Bogleheads 2012 hedge fund contest

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Norbert Schlenker
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Bogleheads 2012 hedge fund contest

Post by Norbert Schlenker »

This will be the official thread for the 2012 contest. Per a couple of requests, I am going to relax last year's restriction to S&P 500 companies to a broader index, the Russell 3000. Because of this relaxation, I'm going to ask those who have already entered a portfolio at the tail end of the 2011 contest thread to repost in this thread instead, with revisions if you feel that the index change allows you some better choices.

Complete set of rules for 2012 ...
  • Pick a fancy name for your hedge fund. Show some creativity. A panel of esteemed judges will choose the best.
  • Before 9 am EST on 3 Jan 2012, pick two stocks to go long and two to short. You must choose four different positions. Equal dollar amounts are placed on each position.
  • Common stock only. No bonds, no options, no funds.
  • No trades during the year, except that you can elect at any time during normal exchange business hours to "freeze" a price for any individual position at that day's closing price, i.e. liquidate that one position. Other than that, you're stuck with what you choose for the year.
  • The universe from which to choose is the Russell 3000. No exceptions. I will attempt to verify membership ahead of time and warn if offside, but the onus is on participants to verify each submitted portfolio against the link provided. Portfolios containing one or more offside positions at the start time will be excluded from the contest. Stocks that are eligible at the start but are removed from the Russell 3000 during 2012 will continue to be tracked.
  • Starting prices are the 30 Dec 2011 close, ending prices will be the 31 Dec 2012 close. (Adjustments may be made to either in case of crazy spreads, at my sole discretion.)
  • Positions merged out of existence during 2012 will either be liquidated at takeover price for cash deals or converted to positions in acquiring company for stock deals. As the universe has expanded for the 2012 edition, buyouts and mergers may be more common than in earlier years. Contest participants are encouraged to keep me informed of such corporate actions in their own funds, either with a PM or a post in this thread.
  • Winner of the name contest deemed to purchase long positions at 1% discount and sell short positions at 1% premium!
  • Dividends won't count because ...
  • It's all automated to make it easy on myself.
My holiday schedule may result in a delay to the automation of posting of results but rest assured that I will get to it eventually.
Nothing can protect people who want to buy the Brooklyn Bridge.
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Mrs.Feeley
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Re: Bogleheads 2012 hedge fund contest

Post by Mrs.Feeley »

Purple Socks on a High Cliff Hedge Fund

Going short on...
Manitowoc Co. (MTW)
Martha Stewart Living (MSO)

Going long on...
Chubb Corp. (CB)
Allergan (AGN)
lazyfabs
Posts: 276
Joined: Mon Sep 19, 2011 9:22 am

Re: Bogleheads 2012 hedge fund contest

Post by lazyfabs »

'Children's Inheritance'

Short:
GS - Goldman Sachs Group, Inc.
HAL - Halliburton Company

Long:
CAT - Caterpillar, Inc.
INTC - Intel Corporation

*edited to replace a stock not part of Russel 3000, RY for GS
"I think the best way to find happiness is to stop looking so hard." - Kermit the Frog
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baw703916
Posts: 6681
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Location: Seattle

Re: Bogleheads 2012 hedge fund contest

Post by baw703916 »

The Long Alpha, Short Beta Fund

Long positions: ALL, FE (Allstate, First Energy)

Short positions: BA, TE (Boeing, TECO Energy)

(closest I could come with the available ticker symbols)

Brad
Most of my posts assume no behavioral errors.
NPE
Posts: 13
Joined: Tue Jun 14, 2011 7:29 am

Re: Bogleheads 2012 hedge fund contest

Post by NPE »

Nibiru Opportunity Fund

long:
NKE - NIKE, Inc.
NAVG - The Navigators Group, Inc

short:
SQNM - Sequenom, Inc.
AMRI - Albany Molecular Research, Inc.
HelenaJustina
Posts: 96
Joined: Fri Nov 11, 2011 8:10 am

Re: Bogleheads 2012 hedge fund contest

Post by HelenaJustina »

The United Metropolitan Improved Hot Market Capital Banking and Punctual Dividend Fund

Long

NICK
DFT


Short

CPLA
PNRA
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dmcmahon
Posts: 2855
Joined: Fri Mar 21, 2008 10:29 pm

Re: Bogleheads 2012 hedge fund contest

Post by dmcmahon »

As posted in the other thread, ours is the High And Frequently Trading fund.

