It has been a tough year for a lot of us. From a ParaTopia perspective, there is still a lot of work to do.  My investment strategy, starting in July, has mostly had a performance in pair or below the OMX Stockholm 30 benchmark . Expect the glory days during October and November and a temporary peak in mid-December.   Looking at specific constituents, SINCH.ST has had the most notable transformation, which is also observed in Remember what I said about SINCH.ST? Meanwhile TELIA.ST, TEL2-B.ST, and ERIC-B.ST continues to lag. For more rants about these stocks, see A close cut thanks to communications .  Things to look forward to next year include the follow-up of my latest dynamic investment strategy presented in A few simple rows – Restated. Who knows? Maybe I will finally find out how to optimize my function properly using positive weights only. You should also expect me to sooner or later move from platonic to real investments. Hence, keep your eyes open for...

Things started out just fine for my strategy following the last investment from All I Want For Christmas Is… Telia.ST?! , which entered the market on the 5th of this month. Nevertheless, as presented by the cumulative return below, both ParaTopia and my OMX benchmark faced a significant drop this Friday. You might notice that I am no longer hovering above my nemesis benchmark, albeit being quite close. And although I’m not that sure that I will manage to end on top of the market this year, I remain confident looking forward.  

Below, I show you the number of shares of each stock that my strategy has decided me to invest in as of December 2022. This is the first investment using the Dolvol + Mom (Dynamic) strategy as presented in A few simple rows – Restated   and it is exciting to finally put it into practice.  The dynamic values of theta amounted to -0.94 and 1.05 for dolvol and momentum , respectively. Apparently, TELIA.ST is very popular this month. 

The update for this week shows little difference in performance between my investment strategy, ParaTopia, and the OMX 30 benchmark.  The communication stocks ERIC-B.ST, TELE2-B.ST, and TELIA.ST seem to burden the performance. Meanwhile SINCH.ST remains an evident winner.  

A lot of developments have been made since I first started to open the black box  and shared my investment strategy with you in as in  A few simple rows . Also, as promised, I will today show you the details of my most recent strategy. Namely, the Dolvol + Mom (Dynamic) strategy from Let’s turn the GAS on .  A lot of the things that I show here today are already included in old posts. And for any frequent readers, that may seem a bit repeating. However, since I want everything that I do here to be as open and accessible as possible, I have decided to compile all my most up-to-date work here in one place.  Starting with the method, my investment strategy uses a combination of the parametric portfolio policy  and a generalized autoregressive score  (GAS) model to decide which stocks within the OMX Stockholm 30 Index  to invest in each month.  In essence, I model the asset weights of each stock each month as where 1/N stands for equally weighted benc...

It’s time to present a new alteration of my investment strategy. In doing so, I take use of a model that I have been aiming to include ever since the very start of this project. Namely, the generalized autoregressive sore model, or GAS.  The idea is to use GAS in combination with the parametric portfolio policy  and thereby obtain more dynamic or time-varying values of theta to determine the asset weights. I will soon show you how to do so in practice, and I will also show that this yields good potential for higher returns. But first and foremost, here follows some more theoretical details concerning GAS. I. Generalized Autoregressive Score (GAS) In short, I use GAS for modelling dynamic variables (i.e., dynamic values of theta) via functions of lagged and predetermined variables. This is probably best expressed in the equation below. Omega (ω) stands for the long run or unconditional mean. Hence, this is the value that theta is supposed to converge towards in the long run. B...

As displayed by the cumulative return of ParaTopia, vs. OMX Stockholm 30 index , my investment strategy continues with its competitive voyage also this week.  However, what is notable when looking at the returns of the second graph, is that the distance between ParaTopia and the benchmark is alarming close (only 0.3 ppt.).  Meaning, that the beef is far from settled until next week’s update. 

 My latest update since This is what I buy in November shows two positive trends. First, both my strategy, ParaTopia, and my nemesis benchmark, OMX Stockholm 30 , have continued to gain green figures. Meaning, that I’m no longer losing money.   Second, for the very first time since I started this project, I have managed to obtain a higher return (ParaTopia = 11.4%) than the market (^OMX = 9.7%). Yes, that is true, I have finally beaten the market (at least for a week or so), and I’m eager to see how this is to develop further. 

