No. | Open Date | Long | Sector | Industry | Short | Industry |
1 | 2009-12-07 | JBT | Industrials | Machinery | TKR | Machinery |
2 | 2009-12-07 | LTM | Consumer Discretionary | Hotels Restaurants & Leisure | MCD | Hotels Restaurants & Leisure |
3 | 2009-12-07 | MCY | Financials | Insurance | AWH | Insurance |
4 | 2009-12-07 | FSLR | Industrials | Electrical Equipment | EMR | Electrical Equipment |
5 | 2009-12-07 | TTC | Industrials | Machinery | TRN | Machinery |
6 | 2009-12-07 | TTC | Industrials | Machinery | BUCY | Machinery |
7 | 2009-12-07 | OSG | Energy | Oil, Gas & Consumable Fuels | MEE | Oil, Gas & Consumable Fuels |
8 | 2009-12-07 | WRC | Consumer Discretionary | Textiles, Apparel & Luxury Goo | NKE | Textiles, Apparel & Luxury Goo |
9 | 2009-12-07 | AEO | Consumer Discretionary | Specialty Retail | TIF | Specialty Retail |
10 | 2009-12-07 | WTNY | Financials | Commercial Banks | MTB | Commercial Banks |
Sunday, December 6, 2009
Trading for December
We will open these ten pairs on Monday at MOO:
Monday, November 30, 2009
November Average Return:1.2%
We close all positions except those opened on November 23.
Live Portfolio:
Closed Pairs:
Live Portfolio:
No. | Open Date | Long | Open | Last | Short | Open | Last | Net Return |
1 | 2009-11-23 | FIS | 23.06 | 22.6 | MA | 233.49 | 240.86 | -5.2% |
2 | 2009-11-23 | URI | 9.7 | 9.22 | GWW | 98.57 | 97.7 | -4.1% |
3 | 2009-11-23 | GME | 25.8 | 24.41 | ROST | 44.1 | 43.98 | -5.1% |
Closed Pairs:
No. | Open Date | Long | Open | Close | Short | Open | Close | Close Date | Net Return |
1 | 2009-11-05 | UNH | 27.95 | 28.76 | CYH | 33.58 | 32.82 | 2009-11-12 | 5.2% |
2 | 2009-11-05 | CVH | 21.78 | 22.71 | CYH | 33.58 | 32.82 | 2009-11-12 | 6.5% |
3 | 2009-11-05 | ORLY | 37.31 | 39.31 | PSS | 19.42 | 19.86 | 2009-11-12 | 3.1% |
4 | 2009-11-05 | ORLY | 37.31 | 38.78 | ANF | 33.12 | 39.93 | 2009-11-30 | -16.6% |
5 | 2009-11-06 | TSN | 12.65 | 12.02 | HANS | 33.22 | 34.97 | 2009-11-30 | -10.2% |
6 | 2009-11-06 | TSN | 12.65 | 12.02 | AVP | 33 | 34.25 | 2009-11-30 | -8.8% |
7 | 2009-11-06 | WLP | 50.72 | 54.03 | PDLI | 8.24 | 8.17 | 2009-11-30 | 7.4% |
8 | 2009-11-09 | BDX | 70.82 | 74.8 | HSP | 46.96 | 46.95 | 2009-11-30 | 5.6% |
9 | 2009-11-12 | EQR | 31.25 | 32.21 | HRP | 6.73 | 6.14 | 2009-11-30 | 11.8% |
10 | 2009-11-12 | SPG | 72.21 | 72.66 | HRP | 6.73 | 6.14 | 2009-11-30 | 9.4% |
11 | 2009-11-13 | NDAQ | 18.92 | 18.68 | MCO | 23.59 | 23.23 | 2009-11-30 | .3% |
Nov | Culmulative | 13.7% | |||||||
Nov | Average | 1.2% | |||||||
Oct | Culmulative | 59.7% | |||||||
