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Hi yerself
The answers you received are all good, some of mine will be pointed,
to keep you on a straight line.
1. What are the good measures to identify liquidity and market cap of
a MF? *************Not being rude, but, for open end funds this is
irrelevant. You are buying from and selling to the fund manager, and
he sells as long as there are buyers. You do not buy funds on the
open market like stocks.
The result is that as long as cash comes to the fund manager, he buys
more stocks, when cash flows out, he sells stocks.
And to find the size of a fund, dollars under management, you have to
read the prospectus, outdated, or call fund management, also probably
outdated info.
This is relevant for closed-end funds which trade like stocks.
2. Are there any funds that are more advantageous to trade than
others?************If you are really doing short term trading, most
funds are not for you, becasue of redemption fees. Ken suggested
ETF's appropriately.
Profunds and Rydex funds allow and want short term traders, but you
can loose your shirt, and pants, with them.
For longer term, say, months, then high Sharpe ratio funds, and low SD
funds. And you'll need to learn hedging of funds.
Are the any gotchas in some, which should be
avoided?**************Yup, redemption fees, front end loads,
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? *************Yup, now you want to be told the whole body of
knowledge that Fasttrackers have evolved over the past 10 or more years.
Again, this comes back to your time frame. If short, days, then you
want pure technical analysis. If longer, weeks, months, then you want
the body of FastTrack knowledge.
Start with Werner Gansz' NCAlpha and Ruttr theory, and move on to
Bruce Robinson's hedging.
4. Using 0.1% as commission in backtests is realistic, since there's
no slippage involved, is that right? ********Where did you come up
with the commission figure? It depends on how you buy your funds.
And slippage, well yes there is no slippage, and yes there is slippage.
You only have a close price, so you essentially get either the best
price or worse price of the day.
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? ***************NO, not if you are trading open-end funds,
because the brokerage house you buy at may have a 2pm EST cut-off,
meaning you have to have your trade in by 2pm.
The real question is, what are you planning on trading???
6. Are there any sites, books, etc. that talk about MF trading
techniques? ****************Fred gave you two good ones, another is
mine, but it'll cost you money, http://www.ftmonitor.com
All the back issues of the Monitor summarize the body of knowlege that
has gone on over the years.
Other questions you asked.
Groups of funds. FastTrack Data is the best data around for funds.
FastTrack does a good job of arranging funds into families, first as
to Management company and then as to style, growth, value, large-cap
small cap etc. and much more.
Best technical program for funds, You don't have to ask.
Good Luck and be good
Richard Boroff
Thanks in advance.
Jitu
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