Trading market neutral strategies. Pairs trading. Investments. Relative Value Strategies. wealth management. asset management
Wednesday, December 30, 2009
New Trade (Industrials)
Long PH at 54.42, Short SWK at 52.1
Monday, December 28, 2009
Wednesday, December 23, 2009
New Trade (Industrial Products)
Long ITT at 50.27, Short LII at 39.23
Tuesday, December 22, 2009
Monday, December 21, 2009
New Trade (Semi Conductors)
Long CCMP at 32.00, Short MSCC at 17.19
Friday, December 18, 2009
New Trade (Chemicals)
Long DD at 32.23, Short ALB at 35.74
New Trade (Semi Conductors)
Long NETL at 47.29, Short MRVL at 19.65
Thursday, December 17, 2009
Wednesday, December 16, 2009
Tuesday, December 15, 2009
New Trade (Medical Products)
Long SONO at 23.3, Short IVC 25.78
Monday, December 14, 2009
Friday, December 11, 2009
New Trade (Industrial)
Long LNN at 35.75, Short DCI at 42.3
New Trade (Medical Products)
Long HAE at 54.57, Short CMN at 19.71
Thursday, December 10, 2009
new trade 9Chemicals)
Long VAL at 27.06, Short AGU at 64.96
Wednesday, December 9, 2009
Monday, December 7, 2009
Wednesday, November 25, 2009
New Trade (Food and beverages)
Long HSY at 36.18, Short CPB at 35.37
Monday, November 16, 2009
New Trade (Computer hardware)
Long CSCO at 23.97, Short NTGR at 21.32
Thursday, November 12, 2009
New Trade (Industrial Services)
Long FELE at 27.52, Short LECO at 53.74
Tuesday, November 10, 2009
New trade (Industrial)
Long PNR at 31.13, Short SNHY at 22.78
Monday, November 9, 2009
New Trade (Semiconductors)
Long VECO at 25.08, Short AIXG at 31.14
Wednesday, November 4, 2009
New Trade (Med Products)
Long MDCI at 11.12, Short OFIX at 32.19
Tuesday, November 3, 2009
Monday, November 2, 2009
Friday, October 30, 2009
New Trade (Construction)
Long VMC at 46.36, Short LYTS at 6.95
Wednesday, October 28, 2009
New Trade (Hotels)
Long Get at 15.19, Short HOT at 29.71 (Half the exposure)
Tuesday, October 27, 2009
Monday, October 26, 2009
New Trade (Semiconductors)
Long FORM at 18.91, Short MXIM at 18.91
Friday, October 23, 2009
Thursday, October 22, 2009
Wednesday, October 21, 2009
New Trade (Industrial)
Long PLL at 33.66, Short ETN at 65.32
Monday, October 19, 2009
Thursday, October 15, 2009
Closeout (GSK/NEOG)
GSK at 41.21, NEOG at 30.67 --- Profit of $190.
Wednesday, October 14, 2009
New Trade (Food and Beverages)
Long SYY at 25.98, Short SEB at 1540.
Friday, October 9, 2009
Wednesday, October 7, 2009
Friday, September 25, 2009
New Trade (Semiconductors)
Long TXN at 23.46, and Short vsea at 32.24
Thursday, September 24, 2009
Wednesday, September 23, 2009
Complete close out CLC/WTS
CLC -- average close out price 31.37
WTS -- average close out price 31.57 Loss of $614...
WTS -- average close out price 31.57 Loss of $614...
Close out GET/OEH
OEH at 12.78, GET at 23.74 -- Profit of $370...
Friday, September 18, 2009
Partial Close CLC/WTS
CLC at 30.98, WTS at 32.09 (Still holding 50%). taken about $350 loss.