Long: ORCL, FCX
Short: SHLD, LM
Last edited by dmcmahon on Sat Dec 31, 2011 12:45 pm, edited 1 time in total.
peppers
Posts: 1650
Joined: Tue Oct 25, 2011 7:05 pm

Re: Bogleheads 2012 hedge fund contest

Post by peppers »

Jalapeno Scotch Bonnets SA

Long TRW VC

Short SHLD MGM
Last edited by peppers on Sun Jan 01, 2012 9:59 am, edited 1 time in total.
"..the cavalry ain't comin' kid, you're on your own..."
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gotherelate
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Location: Texas

Re: Bogleheads 2012 hedge fund contest

Post by gotherelate »

The Complete Crap Shoot Hedge Fund (The seventh and eleventh entries from pages seven and eleven of the Russell 3000 LIst)

LOOOOOOONG:
CCRN - CROSS COUNTRY HEALTHCARE
CDR - CEDAR SHOPPING CTRS INC

SHOOOOOOORT:
DSPG - DSP GROUP INC
DTG - DOLLAR THRIFTY AUTO
-Grandpa | I'd rather see where I'm going than see where I've been.
Grt2bOutdoors
Posts: 25625
Joined: Thu Apr 05, 2007 8:20 pm
Location: New York

Re: Bogleheads 2012 hedge fund contest

Post by Grt2bOutdoors »

Deep Dung Capital - plans to re-enter, but first must delve through some crapola :lol to come up with my candidates for 2012. Be back to you before year-end.
"One should invest based on their need, ability and willingness to take risk - Larry Swedroe" Asking Portfolio Questions
FredPeterson
Posts: 1025
Joined: Fri Jul 10, 2009 8:41 pm
Location: Madison, WI

Re: Bogleheads 2012 hedge fund contest

Post by FredPeterson »

Name: NIWID

Longs: BAC, LUK
Shorts: AAPL, CMG
kd2008
Posts: 1274
Joined: Sun Feb 15, 2009 5:19 pm

Re: Bogleheads 2012 hedge fund contest

Post by kd2008 »

Name: Sleep in Heavenly Peace Fund

Long:
Ford: F
Costco: COST

Short:
Hewlett Packard: HPQ
Yahoo Inc.: YHOO
SonOfSchwab
Posts: 23
Joined: Fri May 13, 2011 12:22 pm

Re: Bogleheads 2012 hedge fund contest

Post by SonOfSchwab »

SPAM - Shortsighted Pretentious Amazonian Management

Long:
LUV - Southwest Airlines
ATVI - Activision Blizzard

Short:
HPQ - Hewlett Packard
CIM - Chimera Investment Corp
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LadyGeek
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Re: Bogleheads 2012 hedge fund contest

Post by LadyGeek »

Portfolio name: Seeking Omega

Long position:
Williams Companies, Inc. (WMB)
Simon Property Group Inc. (SPG)

Short position:
Gamestop (GME)
Apple Inc (APPL)

From the alpha to the omega.

Hedge fund tutorial (wiki): Hedge funds

The Russel 3000 Index measures the performance of the largest 3000 U.S. companies representing approximately 98% of the investable U.S. equity market.