This month’s buy continues to come with a lot of SINCH.ST but surprisingly less of ABB.ST. Below, you will see the allocation of stocks which are planned to enter the market on Monday, 7 Nov 2022.  I am still waiting for the day when I can welcome AZN.ST and EVO.ST to my portfolio, but it seems like my model would like me to keep waiting a bit longer.   Recently, I have been wondering if it’s a weakness to only include the asset factor dolvol  for determining my portfolio weights. Might it be that the past trading volume is a bit too homogeneous over the different stocks? Hence, resulting in my strategy always choosing “kind of” the same assets?  I plan to explore this potential issue more soon. Or, at least, I’m working with an alteration to my investment strategy that could potentially behave a bit more dynamically over month-by-month.     

This week’s update tells us that we are finally back on green figures!    The total ParaTopia portfolio has jumped from -3.5% to 2.7% between the 14th and 28th of October, showing positive returns for the first time since Update #0819 . My benchmark, OMX Stockholm 30 , is also doing great. Totally well-deserved too. 

SINCH.ST rose about 34% this Friday, contributing to the nice little peak in cumulative returns for my strategy (ParaTopia) as illustrated below. It turns out that my mentioned worries about the stock (see Buy-Side _ August 2022 ) might have been pretty harmless. Overall, this week's update shows some positive trends which are always encouraging.  Sure enough, I’m still losing money. Not to mention that I’m still losing more money than the market that I eventually aim to beat. But still, I remain hopeful.  

This update as of 14 Oct 2020 starts with an overview of my current asset weight allocation, post my latest investments as presented in The late October-buy . This is followed by the second graph, showing my asset returns so far.    My strategy is still dominated by the big industrial stocks SKA-B.ST and ABB.ST and the -6.3% return of SKA-B.ST can to some extent explain the lesser total portfolio return. Meanwhile, two clear winners of this period are SWMA.ST and SHB-A.ST, two financial services stocks that comprise only a smaller faction of my total allocations. FOMO anyone? 

About time for some new investments, and yes, I know, I am late, and I my sorry for keeping you on hold last weekend (it must have been truly devastating for all my currently ca. 14 weekly readers).  With that said, here comes an overview of my October buy, expected to enter the market on Monday, 10 Oct 2022.     The asset allocation above is, like the last month, Buy-Side _ September 2022 , derived using the expanding window approach as described in The Static, the Expanding, and the Moving  and with the single asset characteristic dolvol . My theta for October (θ = -0.30) is also like the one as of September, plus/minus a few decimals that is.    

This week’s update offers a 59-day cumulative return overview of ParaTopia (my own investments) compared to the OMX 30 benchmark .  Results remain similar to those in previous updates. Although, I’m currently working on yet another method-tilt that could potentially brighten things up (a bit).  

Yet another weekly update, this time as of Sep 16, continues to show some quite disastrous results. Although, what is new this time is that my investment strategy now also seems to drag the OMX 30 Index down with her in the gutter too. Funny hah?

Here comes another short update on my investments as of 5 Sep 2022. Looking at the picture below, it’s obvious that I’m still losing money. Although, things don’t look too bright for OMX Stockholm 30 Index (my current benchmark rival) either.

The efficient market hypothesis  states that stock prices already reflect all information available on the market, making it sort of impossible for any investor to generate alpha. Some strong believers of this hypothesis, including my favourite finance professor, would even go so far as to state that any abnormal investment gains are only due to pure luck.  Following the somewhat discouraging results since Update #0826 , I plan to dedicate this today's post to comparing my own investment strategy with a set of completely random ones. Compared to those, it might be that I currently just happen to be out of luck.   I want the random strategies to work under similar conditions as my own. That is, the investible stock universe should still be restricted to the OMX Stockholm 30 Index, no short-selling should be allowed, and I require a monthly reallocation scheme.  Keeping this in mind, I start with generating randomized stock weights for, in total, 100 random portf...

New month = new investments! This month, I continue using the expanding window approach as presented in The Static, the Expanding, and the Moving . Additionally, as discussed in Update #0826 , I will also start using only dolvol as a single asset factor.  Following this practice, I have managed to obtain a new theta that is slightly different compared to those of Buy-Side _ August 20 . This theta is essentially telling me to put less weight on stocks with a higher past trading volume and, per construction, ignore any information provided by the market beta .  Moreover, this is what the estimated optimal asset allocation (expressed as the number of shares to buy) looks like for September 2022.  My buy-side plan above is expected to enter the market tomorrow, 5 Sep 2022. 

