A brave new month and brave new cash to burn (or invest). Illustrated below, are the ParaTopia investments as of August. Corresponding to the following units bought today:  ATCO-A.ST = 4, ERIC-B.ST = 1, HEXA-B.ST = 8, HM-B.ST = 2, INVE-B.ST = 1, NDA-SE.ST = 2, SAND.ST = 1, SEB-A.ST = 1, SHB-A.ST = 1, SWED-A.ST = 1, TELIA.ST = 28, and VOLV-B.ST = 3. Now I wonder, given the last events as mentioned in AZN good. HEXA very bad. , do I really want to buy more HEXA? Could be that they are a bit underpriced but 18% of the total portfolio this month is still not nothing.  Another matter is the 14% and 28 units of TELIA that my investment strategy supposedly wants me to buy. TELIA who is about -18% down YTD, -42% LTM, and -40% since inception in 2005. If nothing else, I hope it’s a good diversifier.  

Having a minute for an update, one can say that things are going quite stable portfolio-wise. With my three last investment sessions having yielded returns between -0.9% to 1.23%. Looking at the July investments, I’m glad to see that AZN, a newcomer to my portfolio, is doing good. Meanwhile, HEXA has had a dramatic downturn of nearly -20%. 

Here follows my July investments, kindly appointed by my favourite ParaTopia investment strategy. Unit-wise, entering the market today includes: ATCO-A.ST = 3, AZN.ST = 1, ERIC-B.ST = 2, HEXA-B.ST = 4, HM-B.ST = 3, INVE-B.ST = 2, NDA-SE.ST = 2, SEB-A.ST = 2, SHB-A.ST = 2, SWED-A.ST = 1, and VOLV-B.ST = 2.  I have always felt personally attracted to the Pharma industry and not less so to Astra Zeneca. Can’t wait to see how this exiting allocation turns out!

After a brief but well-deserved vacation (in Greece for those who cares), its time for another performance update on my ParaTopia investments.  As you can see above, following a couple of rather turbulent months, my strategy is finally converting to an almost competitive option compared to the market .  During June, this is much thanks to HM-B.ST and SBB-B.ST. Meanwhile, the heavy investments in ATCO (see A lot of ATCO ) still have some way to go before starting to pay off. 

ATCO-A.ST = 5, ATCO-B.ST = 3, ERIC-B.ST = 1, HEXA-B.ST = 1, HM-B.ST = 2, INVE-B.ST = 3, NDA-SE.ST = 3, SBB-B.ST = 90 (!?), SEB-A.ST = 1, SHB-A.ST = 2, SWED-A.ST = 2, and VOLV-B.ST = 2. That’s what I’m buying today following my ParaTopia investment strategy.  As illustrated above, nearly 30% of the total portfolio this month is allocated toward either ATCO-A or ATCO-B. Only time will tell whether that’s a good or bad call. 

Lately, I have focused a lot on the monthly investments each month and I believe its due time for an update on the actual performance.  Since From platonic to true love (i.e., starting to invest for reals ) I have exhibited a total loss of 277 SEK with a corresponding portfolio return of -1.91% net dividends. No doubt, this is an improvement compared to Three weeks and 544 SEK short but still not very competitive to the market.  The pretty little picture above shows the whole period portfolio performance of my ParaTopia investment strategy (ParaTopia – Long run) compared to the corresponding performance had I invested in the marked (proxied as OMS Stockholm 30 ).  What’s more interesting are the dashed lines (Investments) representing the as of today returns from each monthly investment made in From platonic to true love , And here goes April , and Time to EVOlve .  From the dashed line perspective, my first investment, made in March, seem to be a significant drive...

So, apparently, for this month my ParaTopia strategy has decided that it’s time to evolve. From being rather financials-heavy and into the gambling industry. As illustrated below, this little sin-city stock is about to make up almost 25% of the total portfolio. Entering the market on Monday, the corresponding units of each stock amount to as follows: ATCO-A.ST = 4, ELUX-B.ST = 3, ESSITY-B.ST = 1, EVO.ST = 1, HEXA-B.ST = 1, HM-B.ST = 1, INVE-B.ST = 1, NDA-SE.ST = 4, SAND.ST = 1, SEB-A.ST = 3, SHB-A.ST = 4, SINCH.ST = 4, SWED-A.ST = 2, VOLV-B.ST = 2. I plan to get back to you with a performance overview soon, don’t worry. But until then take care.  

