For the past several years, ILF and MALTX are usually
highly correlated with a correlation coefficient hanging around 1 but before
then things were not so clean and there were periods of quite poor
correlation. However, irrespective of their correlation
their portfolios are quite a bit different so they are really
apples and oranges. ILF is fixed at the S&P LA 40 Index and
MALTX is whatever the manager feels like doing on any particular day but
typically has about 100 positions in the fund with an average turnover rate
of "X" days. As a result, their relative performance will sometimes
be very close and less so at other times. The relative performance (%) for
various periods picked at random are as follows (starting date shown to
present):
MALTX
ILF
8/20/03
480
398
4/12/05
200
178
7/05/06
76 70
6/07/07
13
14
2/15/08
-4
-7
8/21/08
1.4
-4
9/14/09
11
9
How they behave with any particular system is a
different matter and may or may not be the same as the relative performance data
which by eye appears to give the edge to the fund.
Bill
----- Original Message -----
Sent: February 24, 2010 10:01 PM
Subject: [amibroker] Mutual funds are
outperforming ETFs big time, but they shouldn't...why?
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I ran a couple of quick tests to check out this
possibility. I used ILF and MALTX from 1 Jan 2006 to
date.
2 ma xover: the fund outperformed etf by a large amount but
both grossly under performed B&H.
Kirshenbaum Bands: the etf
return was quite a bit greater than the fund and both considerably out
performed
B&H.
etf
212%
76%
b&h
fund
140%
61% b&h
For this test I did a quick optimization of the
system parameters and then ran the old V4.4 backtester to generate
comparable results for the two securities on one run. Running the
same system with the same parameters over the same time
span.
Perhaps you might want to keep poking around with this
idea.
Cheers
Sid
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