Here comes another week’s update for my investments as of 26 Aug 2022.  Yes, I know. I have officially started losing money ( -2.28% ).  What can I do about it? Well, I am thinking that I might do some small rearrangements in my strategy soon. Preferably before next month’s investment. For instance, I may decide to only use dolvol as a single asset factor in contrast to both dolvol and beta as I do today. This kind of rearrangement seems more sensible after reviewing the results in Why Dolvol and Beta? .

As I have shown you already in Let's open the black box and A few simple rows , I currently use the two asset factors past trading volume (dolvol) and market beta (beta) to find the optimal asset allocation in my investment strategy. However, a natural question following this is, of course, “Why am I using these two factors in particular?”.  One of the reasons to start with is that I only turn to asset factors that can be constructed using completely available financial data. My source of such data consists mainly of the sorts that are available via the yfinance python package and the Kenneth R. French data library . The different types of data that I do have access to are, in short, different kinds of stock prices (open, close, adjusted close, high, and low), trading volumes, and some types of factor portfolio returns (market returns, small-minus-big returns, value-minus-growth returns, etc.). And this makes the universe of available asset factors somewhat restricted.  Neve...

This week’s update as of 19 Aug 2022 starts with a graphical representation of the cumulative returns for my own strategy (ParaTopia) compared to the OMX Stockholm 30 Index (^OMX).  Followed by an overview of my five largest holdings and corresponding returns.  It is evident that I’m still stuck treading water. That is, neither am I losing money, but I am still not competitive enough compared to the market either. It may be that I’m too impatient and that after less than two months it’s still too early to tell. Still, if this continues much longer, I might need to seriously consider making some more drastic changes to my strategy.  

Here comes a new overview of my total asset allocations following  Buy-Side _ August 2022  that went through this Monday.  I have now welcomed both INVE-B.ST and VOLV-B.ST to my portfolio. Although, my strategy is still quite dominated by the big industrial bad boys like SKA-B.ST and ABB.ST. The performance is not looking too bad either. Especially when considering the fact that I have basically doubled the total portfolio using the prices as of 8 Aug 2022.  I am still working on showing you some more sophisticated performance metrics soon. Probably starting with a few simple alphas and returns. Wouldn’t it be really cool to have that (return figures, I mean) as GIF on the page?

A new month calls for a new "platonic" investment opportunity! Following my investment strategy, especially using the expanding window as described in  The Static, the Expanding, and the Moving , I have re-estimated a new pair of thetas. These are indeed very similar (but not exactly identical if you look at the decimals) to those that I previously estimated in  A few simple rows . Nevertheless, using these new thetas, I obtain the following asset allocation for August 2022. My buy-side order is expected to go through this on Monday the 8 th of August and the opening price is yet to be determined (I think). Hence, I report the number of stocks rather than the total holdings in SEK. What surprises me the most is the relatively large position toward SINCH.ST, especially after delivering a quite disappointing performance as displayed in  Update #0729 .

This Monday, it is time for a new monthly investment in which I will also use the data available as of 1 August 2022. When doing so, one question worth considering is “how should my previous chosen thetas account for this new market information? The most basic and safe-card-ish way would be to continue with my fixed and previously optimized thetas. But what if it is possible to obtain even better or even more optimal thetas if I optimize over a period containing more and/or more recent information?     Considering this, I look at three different potential strategies for estimating theta. First, I look at a static strategy where I simply keep my previously estimated thetas. I hence continue using these to find my asset weights as described in A few simple rows  Second, I consider an expanding window strategy where I re-estimate the values of theta by including each additional month’s worth of information as it becomes available. Third, I consider a moving window strat...

Another week has passed and so its time for a new update as of 29 July 2022. When looking at the now almost one moths old results, we see that (i) the investments are going green and I’m jet not losing money, (ii) the ^OMX is still doing better though, and (iii) SINCH.ST is going crazy.  I’m soon looking forward to using a longer period of my results so far and present you with some more sophisticated measures of performance evaluation.  Next week, it is also finally time to make a new monthly investment using the data available as of 1 August 2022.