This Blog Is Systematic

Sam Subramanian PhD, MBA has credentials that are the envy of most investment advisers. He combines strong quantitative skills with deep financial expertise and insights on internal workings of Wall Street and companies. His creativeness has helped him earn 16 U. S. patents. Prior to founding AlphaProfit Investments, LLC, Sam worked well in positions of increasing responsibility in Finance and Corporate Technique for McKinsey & Company, Exxon Corporation, and Unocal Corporation.

His work centered on Acquisitions and Divestitures, Asset Valuation, Trading, Bankruptcies, and Risk Management. Well aware of the dismal earnings produced by money managers, he was identified to take charge of his own investments. He created a low cost, low work but high return investing system and rigorously examined it for over 2 decades using his own money. This high-performance system helped Sam to become economically 3rd party. Sam still invests his money, using the award-winning system he created now. He shares the unbiased, crystal-clear suggestions and market moves with his subscribers.

Again notice the tilt towards equities given their strong relative momentum. It might be nice to make more money, so a fascinating question is how? Without digging too deep it looks like my systematic UK collateral trading does relatively okay, and my futures trading could be better. This leads one to ask a number of questions.

  • Potential for margin improvement
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  • 9 / 7 = 2.8556%
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Does the obvious out performance of my UK equities warrant an increased allocation when compared to a Smart Portfolios trader would give it? To place it yet another way what’s the benefit of an extended only systematic profile exposed to multiple risk factors, versus vanilla market cap weighted? There is certainly some benefit, but in my book I would recommend not adjusting stock portfolio weights too much in the expectation of higher relative Sharpe Ratio.

Indeed I’m presently at around 17% of total profile risk in UK equities, versus the 4% roughly I would recommend for a UK buyer in my reserve. If I continue steadily to top slice my outsized positions in ICP and STOB I will still only get right down to 15%. In conclusion I believe it will probably be worth continuing to tactically reduce my UK equities exposure.

Improving my futures trading is something on the ‘to-do’ list. Arguably it would make more sense to introduce another asset class; cover more individual equities perhaps, take up a long:short portfolio, or look into options. However this calls for far more work than I’m prepared to achieve this I’m sticking with futures. Sooner or later while i get pysystemtrade to the point where it can replace my current trading system I am in a position to start taking a look at some improvements here.

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