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Ken,
Although I agree with MOST of what you say I have yet to see ERF's
get larger or the holding periods to avoid them getting longer. This
may happen down the road but I suspect that it's much more likely in
an effort to curb short term trading from funds while not totally
alienting investors one is more likely to see the time contraints
that erf's are applied to dropped to a week or two. In any case at
the moment all of this is pure speculation.
--- In amibroker@xxxxxxxxxxxxxxx, "Ken Close" <closeks@xxxx> wrote:
> Jitu:
>
> One aspect I might mention is for you to be as clear as possible in
your
> mind as to what is interesting you about mutual funds. You may
already
> have that in mind or are waiting until you learn more.
>
> In general, mutual funds are thought of as less volatile than
stocks and
> comparing a single mutual fund to a single stock, that is of course
> true. Comparing the volatility of a single mutual fund to a
carefully
> selected basket of stocks and than might not be true.
>
> The FastTrack community has long had tools and approaches
to "timing"
> mutual funds as well as trading among mutual funds using relative
> strength analysis. And they still do. That said, there are many,
many
> FastTrackers who are moving towards trading in ETFs, and stocks
because
> of the previous slow trend of being banned from funds for frequent
> trading (the definition of which is not at all clear). With the
recent
> surge of mutual fund "scandals" and the phrase "market timing" being
> used by lawyers and federal prosecutors all over the country, mutual
> funds in mass are fine tuning or adopting measures that will
restrict
> "timing" even more. Even if that timing is 3 or 4 switches a year.
>
> I mention this because it is a situation in some transition now and
> where it comes out is not clear. Oh yes, besides having the
opportunity
> of being blacklisted, you also face more ERFs (Early Redemption
Fees),
> the amounts of which are increasing and the time periods under which
> they apply are getting longer.
>
> So...be clear WHY you think you want to get into mutual funds and
make
> sure your investing approach takes into account the trends I
describe.
>
> Ken
>
> -----Original Message-----
> From: jtelang [mailto:jtelang@x...]
> Sent: Friday, November 14, 2003 4:37 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: Trading mutual funds...
>
> Fred/Gary,
>
> Thanks for the very informative post. Seems I've got lots of
> reading to do before I even ask another question. So I might
> come back to this after doing some RTFM'ing at the sites you
> pointed to.
>
> Just one quick follow-up question before I start reading up
> on it... So who would you recommend as the data vendor? I'm
> currently using QP3 for stocks. Is that not good enough (just
> for backtesting) in your opinion?
>
> Thanks again.
>
> Jitu
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Fred" <fctonetti@xxxx> wrote:
> > One other gotcha ...
> >
> > MOST data vendors do NOT adjust for dividends and distributions
so
> be
> > carefull where you get data from.
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Fred" <fctonetti@xxxx> wrote:
> > > See below ...
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "jtelang" <jtelang@xxxx>
wrote:
> > > > Hi all,
> > > >
> > > > I was planning to run some backtests on MF data, but I've
> > > > never traded them before, so was hoping people who trade
> > > > them (Fred?) could offer some insights on some basic
> > > > questions -
> > > >
> > > > 1. What are the good measures to identify liquidity and
> > > > market cap of a MF?
> > > >
> > >
> > > You can check their total assets at Morningstar or elsewhere.
If
> > you
> > > mean the market cap that some particular fund invests in you
can
> > > usually tell by it's name and if not then at Morningstar.
> > >
> > > > 2. Are there any funds that are more advantageous to trade
> > > > than others? Are the any gotchas in some, which should be
> > > > avoided?
> > > >
> > >
> > > Not to be silly but that's like asking if there are any stocks
> that
> > > are more advantageous than others. In trading/investing in
mf's
> > > remember that you are basically trading the portfolio managers
> > > ability to select companies to be included and his timeliness
for
> > > getting rid of dogs etc. As far as individual companies that
> they
> > > select based on their fundamentals they will as a rule of
course
> be
> > > much farther up on the knowledge curve then individual
investors
> > > are. The main gotcha I would point out is that for the most
> part,
> > I
> > > would not think of mf's as short term vehicles. The industry
has
> > in
> > > a variety of quarters started putting on early redemption fees
> for
> > > short term trading which can wind up being the same as slippage
> for
> > > those who short term trade. By the same token however, there
are
> > > ways around this via hedging etc.
> > >
> > > > 3. Any market signal better than others to identify market
> > > > trend when it comes to MF's, i.e. is RUT better than SPX or
> > > > does it not matter much? Any others that work better according
> > > > to market cap or type of the fund?
> > > >
> > > As Gary points out in his Camtasia presentation a market timing
> > > signal ought to be in tune with what one is trading so as a
> result
> > I
> > > would say that if you are interested in trading small cap mf's
> that
> > a
> > > timing signal that related to what RUT was doing would be
> > > appropriate. There are of course loads of index oriented funds
> out
> > > there but as a rule these are not where the best opportunities
> are.
> > >
> > > > 4. Using 0.1% as commission in backtests is realistic,
> > > > since there's no slippage involved, is that right?
> > > >
> > > This is a function of what your brokerage charges and the size
of
> > > your trades. But yes there should be no slippage. EOD NAV is
> EOD
> > > NAV.
> > >
> > > > 5. Is it reasonable to run tests with zero delay, with the
> > > > assumption that market trend and other external conditions
> > > > could calculated a few minutes before the close, and then
> > > > trade could be entered just in time?
> > > >
> > > Yes, I do this evrey day. Some but not most funds have cutoffs
> > prior
> > > to 4:00 but in general a trade that is entered at 3:59:45 is as
> > good
> > > as one entered an hour earlier. I have never had a trade not
go
> > > through for any other reason than the fact that I executed it
> late.
> > >
> > > > 6. Are there any sites, books, etc. that talk about MF
trading
> > > > techniques?
> > > >
> > > Look here http://www.madriver.com/~wwgansz/ for one of the more
> > > knowledgable folks in this area, Werner Gansz who Gary referred
> to
> > in
> > > his presentation. This is fairly new site that I think Werner
> > > started just for fun which he updates about once a week. FT-
Talk
> > > http://www.ft-talk.com/forums/ is also a good site but it's a
pay
> > > site where loads of stuff is openly published. There are other
> > > FT'ers here who are much more knowledgable about Trade & FT
then
> I
> > am
> > > who are also AB'ers. I could name some, but maybe they'll step
> > > forward. If you are capable of picking up code from other
> > languages
> > > fairly quickly you could look here
> http://home.earthlink.net/~dexf/
> > > for TRADE related code that has been published by folks from FT-
> > > Talk. This is as the name implies a FastTrack board. You'll
> find
> > > tutorials there for TRADE and links to where the full doc for
> TRADE
> > > and the s/w can be gotten for free.
> > >
> > > > Thanks in advance.
> > > >
> > > > Jitu
>
>
>
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