Please state the pros and cons of portfolio trading. - page 4
You are missing trading opportunities:
- Free trading apps
- Over 8,000 signals for copying
- Economic news for exploring financial markets
Registration
Log in
You agree to website policy and terms of use
If you do not have an account, please register
How does a company's level of capitalisation affect the amount of risk of its instrument? Of course there is a direct correlation, but you need to equalise the risk of instruments and you do not need to know the capitalisation level of the instrument being traded, which is what the betta coefficient says: it takes the risk of the benchmark portfolio as its denominator. Define the risk of a synthetic index and express the ratios of its constituent instruments through it.
Brainwashing............ I don't want to argue (although risk has nothing to do with the question of selecting index companies etc etc).
I will ask again:
"Define the risk of a synthetic index and express through it the coefficients of its constituent instruments. " (С)
How exactly do I select (compile) this index as a "benchmark" market portfolio in forex?
which currencies to choose for the benchmark portfolio?
It depends on what the objective is. If you want to maximise profit with minimal risk, then this is purely an optimisation task. Define the risk, e.g. through variance, and build an effective VaR front. Coefficients and required markets will be found by themselves.
It depends on what the objective is. If you want to maximize profit with minimal risk, it is a purely optimistic task. Define the risk, e.g. through variance, and construct an effective VaR front. The coefficients and required markets will find themselves.
No profit, no risk, no front.
A "benchmark" market portfolio in forex is necessary. A stock index is not about maximising returns while minimising risk - it is an indicator of the state of the market. In any stock market, it is always possible to find stocks that give higher returns and lower risk than the stocks included in the index.
So, once again, let me formulate what I understood in terms of the problem: there are N instruments. Find among them k instruments whose total return would be higher than some G index, and their total risk would be lower than the G index, which would include all N instruments, or what?
No. Let's put it this way - we need to define a "benchmark" forex index. In the stock market - an index as a measure of the price performance of securities of companies with maximal capitalisation in the market (for example).
What for? Let's assume that pair trading is implemented in forex. Two strongly correlated instruments are identified, a beta-neutral portfolio is compiled and the beta coefficients of each instrument are used to calculate the shares of both instruments in this portfolio, calculated on the basis of a "benchmark" market portfolio.
A "benchmark" market portfolio is not necessarily a maximum return, it is a reflection of the "average temperature in the chamber".
No. Let's put it this way - a "benchmark" forex index needs to be defined. In the stock market, an index as a measure of the price dynamics of securities of companies with maximal capitalisation in the market (for example).
What for? Let's assume that pair trading is implemented in forex. Two strongly correlated instruments are identified, a beta-neutral portfolio is compiled and the beta-coefficients of each of the instruments, calculated on the basis of a "benchmark" market portfolio, are used to calculate the shares of both instruments in this portfolio.
Okay, then why is the standard dollar index not suitable for you? To calculate it, instead of the capitalisation of companies, data on the turnover of a particular currency is used. That is, the currency becomes a weighted average of its "currency capitalisation" (commodity endowment).
Or if there are, other ways of calculating the shares of instruments in the portfolio.
What is the purpose of the portfolio? To be better than a hypothetical index in terms of risk and return?
Please state the pros and cons of optimised automatic portfolio (diversification) trading.
The idea of portfolio investment is the idea of a criminal community fooling the world's dupes. At the head of this community is Nobel Markowitz and his ilk.
Before you open such topics, take our management companies' reports for previous years and compare their results with the change in the index. I last compared for fat years before the crisis. The figures were roughly as follows: about 70% gave a blunt investment in the RTS Index. Three companies gave returns higher than the index by a few percentage points and the rest were strictly lower. Several hundred companies. But all the managers kicked in a not insignificant percentage (up to 10% of asset valuation + % of profit!!!) for this management - that's sacred.
All these portfolios work little by little in a steadily growing market. But God forbid volatility and the whole ideology of managed risk (a la Markowitz) goes to hell along with the ideology of an efficient market. Add to that the sluggishness of management companies and regulatory constraints.
So start with the statistics from our regulator's website, whatever it's called now, and then ask questions if you still feel like it. It is very desirable that you should put this information in this thread, to avoid your interest in attracting governesses to portfolio investments.
OK, so what's wrong with the standard dollar index? To calculate it, instead of the capitalisation of companies, data on the turnover of a particular currency is used. I.e. the currency becomes a weighted average of its "currency capitalisation".
Thanks, that's something to think about.