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To: Boca_PETE who wrote (14121)6/1/2000 11:09:00 AM
From: Alan Bell  Respond to of 15132
 
Pete,

That graph does show the underperformance. But you have to multiply the QQQ percentages by 2. Because the USPIX has a beta twice as large as QQQ, one would invest twice as much in a QQQ short position to achieve an equal hedge position.

In my example, I took dates that had QQQ at about the same level. If the QQQ is at a particular level, USPIX should also be even. But this wasn't the case. It was down 30%.

-- Alan


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