(Updated: Short position to Gamestop (GME) 02-Jan-12 21:38 ET)
Wiki To some, the glass is half full. To others, the glass is half empty. To an engineer, it's twice the size it needs to be.
centrifuge41
Posts: 1317
Joined: Mon May 17, 2010 9:04 am

Re: Bogleheads 2012 hedge fund contest

Post by centrifuge41 »

Thanks for running the hedge fund contest once again Norbert! This is good fun, and it helps show me how futile my picks are :)

Fund name: Whitestone Asset Management Unlimited Gamma Fund

Long:
RMBS (Rambus Inc)
SHLD (Sears Holding Corp)

Short:
PPHM (Peregrine Pharmaceuticals)
BAC (Bank of America Corp)

Thanks :)
ilmartello
Posts: 1075
Joined: Sun Nov 06, 2011 5:59 pm

Re: Bogleheads 2012 hedge fund contest

Post by ilmartello »

hedge fund name: hammertime

long: brk-a berkshire hathaway
long: ge general electric


short: AAPL (APPLE)
short: Groupon grpn
manuvns
Posts: 1465
Joined: Wed Jan 02, 2008 1:30 pm

Re: Bogleheads 2012 hedge fund contest

Post by manuvns »

Ultra hedge Stock Advantage fund :

long: AA , UNH
short: NUAN , AMZN
Thanks!
awval999
Posts: 1318
Joined: Fri Apr 08, 2011 10:17 pm

Re: Bogleheads 2012 hedge fund contest

Post by awval999 »

Alpha Freedom Investment Trust

Long: GM, F
Short: CMG, CRM
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camper
Posts: 895
Joined: Thu Dec 04, 2008 10:51 pm
Location: My side of the mountain

Re: Bogleheads 2012 hedge fund contest

Post by camper »

Rock Soft Holdings

Long:
Target Corp. (TGT)
PulteGroup Inc. (PHM)

Short:
MasterCard Inc. (MA)
RadioShack Corp. (RSH)
NERD777
Posts: 107
Joined: Mon Aug 29, 2011 5:19 pm

Re: Bogleheads 2012 hedge fund contest

Post by NERD777 »

Upsilon Frontier (UF)

Long: Apple (AAPL)
Long: Goldman Sachs (GS)

Short: eBay (EBAY)
Short: Red Hat (RHT)
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FNK
Posts: 1360
Joined: Tue May 17, 2011 7:01 pm

Re: Bogleheads 2012 hedge fund contest

Post by FNK »

The Fund of Unintended Consequences, share class K

Long:
GOOG Google
WPX WPX Energy (spinning off tomorrow from WMB)

Short:
CPWR Compuware
SKY Skyline
grok87
Posts: 10512
Joined: Tue Feb 27, 2007 8:00 pm

Re: Bogleheads 2012 hedge fund contest

Post by grok87 »

Consternatio Partners

Long
Rosetta Resources (ROSE)
Centene Corp (CNC)

Short
FMC Technologies (FTI)
Viasat (VSAT)

cheers,
RIP Mr. Bogle.
Mudpuppy
Posts: 7409
Joined: Sat Aug 27, 2011 2:26 am
Location: Sunny California

Re: Bogleheads 2012 hedge fund contest

Post by Mudpuppy »

Hap E D Nile

Long:
Bank of America (BAC)
Occidental Petroleum (OXY)

Short:
Apple (AAPL)
McDonald's (MCD)
awval999
Posts: 1318
Joined: Fri Apr 08, 2011 10:17 pm

Re: Bogleheads 2012 hedge fund contest

Post by awval999 »

Mudpuppy wrote:Hap E D Nile

Long:
Bank of America (BAC)
Occidental Petroleum (OXY)

Short:
Apple (AAPL)
McDonald's (MCD)
I've never heard of anyone going out on that limb. Do you mind to give a reason why? Or do we have to subscribe to your newsletter for that? :D
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jidina80
Posts: 729
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Location: Fiji

Re: Bogleheads 2012 hedge fund contest

Post by jidina80 »

As the 2nd-to-last finisher in last year's hedge fund contest, I hereby give contrarians notice:

My new hedge fund, named Archimedes' Purse, requests entry into the 2012 hedge fund contest.

Long:
1) GNW Genworth Financial
2) HIG Hartford Financial Services

Short:
1) ODP Office Depot
2) WYN Wyndham Worldwide

This fund has no relationship to my prior fund, Betamax Explorer, which is now closed to investors.
FinanceFun
Posts: 722
Joined: Mon Nov 28, 2011 8:29 am

Re: Bogleheads 2012 hedge fund contest

Post by FinanceFun »

"If only I..."