Wednesday, September 16, 2009
Tuesday, September 15, 2009
New Trade (Industrial)
Long AIT at 21.4, Short PNR at 31.57 (Half the usual size)
New Trade (industrial)
Long KDN at 33.92, and short iex at 29.3
Friday, September 11, 2009
Add to LLY/ABC trade
Long 50 LLY at 32.75, short 80 abc at 21.61
Wednesday, September 9, 2009
Tuesday, September 8, 2009
Friday, September 4, 2009
New Trade (Med Products)
Long TMO at 44.33, short IVC at 21.63 (1/3rd the usual exposure)
Tuesday, September 1, 2009
Monday, August 31, 2009
Friday, August 28, 2009
New Trade (Med Products)
Long SYK at 41.00, Short VAR at 40.73
Thursday, August 27, 2009
New Trade (Pharma)
Long MRX at 18.59, Short PRX at 20.79 (Half the usual exposure)
Wednesday, August 26, 2009
Long TR short SXT
Long TR at 23.82, Short SXT at 26.97 (Half the usual size) identical beta
Thursday, August 20, 2009
Add to Short LYTS
Add more to the open trade
Long VMC at 48.29, Short LYTS at 7.6
Long VMC at 48.29, Short LYTS at 7.6
Wednesday, August 19, 2009
New trade drugs
Long LLY at 32.9, Short ABC at 20.76 ---Beta diff 0.17, (Half the usual exposure)
Tuesday, August 18, 2009
New trade construction
Long VMC at 46.24, Short LYTS at 6.7 (Half the usual exposure).
Thursday, August 13, 2009
New Trade (Mining)
Long CRX at 19.71, Short CNX at 40.5 --- beta diff 0.21
Wednesday, August 12, 2009
Tuesday, August 11, 2009
Close out SMA/BABY
SMA at 9.47, BABY at 14.04... Net P/L of $368
Thursday, August 6, 2009
New pair (Industrial Products)
Long PH at 46.59, Short SWK at 41.00 --- beta difference 0.04
Wednesday, August 5, 2009
Tuesday, August 4, 2009
New Trade (MED Prod)
Long SMA at 8.72, Short BABY at 14.56, beta diff 0.04
Enjoying the ride up...
Technically we have hit another pair!! PPS jumped after the earnings guidance. Let's hold on for a bit and see how far this goes...
Monday, August 3, 2009
Close SPG (Loss of $20)
Close out at a loss. Just to be on the safer side. Also, closely watching RS/SID pair.
Friday, July 31, 2009
Leaving money on the table?
Perhaps we are. All three pairs that we closed between 6.5% and 8% range went on to make more than 11% eventually. Well, we are probably closing out a little too soon.
On a separate note, the strategy has a stop loss at 15% on each pair. At this point no single pair has reached that stage. RS/SID is getting close though. If you have a lower risk appetite, you could close out at the current loss of 10%. Steel companies in US were hit by Areclor's poor results. SID, based in Brazil is not hit as much.
On a separate note, the strategy has a stop loss at 15% on each pair. At this point no single pair has reached that stage. RS/SID is getting close though. If you have a lower risk appetite, you could close out at the current loss of 10%. Steel companies in US were hit by Areclor's poor results. SID, based in Brazil is not hit as much.
Thursday, July 30, 2009
Industrial parts (Trade Entry)
Long CLC at 33.28, Short wts at 26.95 ---Beta diff 0.02
Close out SONO
Close out SONO at 22.08, TMO at 45.79. Profit of $196. A 6.7% return in 1 day.
Cut Exposure (SPG )
Close out 1 contract on SPG at $85. Loss of $25.
Wednesday, July 29, 2009
Medical Products (Trade)
Long SONO at 20.62, Short TMO at 45.61 --- Beta difference of 0.21
Monday, July 27, 2009
Close out ARO
Close out the option on ARO at $40. Pocket $50... Not too bad in a matter of a week.
Still hold on to SPG (Small correction, the portfolio invested (or rather went short) on two contracts on SPG).
Still hold on to SPG (Small correction, the portfolio invested (or rather went short) on two contracts on SPG).
