Hedge Ratio setting ignored

Report a problem or error
1

There is an error in the hedging module.

This applies to a strategy with market timing rules that result in a situation with 0% stocks and 100% cash. When this is the case and a hedge kicks in then there is a problem.

Settings:
Hedge Ratio less than 100%.
Hedge option setting is Total Equity (includes cash)

Result:
The Hedge weight becomes always 100%, irrespective of Hedge Ratio % chosen.

Here is a sim with a Hedge Ratio setting of 5%.
It sold all stocks on 3/30/20 because of market timing rules.
The GLD hedge kicks in on 4/6/20, but has a weight of 100% instead of 5%.
https://www.portfolio123.com/port_summary.jsp?portid=1598313

2

P123 Team
Please check this.

3

I know you guys are busy with the transition. But bugs need to be fixed, you can’t ignore them.

4

Sorry George. We’ll investigate

5

Georg, the issue has now been addressed. Hedge transactions will no longer be included in the “Exposure after Rebalance” feature as transactions that can be scaled.

6

Yes, thank you for addressing this. It works correctly now.