Long Positions:
GS
TDC

Short Positions:
SHLD
NFLX
Last edited by FinanceFun on Sat Dec 31, 2011 4:21 pm, edited 1 time in total.
ajherrmann
Posts: 5
Joined: Mon Sep 20, 2010 11:57 am

Re: Bogleheads 2012 hedge fund contest

Post by ajherrmann »

Short Schlock Long California Fund

Long:
1) WFC Wells Fargo
2) SCHW Charles Schwab

Short:
1) ANF Abercrombie and Fitch
2) SHLD Sears Holding Company
madpunster
Posts: 137
Joined: Sun Nov 02, 2008 12:58 am

Re: Bogleheads 2012 hedge fund contest

Post by madpunster »

Van Thorp Fund

Long:
LYG -Lloyd's Banking
KMI - Kinder Morgan

Short:
PLD - Prologis
ISRG - Intuitive Surgical

(edited because short choice EP - El Paso is being bought by Kinder Morgan)
Last edited by madpunster on Sat Dec 31, 2011 8:25 pm, edited 1 time in total.
Mudpuppy
Posts: 7409
Joined: Sat Aug 27, 2011 2:26 am
Location: Sunny California

Re: Bogleheads 2012 hedge fund contest

Post by Mudpuppy »

awval999 wrote:
Mudpuppy wrote:Hap E D Nile

Long:
Bank of America (BAC)
Occidental Petroleum (OXY)

Short:
Apple (AAPL)
McDonald's (MCD)
I've never heard of anyone going out on that limb. Do you mind to give a reason why? Or do we have to subscribe to your newsletter for that? :D
No newsletter, just gut.... heh. I saw a CNN Money slideshow about how good Mickie D's did this year and my gut said "eww", so I listened to it. Only time will tell if my gut is a better prognosticator than a dart board or random selection.
james22
Posts: 1992
Joined: Tue Aug 21, 2007 2:22 pm

Re: Bogleheads 2012 hedge fund contest

Post by james22 »

2011 Fund

Long:

Cabot Oil & Gas (COG)
El Paso Corp. (EP)

Short:

Monster Worldwide (MWW)
First Solar (FSLR)
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cjackson0
Posts: 641
Joined: Thu Aug 21, 2008 2:57 pm
Location: St. Louis, MO

Re: Bogleheads 2012 hedge fund contest

Post by cjackson0 »

"Mommy Needs a New Minivan"

Long:
MCP - Molycorp INC
HOOK - Craft Brewers Alliance, Inc.

Short:
LEAP - Leap Wireless International, INC
RIGL - Rigel Pharmaceuticals, Inc
Sent from my iphone
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NightOwl
Posts: 664
Joined: Fri Feb 06, 2009 1:08 am
Location: New York, NY

Re: Bogleheads 2012 hedge fund contest

Post by NightOwl »

Rannumgen Capital returns to the fray with a new and improved selection methodology: first the shorts, then the longs.

Short:
WPO (Washington Post)
GTY (Getty Realty)

Long:
POWI (Power Integrations Inc)
GNOM (Complete Genomics)

NightOwl
"Volatility provokes the constant dread that some investors know more than we do, making us fearful of ignoring such powerful price movements." | Peter Bernstein, "The 60/40 Solution."
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Ice-9
Posts: 1579
Joined: Wed Oct 15, 2008 12:40 pm
Location: MD

Re: Bogleheads 2012 hedge fund contest

Post by Ice-9 »

Irrational Apathy

Long:
DFR (CIFC Deerfield Corp)
BRK.B (Berkshire Hathaway Inc)

Short:
ALSK (Alaska Communications)
NLY (Annaly Capital Mgmt Inc)
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norookie
Posts: 3016
Joined: Tue Jul 07, 2009 1:55 pm

Re: Bogleheads 2012 hedge fund contest

Post by norookie »