Oct | Average | 6.6% |
Sunday, November 22, 2009
New pairs to hold for the last week of November
Open on Monday, November 23 at MOO:
No. | Open Date | Long | Sector | Industry | Short | Sector | Industry |
1 | 2009-11-23 | FIS | Information Technology | IT Services | MA | Information Technology | IT Services |
2 | 2009-11-23 | URI | Industrials | Trading Companies & Distributo | GWW | Industrials | Trading Companies & Distributo |
3 | 2009-11-23 | GME | Consumer Discretionary | Specialty Retail | ROST | Consumer Discretionary | Specialty Retail |
Saturday, November 21, 2009
Portfolio Recap:Nov 20,2009
Live portfolio:
Closed transactions:
No. | Open Date | Long | Open | Last | Short | Open | Last | Net Return |
1 | 2009-11-05 | ORLY | 37.31 | 38.9 | ANF | 33.12 | 39.73 | -15.7% |
2 | 2009-11-06 | TSN | 12.65 | 13.07 | HANS | 33.22 | 35.42 | -3.3% |
3 | 2009-11-06 | TSN | 12.65 | 13.07 | AVP | 33 | 34.03 | .2% |
4 | 2009-11-06 | WLP | 50.72 | 52.14 | PDLI | 8.24 | 7.9 | 6.9% |
5 | 2009-11-09 | BDX | 70.82 | 73.7 | HSP | 46.96 | 46.88 | 4.2% |
6 | 2009-11-12 | EQR | 31.25 | 31.95 | HRP | 6.73 | 6.56 | 4.8% |
7 | 2009-11-12 | SPG | 72.21 | 72.56 | HRP | 6.73 | 6.56 | 3.0% |
8 | 2009-11-13 | NDAQ | 18.92 | 18.97 | MCO | 23.59 | 22.95 | 3.0% |
Closed transactions:
No. | Open Date | Long | Open | Close | Short | Open | Close | Close Date | Net Return |
1 | 2009-11-05 | UNH | 27.95 | 28.76 | CYH | 33.58 | 32.82 | 2009-11-12 | 5.2% |
2 | 2009-11-05 | CVH | 21.78 | 22.71 | CYH | 33.58 | 32.82 | 2009-11-12 | 6.5% |
3 | 2009-11-05 | ORLY | 37.31 | 39.31 | PSS | 19.42 | 19.86 | 2009-11-12 | 3.1% |
Friday, November 20, 2009
Holding to Month End
The live portfolio suffers loss mainly from the short target ANF. We will hold the portfolio to the end of November.
No. | Open Date | Long | Open | Last | Short | Open | Last | Net Return |
1 | 2009-11-05 | ORLY | 37.31 | 38.97 | ANF | 33.12 | 40.11 | -16.7% |
2 | 2009-11-06 | TSN | 12.65 | 13.07 | HANS | 33.22 | 35.11 | -2.4% |
3 | 2009-11-06 | TSN | 12.65 | 13.07 | AVP | 33 | 34.33 | -.7% |
4 | 2009-11-06 | WLP | 50.72 | 52.14 | PDLI | 8.24 | 8.01 | 5.6% |
5 | 2009-11-09 | BDX | 70.82 | 73.46 | HSP | 46.96 | 47.11 | 3.4% |
6 | 2009-11-12 | EQR | 31.25 | 32.12 | HRP | 6.73 | 6.54 | 5.6% |
7 | 2009-11-12 | SPG | 72.21 | 73.91 | HRP | 6.73 | 6.54 | 5.2% |
8 | 2009-11-13 | NDAQ | 18.92 | 19.3 | MCO | 23.59 | 23.19 | 3.7% |
Friday, November 13, 2009
Thursday, November 12, 2009
Portfolio Recap:Nov 12,2009
Three pairs opened one week ago were closed to release the capital for today's new pairs.
