l/s strategy without any bells and whistles. I would like to be able to record net sector exposure in the record_vars function to try and see if the returns are skewed by massive sector under/overweights. I've searched through the forums for a long time and can't find anything. Can anyone help me out with this?
Also, and this might be too much, but I would like to target a max/min net sector exposure and instead of buying/selling the individual securities, Ideally I would like to use sector ETFs to get the weight below/above the thresholds. It seems a little convoluted but I thought someone might know a (relatively) easy way to get this done. thanks for any help you can give!