:D Lifetime capital management :oops: , Long AAPL/CAT, Short, SHLD, ADI.
" Wealth usually leads to excess " Cicero 55 b.c
collegerent
Posts: 3
Joined: Fri Apr 15, 2011 2:34 pm

Re: Bogleheads 2012 hedge fund contest

Post by collegerent »

Long, WPZ (Williams)
OKS (One OK)

Short, NFLX (Netflix)
WAG (Walgreens)
SP-diceman
Posts: 3968
Joined: Sun Oct 05, 2008 9:17 am

Re: Bogleheads 2012 hedge fund contest

Post by SP-diceman »

THE FAT TAILS AND SKINNY RETURNS FUND


Long: NFLX, QUAD

Short: MA, LQDT
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SkolVikes7
Posts: 69
Joined: Mon Jul 18, 2011 4:07 pm

Re: Bogleheads 2012 hedge fund contest

Post by SkolVikes7 »

Seeking Golf

Long:
EEP (Enbridge Energy Partners)
CAT (Caterpillar)

Short:
DB (Deutsche Bank)
CRM (SalesForce.com)
Chuck1
Posts: 28
Joined: Sun Aug 03, 2008 3:30 pm

Re: Bogleheads 2012 hedge fund contest

Post by Chuck1 »

My hedge fund is AQR - Applied Quantitative Roulette :)

Long: BAC, FSLR
Short: GRPN, ZIP

Here's to a big 2012!
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LadyGeek
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Re: Bogleheads 2012 hedge fund contest

Post by LadyGeek »

LadyGeek wrote:Portfolio name: Seeking Omega

Long position: Williams Companies, Inc. (WMB), Simon Property Group Inc. (SPG)

Short position: Gamestop (GME), Apple Inc (APPL) (Updated: Short position to Gamestop (GME) 02-Jan-12 21:38 ET)
Making sure that my last minute short position change is picked up.
Wiki To some, the glass is half full. To others, the glass is half empty. To an engineer, it's twice the size it needs to be.
Mr. Gatti
Posts: 202
Joined: Sat Jan 08, 2011 2:08 pm

Re: Bogleheads 2012 hedge fund contest

Post by Mr. Gatti »

Gatti's Greed and Growth Fund

Long: QCOM - Qualcomm
CYH - Community Health Systems

Short: NFLX - Netflix
RAD - Rite Aid
dixdak
Posts: 212
Joined: Wed Sep 12, 2007 8:30 am
Location: Chicago

Re: Bogleheads 2012 hedge fund contest

Post by dixdak »

I Want My Fair Share Fund

Long: Stillwater Mining (SWC) and Molycorp (MCP)

Short: Energy Conversion Devices (ENER) and BioSante (BPAX)
Snowjob
Posts: 1654
Joined: Sun Jun 28, 2009 10:53 pm

Re: Bogleheads 2012 hedge fund contest

Post by Snowjob »

Name - Free Lunch

Long

FRO - Fronline
IPI - Intrepid Potash

Short

DNDN - Dendrion
EK - Eastman Kodac
xerty24
Posts: 4827
Joined: Tue May 15, 2007 3:43 pm

Re: Bogleheads 2012 hedge fund contest

Post by xerty24 »

Regulatory Arbitrage

Long:
GS (Goldman Sachs)
BRK.B (Berkshire Hathaway Inc)

Short:
CMO (Capstead Mortgage)
NLY (Annaly Capital Mgmt Inc)
No excuses, no regrets.
grok87
Posts: 10512
Joined: Tue Feb 27, 2007 8:00 pm

In the Black

Post by grok87 »

Dear investors,
Consternation Partners is in the black!
After a competitive 2011 performance in the top 80%, we are proud to report that Consternatio partners is in the black with a 1.055% YTD return. While I'm not exactly sure what the competition is doing, doubtless this strong start out of the gates has left many of them gasping in the dust!
:)
cheers,
Last edited by grok87 on Tue Jan 03, 2012 8:01 pm, edited 1 time in total.
RIP Mr. Bogle.
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LadyGeek
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Re: Bogleheads 2012 hedge fund contest

Post by LadyGeek »

Your optimism is a bit premature, as a few of my picks have some after-hours activity. We'll see tomorrow.