Live portfolio:
Closed transactions:
Live portfolio:
No. | Open Date | Long | Open | Last | Short | Open | Last | Net Return |
1 | 2009-11-05 | ORLY | 37.31 | 39.31 | ANF | 33.12 | 36.76 | -5.6% |
2 | 2009-11-06 | TSN | 12.65 | 12.97 | HANS | 33.22 | 34.31 | -.8% |
3 | 2009-11-06 | TSN | 12.65 | 12.97 | AVP | 33 | 34.31 | -1.4% |
4 | 2009-11-06 | WLP | 50.72 | 52.5 | PDLI | 8.24 | 8.2 | 4.0% |
5 | 2009-11-09 | BDX | 70.82 | 72.2 | HSP | 46.96 | 47.16 | 1.5% |
6 | 2009-11-12 | EQR | 31.25 | 31.11 | HRP | 6.73 | 6.66 | .6% |
7 | 2009-11-12 | SPG | 72.21 | 71.71 | HRP | 6.73 | 6.66 | .3% |
Closed transactions:
No. | Open Date | Long | Open | Close | Short | Open | Close | Close Date | Net Return |
1 | 2009-11-05 | UNH | 27.95 | 28.76 | CYH | 33.58 | 32.82 | 2009-11-12 | 5.2% |
2 | 2009-11-05 | CVH | 21.78 | 22.71 | CYH | 33.58 | 32.82 | 2009-11-12 | 6.5% |
3 | 2009-11-05 | ORLY | 37.31 | 39.31 | PSS | 19.42 | 19.86 | 2009-11-12 | 3.1% |
Trading Plan:2009-11-12
We have two pairs in REIT to trade at MOO:
No. | Open Date | Long | Sector | Industry | Short | Sector | Industry |
1 | 2009-11-12 | EQR | Financials | Real Estate Investment Trusts | HRP | Financials | Real Estate Investment Trusts |
2 | 2009-11-12 | SPG | Financials | Real Estate Investment Trusts | HRP | Financials | Real Estate Investment Trusts |
Monday, November 9, 2009
Portfolio Recap:Nov 9,2009
The loss of today is the short holding of ANF. It was up 7.37% today, so the return of ORLY-ANF dropped to -7.5%. However, other pairs performed well. As we expected, the opening price of BDX and HSP have no surprise.
No. | Open Date | Long | Open | Last | Short | Open | Last | Net Return |
1 | 2009-11-05 | UNH | 27.95 | 29.13 | CYH | 33.58 | 32.6 | 7.1% |
2 | 2009-11-05 | CVH | 21.78 | 22.68 | CYH | 33.58 | 32.6 | 7.1% |
3 | 2009-11-05 | ORLY | 37.31 | 39.56 | ANF | 33.12 | 37.59 | -7.5% |
4 | 2009-11-05 | ORLY | 37.31 | 39.56 | PSS | 19.42 | 20.19 | 2.1% |
5 | 2009-11-06 | TSN | 12.65 | 13.1 | HANS | 33.22 | 34.39 | .0% |
6 | 2009-11-06 | TSN | 12.65 | 13.1 | AVP | 33 | 33.84 | 1.0% |
7 | 2009-11-06 | WLP | 50.72 | 52.36 | PDLI | 8.24 | 8.19 | 3.8% |
8 | 2009-11-09 | BDX | 70.82 | 71.64 | HSP | 46.96 | 47.47 | .1% |
Trading Proposal for Monday, Nov 9, 2009
We have one pair to trade today. There is no corporate event with these two companies, and we can open it at Market On Open:
No. | Open Date | Long | Sector | Industry | Short | Sector | Industry |
1 | 2009-11-09 | BDX | Health Care | Health Care Equipment & Supplies | HSP | Health Care | Health Care Equipment & Supplies |
Saturday, November 7, 2009
Portfolio Recap:Nov 6,2009
The short target HANS dropped more than 6% today. Unfortunately, the open price was significant lower than the previous close price. We will switch to market on close to open our positions.
