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.