OTOH, I'm not sure how to calculate this. I'm assuming $1 in each fund as the starting balance. The daily gain is (prev close)/(today's close), which ignores the after-hours activity and opening bids. Are the shorts simply subtracting the gains? If so, I think I'm at -0.08%.

Portfolio: Seeking omega, which may be for quite some time if I don't get this figured out.

Long position: Williams Companies, Inc. (WMB) (0.34%), Simon Property Group Inc. (SPG) (-.52%)

Short position: Gamestop (GME) (-1.41%) , Apple Inc (APPL) (+1.54%)
Wiki To some, the glass is half full. To others, the glass is half empty. To an engineer, it's twice the size it needs to be.
FredPeterson
Posts: 1025
Joined: Fri Jul 10, 2009 8:41 pm
Location: Madison, WI

Re: Bogleheads 2012 hedge fund contest

Post by FredPeterson »

Too bad dividends don't play into this.

But then again, maybe I'm just biased against the people shorting Annaly and hoping they're wrong :)
grok87
Posts: 10512
Joined: Tue Feb 27, 2007 8:00 pm

Re: Bogleheads 2012 hedge fund contest

Post by grok87 »

LadyGeek wrote:Your optimism is a bit premature, as a few of my picks have some after-hours activity. We'll see tomorrow.

OTOH, I'm not sure how to calculate this. I'm assuming $1 in each fund as the starting balance. The daily gain is (prev close)/(today's close), which ignores the after-hours activity and opening bids. Are the shorts simply subtracting the gains? If so, I think I'm at -0.08%.

Portfolio: Seeking omega, which may be for quite some time if I don't get this figured out.

Long position: Williams Companies, Inc. (WMB) (0.34%), Simon Property Group Inc. (SPG) (-.52%)

Short position: Gamestop (GME) (-1.41%) , Apple Inc (APPL) (+1.54%)
Well i could be wrong but I think you average your longs (for you -0.09%) and average your shorts (for you +0.065%).
Then you subtract your shorts from your longs (for you -0.09% - +0.065% = -0.155%). Put another way I think you need to double the -0.08% you calculated.
cheers,
RIP Mr. Bogle.
grok87
Posts: 10512
Joined: Tue Feb 27, 2007 8:00 pm

Re: Bogleheads 2012 hedge fund contest

Post by grok87 »

xerty24 wrote:Regulatory Arbitrage

Long:
GS (Goldman Sachs)
BRK.B (Berkshire Hathaway Inc)

Short:
CMO (Capstead Mortgage)
NLY (Annaly Capital Mgmt Inc)
nice dividend based strategy!
RIP Mr. Bogle.
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LadyGeek
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Re: Bogleheads 2012 hedge fund contest

Post by LadyGeek »

grok87 wrote:Well i could be wrong but I think you average your longs (for you -0.09%) and average your shorts (for you +0.065%).
Then you subtract your shorts from your longs (for you -0.09% - +0.065% = -0.155%). Put another way I think you need to double the -0.08% you calculated.
cheers,
I don't see how you can average something that's easily calculated by a few simple equations - except that we don't know what they are. Norbert?

I'm just testing the negative side of my spreadsheet equations.
Wiki To some, the glass is half full. To others, the glass is half empty. To an engineer, it's twice the size it needs to be.
Grt2bOutdoors
Posts: 25625
Joined: Thu Apr 05, 2007 8:20 pm
Location: New York

Re: Bogleheads 2012 hedge fund contest

Post by Grt2bOutdoors »

grok87 wrote:Consternatio Partners

Long
Rosetta Resources (ROSE)
Centene Corp (CNC)

Short
FMC Technologies (FTI)
Viasat (VSAT)

cheers,
Playing the shale market in the Alberta basin huh?
"One should invest based on their need, ability and willingness to take risk - Larry Swedroe" Asking Portfolio Questions
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