[amibroker] Re: Mutual funds are outperforming ETFs big time, but they shouldn't...why?

["graphman27" <steve@xxxxxxxxxxxxxxxxxxx>]

Excellent points.  I love this Group!

--- In amibroker@xxxxxxxxxxxxxxx, "wavemechanic" <fimdot@xxx> wrote:
>
> 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 ----- 
>   From: Sidney Kaiser 
>   To: amibroker@xxxxxxxxxxxxxxx 
>   Sent: February 24, 2010 10:01 PM
>   Subject: [amibroker] Mutual funds are outperforming ETFs big time, but they shouldn't...why?
> 
> 
> 
> 
>         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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