I’m using an ETF screen that invariably selects leveraged funds and I’d like to reduce the weighting for these leveraged funds (e.g., 1/2 or 1/3 weighting). Is there a buy rule that makes this possible?
Screener framework is too simplistic for that. Did you try running a Portfolio Sim?
Not yet but I will. How would I write such a buy rule? Thx.
A sell is performed anytime any sell rule evaluates to a number greater than 0. Typically a sell rule is a boolean operation and returns 1 (TRUE) or 0 (FALSE), but if a fraction between 0-1 is returned, then a proportion of the position is sold.
For example to sell 1/3 of a position when the weight of the position is greater than 30% of the portfolio, enter:
Eval(Weight>30, 1/3, FALSE)
It’s kind of a hidden feature and we should make it easier to find by adding a new function. Please note that if a Sell rule evaluates to 1/3 , indicating a 33% trim, but another sell rule returns 1 (TRUE), then the larger one is used and the entire position is exited.
OK thanks but it’s really the buy rule I’m after, I want to limit the weighting of leveraged ETF’s upon formation. Thx.
mm,
Try developing a Port of your leveraged ETFs and a separate one of non-leveraged ETFs.
Then combine them in a Book with a 1/3 weighting on the Leveraged Port and a 2/3 weighting on the other Port.
adjust the weightings until you are happy with the Books performance.
““For example to sell 1/3 of a position when the weight of the position is greater than 30% of the portfolio, enter:
Eval(Weight>30, 1/3, FALSE)””
This is a huge “hidden” rule. Yes there should be a function!
Where can one find the documentation for such “hidden” rules?
I’ve always wanted a way to keep positions in the port if they failed to rank. The “force into universe” option is too broad.
What do you mean “failed to rank”? The only way that a stock isn’t given a rank is that it has dropped out of the universe, so the only way to keep it is to force it into the universe. I’m not sure how that’s too blunt.
Thanks Denny, I’ll try that suggestion.
I find this to be an incredibly useful addition.
One of P123’s responses to people’s posts: Chaim (and others?).
Thank you P123.
Under “Factors Reference” > Dictionary:
And of course Marco has posted on this multiple times in the forum (see above for just one example). I think it is “hidden” only in the sense that it is a programing thing—not immediately obvious to non-programers. A feature inherent in the code that Marco has tried to point out.
I might add that P123 has been working on the buy side. I believe they had it ready to go but are working to perfect it—and, I think, working to incorporate some suggestions in the forum. Marco can correct me if I am mistaken on this.
-Jim