Uberman’s Portfolio

You can’t click on a link on the net today, it seems, without coming across someone talking about the unraveling of the carry trade. Will the Japanese raise rates and end the party? Everyone knows that the ZIRP (zero-interest rate policy) of Japan is a major spark for carry trades since to have a carry you need one higher interest rate and one lower one to make it work. And zero is pretty low.

Everytime I hear?about it, I want to throw something. First of all, it’s a matter of principle. (more…)

What the hell is my problem?

I can’t find time to write a simple entry in this blog for 8 months while taking on a new job, getting married, going on a honeymoon and moving from the East to West coast? Gosh!

Well, that’s about to change. [incredulous looks…] (more…)

By popular demand, I’d like to post an update of the real-money Uberman’s Portfolio to date.? As you may recall, armed with the?power of Grayskull?and some ring with crazy writing on it that I got from a giant eyeball on a mountaintop (something about “forged from the fires of Doom blah blah blah”), I took the plunge with my own cash at the start of August.? Since then, I’ve risen at 8am each Monday to perform my dark magic (hit F9 in Excel) and slay the dragons of the market (spend 5 minutes typing in some orders then crawl into the shower).? I spend the rest of the week slavishly watching my assets fluctuate wildly (watching girl’s assets fluctuate wildly), hoping against hope that I’ll come out ahead in the end (umm…).? Then, the ugly cycle repeats… (more…)

Well, on Monday I started trading the Uberman’s Portfolio with real money.? The yield is 10.99% at the current leverage.? I made this move after a month of forward trading (24/7 exposure)?and then completing 3 years of backtesting.? They both confirmed the theory that the porfolio does indeed stay tied to the “index” of the interest rate yield.? Random indexes of currencies did not do this.? This has given me the confidence (and data for position sizing) I need to dip my toe in the water.

Hopefully, this will be exactly what I meant about having an approach that allows you to benchmark your performance.?? By knowing that the portfolio is mathmatically driven to “stay in the lines” as best as possible and the road is mapped out ahead of time (the yield), then I have more confidence about the results and what they mean.? If after a year the return is close to the yield and walked the line the whole way, I can be reasonably sure?that the results were not luck but a result of the model at work.? I know that theory by confirmation isn’t the best form of proof, but in trading that may be all we get.

It’s time.? A project that I’ve been working on extensively for weeks, probably to the great annoyance of the lady of the house, is finally at a point where I’m ready to share my work and begin testing the idea in a semi-public forum.? The working title for this project is the Uberman’s Portfolio, inspired by the infamous Uberman’s Sleep Schedule in that it never sleeps and because of the many late nights spent building the?gears and levers that make it all?possible.? Also, the acronym is UP, which is where I hope my equity will be when all is said and done.


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