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- The key hypothesis: customers of established companies with short term negative sentiment are more sticky that assumed
- The key ratio of concern will be the Sharpe ratio measured by monthly average as well as yearly average
- To bench mark against S&P index to figure out if there is in fact an Alpha when deploying such strategy
- Fund clients expect a returns during market down turns as well as during bull markets
- need to figure out how to avoid the buy trigger which will continuously trigger 2.5% losses during a period of market downturn.
- A good way to hedge and generate leverage would be to short the same amount on the S&P index (SPY) every time you attempt buy into a position utilizing the strategy.
- Miscellaneous to take into account
- dividend paid out by S&P index as well as any paid out by strategy
- Average dividend for the S&P is 2%
- Standard deviation for S&P versus strategy
- S&P standard deviation is 0.9%
- Transactions cost
- borrowing cost for shorting S&P during period