|
PureBytes Links
Trading Reference Links
|
Chuck / Dingo -
I've looked at this before and written some programs to model the
tracking. Here's what I found.
As you know, Rydex and Profunds utilize futures to implement their
funds. The amount that they deviate from the index could be
attributed in a model to 3 things -
Futures carrying cost debit/credit
Management fees
Tracking error
What I tried to do was was measure this by picking a minimum of the
standard error of various combinations of (the index + costs) to the
appropriate fund. This fitted "cost of doing business" could then be
applied to the index back in time and spliced to the fund in order to
generate a long data series for backtesting.
I haven't run this in a while, but I recall that SLPIX was running at
approx. 3-4% annualized.
Sorry, can't offer info on trading IWM. I have traded IWO and IWN
(R2K growth and value), and can tell you the the bid/ask spreads are
an issue that has to be watched there.
-- Bruce
--- In amibroker@xxxxxxxxxxxxxxx, Chuck Rademacher <chuck@xxxx> wrote:
> To partially answer my own question...
>
> Of course, ProFunds are in the business of making money and will be
> charging a daily fee. So, I wouldn't expect them to always match
the
> performance of the underlying index.
>
> I just discovered something else of interest. Their Ultra funds,
which
> have twice the bang for your buck, have recently been outperforming
what
> you would expect if you were trading double the index.
>
> So, this could be a good application for the AB Portfolio Ranker...
put me
> into the one that is currently outperforming; either 100% of the
RUT or
> 200% of the RUT, depending on which one is doing the best. I'll
try that
> concept right now.
>
>
>
> At 03:03 PM 1/18/2004 -0500, you wrote:
> >In exchange for your formula I'll tell you why...
> >
> >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:
> >
> >"Russell 2000 Index
> >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. ."
> >
> >Seems to me that you're seeing their inefficiency/error in
trading. I
> >think they cover this in their prospectus.
> >
> >d
> >
> >----------
> >From: Chuck Rademacher [mailto:chuck@x...]
> >Sent: Sunday, January 18, 2004 2:43 PM
> >To: amibroker@xxxxxxxxxxxxxxx
> >Subject: [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 REPORTS to bugs@xxxx
> >Send SUGGESTIONS to suggest@xxxx
> >-----------------------------------------
> >Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
> >(Web page:
> ><http://groups.yahoo.com/group/amiquote/messages/)
>http://groups.yahoo.com/
> >group/amiquote/messages/)
> >--------------------------------------------
> >Check group FAQ at:
>
><http://groups.yahoo.com/group/amibroker/files/groupfaq.html>http://g
roups.
> >yahoo.com/group/amibroker/files/groupfaq.html
> >
> >
> >
> >
> >----------
> >Yahoo! Groups Links
> > * To visit your group on the web, go to:
> > *
> >
<http://groups.yahoo.com/group/amibroker/>http://groups.yahoo.com/grou
p/am
> > ibroker/
> > *
> > * To unsubscribe from this group, send an email to:
> > *
> > <mailto:amibroker-unsubscribe@xxxxxxxxxxxxxxx?
subject=Unsubscribe>amibroke
> > r-unsubscribe@xxxxxxxxxxxxxxx
> > *
> > * Your use of Yahoo! Groups is subject to the
> > <http://docs.yahoo.com/info/terms/>Yahoo! Terms of Service.
> >
> >
> >
> >Send BUG REPORTS to bugs@xxxx
> >Send SUGGESTIONS to suggest@xxxx
> >-----------------------------------------
> >Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
> >(Web page:
> ><http://groups.yahoo.com/group/amiquote/messages/)
>http://groups.yahoo.com/
> >group/amiquote/messages/)
> >--------------------------------------------
> >Check group FAQ at:
>
><http://groups.yahoo.com/group/amibroker/files/groupfaq.html>http://g
roups.
> >yahoo.com/group/amibroker/files/groupfaq.html
> >
> >
> >
> >----------
> >Yahoo! Groups Links
> > * To visit your group on the web, go to:
> > *
> >
<http://groups.yahoo.com/group/amibroker/>http://groups.yahoo.com/grou
p/am
> > ibroker/
> > *
> > * To unsubscribe from this group, send an email to:
> > *
> > <mailto:amibroker-unsubscribe@xxxxxxxxxxxxxxx?
subject=Unsubscribe>amibroke
> > r-unsubscribe@xxxxxxxxxxxxxxx
> > *
> > * Your use of Yahoo! Groups is subject to the
> > <http://docs.yahoo.com/info/terms/>Yahoo! Terms of Service.
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
------------------------ Yahoo! Groups Sponsor ---------------------~-->
Buy Ink Cartridges or Refill Kits for your HP, Epson, Canon or Lexmark
Printer at MyInks.com. Free s/h on orders $50 or more to the US & Canada.
http://www.c1tracking.com/l.asp?cid=5511
http://us.click.yahoo.com/mOAaAA/3exGAA/qnsNAA/GHeqlB/TM
---------------------------------------------------------------------~->
Yahoo! Groups Links
To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|