<t>Hi Gmike, Sometimes the simplest answers make the most sense. Dont know why I didn't see that before. Our problem however lies in my estimation of Beta, as we dont really track the market as well as we should. Hence my wanting to gain synthetic exposure through futures. Anyway, thanks again. Nik....

Ok thanks very much. I will produce a price series for my entire stock portfolio and then estimate an overall level of market risk versus the index. Hopefully that will increase my R squared.Cheers. Nik.

<t>Hi PPuaper, I am not sure I follow. Could you please try and explain in a bit more detail? If possible I would still like some beta exposure in order to be able to benchmark this against the FTSE index. I might be getting this with the strategy you stated but I am not sure.Sorry if I am missing t...

<t>Hi Ppauper, Thanks for your reply. Yes you are correct. In reality we would just net out our long and short positions before trading. The overall returns profile would look like an alpha generating portfolio combined with a futures (beta) portfolio in the FTSE 250. However, as our beta exposure i...

<t>Hi, Thanks again for the advice. But I am only trying to estimate beta to try and hedge out FTSE 250 market risk by taking a short position in the FTSE 250 index. So my main goal is not to predict returns just to get an accurate picture of the market risk of this and quite a few other stocks. Any...

<t>Hi All, I am working on implementing a new investment portfolio at our small investment company. We have identified an investment strategy that produces strong returns when applied on a long only basis to stocks within the FTSE 250 index. However, when we reverse our trading criteria this doesn't...

<t>Hi Traden4Alpha, Thanks a lot for your help!! I have implemented all of the points you mentioned and they have improved my results a little bit but not by much. I think my problem lies somewhere in the fact that the R squared in my regressions is consistenly small (less than 5%) hence my regressi...

<t>Hi guys, A really quick and possibly pretty amateur question. I have estimated the Beta value of a particular stock (NWG.L) to the FTSE 250 index over a 2 year time horizon. My regression gives me the following equation : y= 0.53 + 0.29 (X) Where 0.53 is the alpha value and 0.29 is the Beta sensi...

<t>Hi Zed,Thanks very much for your thoughts. They have been very helpful Am probably going to impose industry constraints on the pairs they will increase chance of correlation + is an easy way to limit my sample size and avoid sector risk. Will also try to maintain a zero beta balance to avoid sign...

<t>Hi all, Am about to undertake a research project to identify correlated pairs of US stocks that would be suitable for statistical arbitrage (or pairs trading.) The aim of my project will be to formulate rules that will identify pairs whose spreads (not prices) exhibit "steady and even" mean rever...

<t>Hi,Am now nearing the point where I need to accept an offer either at City Cass (Investment management) or at ISMA (ISIB). If anyone can offer me any help in making my choice between the two I really would be most grateful. I am placing a lot emphasis on the reputation of each with employers.Plea...

<t>Hi to all,I have just been offered a place at the ISMA Centre on their International Securities, Investment and Banking Msc course and at City Cass Business School on their Investment Management Msc. However, I am having trouble making my decision between them and have been given conflicting info...

<t>Hi to all,I have just been offered a place at the ISMA Centre on their International Securities, Investment and Banking Msc course and at City Cass Business School on their Investment Management Msc. However, I am having trouble making my decision between them and have been given conflicting info...