 This month’s allocation, following my ParaTopia investments strategy is set out as below. My order is expected to enter that market pronto today, corresponding to the following unites per stock: ATCO-A.ST = 3, BOL.ST = 1, ERIC-B.ST = 2, ESSITY-B.ST = 1, HEXA-B.ST = 2, HM-B.ST = 4, INVE-B.ST = 1, NDA-SE.ST = 2, SAND.ST = 1, SEB-A.ST = 3, SHB-A.ST = 4, SWED-A.ST = 4, VOLV-B.ST = 2. My investments are still quite tilted toward financial stocks, which is questionable given the last weeks results (see  Three weeks and 544 SEK short ) . Anyhow, my strategy have also introduced some newcomers, like HEXA and HM. The thetas of the month amounted to 3.04 for  dolvol  and 0.96 for  momentum . 

As announced in From platonic to true love , I have finally started using real money for investing in my ParaTopia strategy. It therefore also makes sense to start showing you the real outcome of my strategy, which is presented below.   These three weeks paint no pretty picture and its evident that ParaTopia currently underperforms the market (that is OMX 30 and S&P 500).  Moving on to the constituent performance, financial stocks (which also happened to be my largest allocation this month) have taken the biggest hit. 

This month, March 2023, will be the first month when I invest according to my strategy using real money. Yes! I am finally confident enough in my ParaTopia strategy and I’m ready to bet some money on it.  The allocation in %, expected to enter the REAL market tomorrow is displayed below.  Specifically, this corresponds to the following unit-wise allocation for a budget á 5000 SEK: ASSA-B.ST = 1, ATCO-A.ST = 4, BOL.ST = 1, ERIC-B.ST = 2, ESSITY-B.ST = 1, INVE-B.ST = 1, NDA-SE.ST = 4, SAND.ST = 1, SEB-A.ST = 2, SHB-A.ST = 5, SKF-B.ST = 1, SWED-A.ST = 2, VOLV-B.ST = 3.  There are a lot of financial stocks this time which indeed will be interesting to follow. Also note that I have obtained this allocation using the brand-new investment strategy presented in Devils and details  (i.e., the non-restricted optimization model with standardized weights). The thetas of the month amount to 2.99 for dolvol and 0.96 for momentum .

 While January was bliss, February has been a bloodbath.  The graph above illustrates the YTD return of my investment strategy (ParaTopia) compared to the corresponding return if one had bought a piece of the market ( OMX Stockholm 30 index ).  Based on the YTD results so far, compared to the benchmark, my strategy seems to do better in good times albeit worse in bad times.  Looking at the individual constituent performance in Feb’23, everything looks ugly. With ALIV, TEL2, and TELIA (finally!) being the only ones above zero.  

The devil is in the detail they say. And one detail that has been nagging me extra lately is the issue mentioned in A few simple rows – Restated  that I’m still not sure if my model successfully can ensure positive asset weight only. A feature which I believe is essential for having an investment strategy accessible to anyone, and not only hedge funds. As you will see in this post, this issue is an easy fix. Although, the solution was not what I expected.  I will demonstrate two different models for obtaining dynamic and optimal values of theta, followed by two different methods for translating these thetas into asset weight within my portfolio. In total, this will result in four different model+method combinations for which each combination’s portfolio performance is presented in the end. Are you ready? Model A The first model is the one currently used for obtaining the values of theta within my investment strategy up to date. Since I have already shown you all details behind...

This month, I continue buying stakes in ALIV together with primarily ALIV and KINV. My investments are expected to enter the market on Monday, 6th Feb 2023, and the allocation is presented as below.  Again, I use my dynamic investment strategy (see A few simple rows – Restated ). This month, however, the thetas derived by my strategy (-54.6 for dolvol and -2.14 for momentum ) seems truly extreme.  The -54.6 dolvol theta tells me to put as little weight on liquid stock as possible. Meanwhile, the -2.14 momentum theta tells we to invest in past losers rather than past winners. The latter seems a bit controversial strategy wise, don’t you think? 

Although considered the coldest, most poor, and overall worst month of the year, January has been a good month for ParaTopia. Since investing (see New year and Hello ALIV ), my strategy has gained 5% YTD Jan’23. Compared to the market benchmark OMX (only up 1.7%), this seems like a lovely start.  Looking at my strategy on a more individual constituent level, ALIV-SDB.ST has made a striking entry.  Could it be beginner’s luck? Or have my strategy actually made the right choice this time?  

Time for the first investment this year. For January 2023, I continue to use my dynamic investment strategy (see A few simple rows – Restated FMI) which has derived two rather aggressive thetas of -12.75 and 0.99 for Dolvol and Mom , respectively. Above, you see the approximate allocation of stocks to be invested in as of Monday, 9 Jan 2023. I will be glad to welcome ALIV-SDB.ST as a new member of the ParaTopia portfolio.