Nasdaq what if I get a long signal on both markets? Should I still buy 4 S&P and 6 Nd or should I go with 2 and 3 (50% each)?
Thanks for your help.
bye
Smodato
All I found is a summary table with the astonishing data but I fear being astonished in a different way trading it for real so i prefer to go deeper into the subject.
If for example you are trading simultaneously (but with two different strategies) both S&P and Nasdaq would you better apply separate money management to each equity or would you consider the resulting equity and from that decide the different bet sizes? In case the answer is for separate management no problem but what if you consider the two together? I could calculate how many S&P and how many Nasdaq depending on my approach buy should I average them in case of simultaneous trade? I believe not but your opinion is appreciated.
To better explain: if I calculate to trade with 4 S&P or 6 Nasdaq what if I get a long signal on both markets? Should I still buy 4 S&P and 6 Nd or should I go with 2 and 3 (50% each)?
Thanks for your help.
bye
Smodato