SI
SI
discoversearch

We've detected that you're using an ad content blocking browser plug-in or feature. Ads provide a critical source of revenue to the continued operation of Silicon Investor.  We ask that you disable ad blocking while on Silicon Investor in the best interests of our community.  If you are not using an ad blocker but are still receiving this message, make sure your browser's tracking protection is set to the 'standard' level.
Strategies & Market Trends : Shorting stocks: Mechanical aspects
 Public ReplyPrvt ReplyMark as Last ReadFilePrevious 10Next 10PreviousNext  
To: Vol who wrote (111)8/31/1998 2:12:00 PM
From: Banjoman  Read Replies (2) of 172
 
>how do you figure your margin requirements for your shorts? It seems like you use your long positions as margin instead of cash. this system sounds great in a sideways/down market (now). Would it have held you back any during strong bull runs (last 2-3 years)?<

My model is a market-neutral portfolio with $1 short for each $1 long. Effectively, I am assuming $1 margin requirement per $1 short in calculating returns. I do use long positions as margin instead of cash. I intend to find a place to do this (as I scale up) that will give me at least some interest on the short cash - which will help returns by 3-5%/year at current interest rates.

As for history - being long VL 5 gained 5.2%, 7.6% and 16.6% in 95, 96 and 97 respectively (according to VL, with weekly rebalancing). I assume that subselection schemes using Z5 or reverse RS would have done better, but so far have no data to confirm that. Over longer periods, the 5 year trailing returns were 5% in 95, 2% in 96, and 2% in 97. So even looking backward from year-end 97, assuming I received at least 2% in interest on short proceeds, I would have about broken even over the previous 5 years. So it looks like a very low cost or no cost hedging strategy.
Report TOU ViolationShare This Post
 Public ReplyPrvt ReplyMark as Last ReadFilePrevious 10Next 10PreviousNext  

HomeMailHotSubjectMarksPeopleMarksKeepersSettings
Terms Of UseContact UsCopyright/IP PolicyPrivacy PolicyAbout UsFAQAdvertise on SI
© 2025 Knight Sac Media.  Data provided by Twelve Data, Alpha Vantage, and CityFALCON News