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Chuck: besides the point <font
size=2 color=navy face=Arial>Fred<span
> mentioned about low
volumes, it is easy to show comparisons between actively managed funds and the
passively managed ETFs in which there is virtually no comparison—the actively
managed funds win hands down.
I personally believe that this is why the
selection and portfolio basket trading made so much easier with the new AB features,
will be where a lot of people gravitate.
Ken
-----Original Message-----
From: Chuck Rademacher
[mailto:chuck_rademacher@xxxxxxxxxx]
Sent: Friday, November 14, 2003
5:02 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: RE: [amibroker] Re:
Trading mutual funds...
Excellent points, Ken. There are
plenty of ETF's around with all-day liquidity and pricing.
<font size=2
face="Times New Roman">-----Original Message-----
From: Ken Close
[mailto:closeks@xxxxxxxx]
Sent: Friday, November 14, 2003
4:52 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: RE: [amibroker] Re:
Trading mutual funds...
Jitu:<span
>
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@xxxxxxxxx]
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 <a
href="">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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