Portfolio Construction
Posts about multi-book portfolio construction, time horizons, and allocation decisions.
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Alpha book up 5.22% on a strong theta week
Weekly update on the Alpha Gen book. Strong week. Alpha Gen up 5.22%, driven almost entirely by the Theta sleeve.
Alpha book up 3.71%: Delta did the work
Decent week. Alpha Gen book up 3.71%, almost all of it from the Delta sleeve. Long-only also recovered nicely.
70x on a 3-month option I didn't buy
The semis ETF rallied about 80% off the lows over a few months. Most people remember that move.
One of these three skews is wrong
Three asset classes, three different reads on the same macro picture. One of them is probably mispriced.
How I think about a multi-position book
Running an options book with lots of positions gets messy fast. The way pros stay sane is by aggregating the Greeks.
My portfolio: another week where the process paid
Good week in the book. Alpha Generation up around 6% on the week. Long-only made back close to 3% on a broad recovery. YTD now sitting at +6.4% including hedges.
Portfolio Highlights: I made 100% on oil overnight. Then I did something most traders won't
Last week I put on an oil put ratio right before Trump's Iran deadline. Short delta, short vol. 2-by-3 ratio.
Two time horizons, one portfolio
Your swing trade thesis has a shelf life of about 10 minutes right now.
Two books or one?
Do you run two mental accounts? "My portfolio" over here. "My options trades" over there. Completely separate books.