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<FONT face=Arial
color=#0000ff size=2>Here's the section from the prospectus:
<FONT face=Arial
color=#0000ff size=2>
<IMG alt="" hspace=0
src="png00002.png" align=baseline border=0>
<FONT face=Arial
color=#0000ff size=2>d
From: dingo [mailto:dingo@xxxxxxxxxxxx]
Sent: Sunday, January 18, 2004 3:03 PMTo:
amibroker@xxxxxxxxxxxxxxxSubject: RE: [amibroker] Russel 2000 /
Mutual Fund trading problem
<FONT face=Arial
color=#0000ff size=2>In exchange for your formula I'll tell you
why...
<FONT face=Arial
color=#0000ff size=2>
<FONT face=Arial
color=#0000ff size=2>Seriously, Its because they don't trade the basket of
stocks that comprises the RUT. They trade using all kinds of instruments. From
their site:
<SPAN
class=622284719-18012004>"<FONT
face="Times New Roman"><SPAN
class=profileHdr>Russell 2000 Index<IMG height=6
src="gif00012.gif" width=432>The Russell
2000 Index measures the performance of the 2,000 smallest companies in the
Russell 3000 Index, representing approximately 8% of the total market
capitalization of the Russell 3000 Index, which in turn represents approximately
98% of the investable U.S. Equity market. It is not possible to invest directly
in an index. .<SPAN
class=622284719-18012004>"
<FONT
face=Arial>Seems
to me that you're seeing their inefficiency/error in trading. I think they
cover this in their prospectus.<FONT
face=Arial><FONT
color=#0000ff>
<FONT
color=#0000ff>d
From: Chuck Rademacher [mailto:chuck@xxxxxxxx]
Sent: Sunday, January 18, 2004 2:43 PMTo:
amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Russel 2000 / Mutual
Fund trading problem
Let's say that I have one of those systems that seems to good to
be true. Relax, I didn't get it from Joe.It makes 100%
per year with a 6% DD. As I said, too good to be true.Of
course, it makes some assumptions. I designed it to trade the
ProFunds Small Cap Funds (long and short). The tickers are SLPIX
and SHPIX. I'm assuming that I will get my buy/short signals
just prior to the market close and that I will enter on the close and that
my slippage is going to be zero. I might add that this is NOT my
normal mode of trading.Since these funds are supposed to "closely
follow" the RUT and since data for these funds doesn't go back very far, I
used the RUT for my design and backtesting. This is where
I got the results that were so good that I was ready to tell my wife that
she won't have to be waiting tables and the local pub.For the final
test, I decided to try it on the ProFunds tickers that I mentioned
above. Of course, data for these only goes back to
2002. Well.... since 2002 the system didn't do as well trading
these funds as it did trading the RUT. The difference was large,
but the results were acceptable. My wife could switch from
full-time to part-time work.My question was/is "why the disparity
between RUT and the corresponding ProFunds?". I decided to
go to the ProFunds site and see if they have a comparison of performance
between their funds and the RUT. There it was, big as could be,
the performance of their funds HAS NOT done as well as the RUT over the last
year or so.So, the big question. Does anyone know why this
is the case? I will, of course, ask ProFunds to
comment. But I thought that some of you mutual fund traders
(Fred?) might have a more realistic answer. How can they say
that these funds track an index when the performance is as much as 10%
different over some quarters?Please hurry... I'm calling my wife in
New Zealand later today and I want to make sure I have my facts right before
I tell her that she can retire.Thanks!Send BUG
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