Rules: rankni s&p500 stocky by YTD (kalendarne od 31.12) performance kazdy mesiac, kup top 25, equal weight basket, reweight next month, tu by to chcelo ocistit od M&A announcements ,ale na zaciatok, kaslat nato . variacia, spravit kazde dva tyzdne ranking
Verzia 1: long only, 500 stocks, monthly rebalance
Verzia 1b: long only, 500 stocks, monthly rebalance, ale namiesto YTD mame 12M rolling perf – hypoteza je, ze YTD bude lepsie
Verzia 1c: long only, 500 stocks, monthly rebalance, ale namiesto EW mame vol W, podla 3M vol – hypoteza je, ze vol W bude lepsie
Verzia 2a: long only, 500 stocks, 2 weeks rebalance
Verzia 2b: long only, 500 stocks, 1 week rebalance
Verzia 3: 500, monthly rebalance, alpha (short SPY)
Verzia 3b: 500, monthly rebalance, vol W (3M), alpha (short SPY)
Verzia 3b: 500, monthly rebalance, vol W (3M), ale vyberam 15 namiesto 25 stockov, alpha (short SPY)
Verzia 4: 500, 2 week rebalance, alpha (short SPY)
Verzia 5: len pre info, 1000 stocks, 2 week rebalance, long only
Verzia 6: 500 stocks, vyberam 10 best, EW, max 20% koncentracia na sector, 2 week rebalance, long only
stocks traded in 2008: {‘POT’, ‘ISRG’, ‘FE’, ‘SNV’, ‘AEM’, ‘FLO’, ‘QCOM’, ‘HE’, ‘TFSL’, ‘SSP’, ‘CLF’, ‘OI’, ‘WMT’, ‘HRB’, ‘FSLR’, ‘COG’, ‘EOG’, ‘VHI’, ‘MYGN’, ‘OKE’, ‘NOV’, ‘KGC’, ‘HAS’, ‘V’, ‘ABX’, ‘CFFN’, ‘VLY’, ‘UMBF’, ‘PTEN’, ‘PCLN’, ‘AMGN’, ‘JBHT’, ‘WAB’, ‘NLY’, ‘TJX’, ‘MA’, ‘ROST’, ‘AMAT’, ‘WTI’, ‘UDR’, ‘HP’, ‘DLTR’, ‘PSA’, ‘HUM’, ‘NSC’, ‘SWN’, ‘SPWR’, ‘R’, ‘ILMN’, ‘TYC’, ‘BPOP’, ‘X’, ‘VRTX’, ‘CRK’, ‘CSX’, ‘FLS’, ‘EW’, ‘BTE’, ‘ZMH’, ‘FPL’, ‘DHI’, ‘DAL’, ‘CF’, ‘PHM’, ‘NUE’, ‘STRA’, ‘BAP’, ‘DV’, ‘RGA’, ‘EGO’, ‘RRC’, ‘DKS’, ‘LOW’}
stocks traded in 2009: {‘OSK’, ‘WDC’, ‘KMX’, ‘BR’, ‘GT’, ‘LBTYA’, ‘RIMM’, ‘MS’, ‘MYGN’, ‘SPW’, ‘CYH’, ‘ASH’, ‘AMD’, ‘SIG’, ‘APD’, ‘GS’, ‘A’, ‘BIG’, ‘DISCB’, ‘LVS’, ‘RS’, ‘NFLX’, ‘CE’, ‘JWN’, ‘MGA’, ‘EXPE’, ‘CI’, ‘AN’, ‘MU’, ‘CECO’, ‘THC’, ‘BX’, ‘STX’, ‘OII’, ‘FCX’, ‘CMI’, ‘SBAC’, ‘GME’, ‘CCI’, ‘HRS’, ‘VLO’, ‘FLEX’, ‘GNW’, ‘F’, ‘ETE’, ‘SIRI’, ‘ILMN’, ‘BTE’, ‘SLM’, ‘PAA’, ‘FTI’, ‘DHI’, ‘SU’, ‘CF’, ‘AXP’, ‘AMZN’}
stocks traded in 2021: {‘ET’, ‘SLB’, ‘WBA’, ‘NVDA’, ‘WDC’, ‘KMX’, ‘TSLA’, ‘GM’, ‘FITB’, ‘BIIB’, ‘LCID’, ‘EOG’, ‘WFC’, ‘FOX’, ‘URI’, ‘OXY’, ‘SPG’, ‘AMC’, ‘CGC’, ‘BILL’, ‘NET’, ‘ASAN’, ‘AMAT’, ‘IMO’, ‘BX’, ‘CVAC’, ‘STX’, ‘FCX’, ‘FTNT’, ‘IT’, ‘GNRC’, ‘GME’, ‘DD’, ‘DE’, ‘VLO’, ‘MRNA’, ‘F’, ‘ROKU’, ‘PLUG’, ‘HIG’, ‘COF’, ‘IAC’, ‘SNAP’, ‘TDOC’, ‘NVAX’, ‘FANG’, ‘PLTR’, ‘NUE’, ‘MET’, ‘DKNG’, ‘UPST’, ‘MTB’, ‘DVN’}
Verzia 7: 500 stocks, vyberam 10 best, EW, max 20% koncentracia na sector, 2 week rebalance, alpha
Verzia 8: 500 stocks, vyberam 20 best, EW, max 20% koncentracia na sector, 2 week rebalance, long only
Verzia 9: 500 stocks, vyberam 20 best, EW, max 20% koncentracia na sector, 2 week rebalance, alpha
Verzia 10: 500 stocks, vyberam 20 best, EW, max 20% koncentracia na sector, 2 week rebalance, 10% selective hedge by SPY
Verzia 11: 500 stocks, vyberam 20 best, EW, max 20% koncentracia na sector, 2 week rebalance, 40% selective hedge by SPY
Verzia 12: Europske ADR na americkej burze, minimum average 3m volume 1 000 000 stocks, minimum market cap – 1 miliarda USD
Verzia 13: All European Exchanges – Xetra, Nordic, Euronext, Six – data od EODHistoricalData, MarketCap minimum 200million USD, Avg Volume (90D) > 200K, survivorship bias – ked dame sector neutral, alebo be defense, tak to vyzera takmer rovnako, najvacsi vplyv maju jednotlive burzy
Verzia 14: Xetra – data od EODHistoricalData, MarketCap minimum 200million USD, Avg Volume (90D) > 200K, survivorship bias
Verzia 14a: Xetra – data od EODHistoricalData, MarketCap minimum 200million USD, Avg Volume (90D) > 200K, survivorship bias, NO DEFENSE
Verzia 15: Euronext – data od EODHistoricalData, MarketCap minimum 200million USD, Avg Volume (90D) > 200K, survivorship bias
Verzia 15a: Euronext – data od EODHistoricalData, MarketCap minimum 200million USD, Avg Volume (90D) > 200K, survivorship bias, NO DEFENSE
Verzia 16: Nordic – data od EODHistoricalData, MarketCap minimum 200million USD, Avg Volume (90D) > 200K, survivorship bias
Verzia 17: SIX – data od EODHistoricalData, MarketCap minimum 200million USD, Avg Volume (90D) > 200K, survivorship bias