Friday, July 24, 2009
New Trade (Mining)
Long RS at 36.31, Short SID at 24.78. Beta difference 0.12.
Close out ETN
Close ETN at 50.50, DOV at 35.00 to pocket $232 (7.7% return)
Thursday, July 23, 2009
REIT Short...
My argument against Commercial Real Estate is the aggressive cap rate assumptions being made. The recovery will most likely be muted. There will be more pain at the Malls and other parts of CRE. Accordingly would recommend a short in SPG at a strike of $60 (sell August $60 to pocket $60).
AVB could be another short play on the Apartment REIT. Although liquidity of the trade is a concern.
AVB could be another short play on the Apartment REIT. Although liquidity of the trade is a concern.
Wednesday, July 22, 2009
First convergance
Close VNO at 48.46, EXR at 8.12. Total P/L of $236 -- 8% gain.
Monday, July 20, 2009
Day 2 return
Will update the performance numbers on a daily basis when possible. The information is from the time the portfolio is launched. A good start for the MNS (Market Neutral Strategy). The big contributor was ETN, which jumped 6% on the first day of launch after not so bad earnings.
The net short is coming from the speculative short on ARO. I hope to keep speculation to the minimum in this portfolio.
Eventually as the portfolio gains history, I would provide additional risk/performance attribution results.
The net short is coming from the speculative short on ARO. I hope to keep speculation to the minimum in this portfolio.
Eventually as the portfolio gains history, I would provide additional risk/performance attribution results.
Friday, July 17, 2009
The beginning
Hope to post pairs trading ideas on this blog. Also will add my market commentary once in a while. Specific sectors, stocks in sectors, will be discussed.
Ideas will be long/short, sideways bets, volatility plays.
For all long/short ideas, the expected close out is when you make a gain of 10% on your investment. Ex:- If $1K long X, $1K Short Y, when the net p/l is $100 close out. Make sure that market values of long, and short legs are matched.
For starters
Long -- SNY at 31.12, and Short AZN at 44.85. Both stocks have closely matching betas.
Long ETN at 45, and Short DVO at 33.5. Beta difference of 0.2.
Long INTC at 18.28, Short VSEA at 28.9. Beta difference of 0.03.
Long VNO at 44.46, Short EXR at 8.1. Beta difference of 0.03.
Speculative play
Short ARO at 40. How to do it: Sell August 40 call to collect $90 per contract.
I'll also track the performance of a sample portfolio with initial cash of $25K. Each pair will have an investment of $3K on each leg. Will also post gross, and net leverage information on a delta adjusted basis (Mainly for the option positions in the portfolio). Will also try to post end of day portfolio value.
I am assuming transaction cost of $2 per pair to enter, and $2 to exit. This is based on the current pricing structure followed by brokers like Interactive Brokers.
Ideas will be long/short, sideways bets, volatility plays.
For all long/short ideas, the expected close out is when you make a gain of 10% on your investment. Ex:- If $1K long X, $1K Short Y, when the net p/l is $100 close out. Make sure that market values of long, and short legs are matched.
For starters
Long -- SNY at 31.12, and Short AZN at 44.85. Both stocks have closely matching betas.
Long ETN at 45, and Short DVO at 33.5. Beta difference of 0.2.
Long INTC at 18.28, Short VSEA at 28.9. Beta difference of 0.03.
Long VNO at 44.46, Short EXR at 8.1. Beta difference of 0.03.
Speculative play
Short ARO at 40. How to do it: Sell August 40 call to collect $90 per contract.
I'll also track the performance of a sample portfolio with initial cash of $25K. Each pair will have an investment of $3K on each leg. Will also post gross, and net leverage information on a delta adjusted basis (Mainly for the option positions in the portfolio). Will also try to post end of day portfolio value.
I am assuming transaction cost of $2 per pair to enter, and $2 to exit. This is based on the current pricing structure followed by brokers like Interactive Brokers.
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