No. | Open Date | Long | Open | Last | Short | Open | Last | Net Return |
1 | 2009-11-05 | UNH | 27.95 | 28.67 | CYH | 33.58 | 32.56 | 5.6% |
2 | 2009-11-05 | CVH | 21.78 | 21.99 | CYH | 33.58 | 32.56 | 4.0% |
3 | 2009-11-05 | ORLY | 37.31 | 38.44 | ANF | 33.12 | 35.01 | -2.7% |
4 | 2009-11-05 | ORLY | 37.31 | 38.44 | PSS | 19.42 | 19.92 | .5% |
5 | 2009-11-06 | TSN | 12.65 | 12.87 | HANS | 33.22 | 34.46 | -2.0% |
6 | 2009-11-06 | TSN | 12.65 | 12.87 | AVP | 33 | 33.12 | 1.4% |
7 | 2009-11-06 | WLP | 50.72 | 51 | PDLI | 8.24 | 8.19 | 1.2% |
Friday, November 6, 2009
Market On Open or Market On Close?
We have noticed that Market On Open price has great uncertainty. Overnight news and fewer participants can make MOO price significant low of high, and therefore MOO price is not a good choice to open position. Market On Close is much better. We will switch to Market On Close price for opening price. As a result, trading proposals are expected to come out around 3pm.
Trading for Nov. 6, 2009
Open following pairs at MOO:
No. | Long Ticker | Industry | Short Ticker | Industry | Sector |
1 | TSN | Food Products | HANS | Beverages | Consumer Staples |
2 | TSN | Food Products | AVP | Personal Products | Consumer Staples |
3 | WLP | Health Care Providers & Servic | PDLI | Biotechnology | Health Care |
Thursday, November 5, 2009
Live Positions
No. | Open Date | Long | Open | Last | Short | Open | Last | Net Return |
1 | 2009-11-05 | UNH | 27.95 | 28.21 | CYH | 33.58 | 33.74 | 0.5% |
2 | 2009-11-05 | CVH | 21.78 | 21.90 | CYH | 33.58 | 33.74 | 0.1% |
3 | 2009-11-05 | ORLY | 37.31 | 37.78 | ANF | 33.12 | 35.12 | -4.8% |
4 | 2009-11-05 | ORLY | 37.31 | 37.78 | PSS | 19.42 | 19.69 | -0.1% |
Performance in October
Following are the performance of the model in October:
The cumulative return is around 60%, and the return on the account is close to 25% in one month.
The original public posts are: Link
The cumulative return is around 60%, and the return on the account is close to 25% in one month.
No. | Long | Short | Open(MOO) | Close | Net Return |
1 | AN | GPS | 2009-10-05 | 2009-10-20 | 11.20% |
2 | AN | PSS | 2009-10-05 | 2009-10-20 | -5.80% |
3 | Y | AJG | 2009-10-05 | 2009-10-20 | -4.30% |
4 | Y | MBI | 2009-10-05 | 2009-10-20 | 21.21% |
5 | INTU | JKHY | 2009-10-05 | 2009-10-20 | 2.20% |
6 | WRB | ORI | 2009-10-06 | 2009-10-27 | 5.80% |
7 | BKC | WYNN | 2009-10-21 | 2009-10-27 | 9.40% |
8 | PENN | BOBE | 2009-10-28 | 2009-11-04 | 11.57% |
9 | PENN | CCL | 2009-10-28 | 2009-11-04 | 8.37% |
The original public posts are: Link
Trading for Nov. 5, 2009
There are four pairs to trade today:
1. Long UNH and Short CYH
2. Long CVH and Short CYH
3. Long ORLY and Short ANF
4. Long ORLY and Short PSS
All orders should be opened at Market On Open, with same dollar amount in the long side and the short side.
Trading like a hedge fund is simpler than you think
Trading like a hedge fund actually is simpler than you think. I will show how to do that in a simple strategy: pairs trading.
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