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<DIV><FONT color=#000000 size=2>Does anyone know the formula for calculating
Risk Adjusted Return?</FONT></DIV>
<DIV><FONT color=#000000 size=2><BR>Regards,</FONT></DIV>
<DIV><FONT color=#000000 size=2></FONT> </DIV>
<DIV><FONT color=#000000 size=2>Bill Saxon<BR><A
href="mailto:bsaxon@xxxxxxxxxxx";>bsaxon@xxxxxxxxxxx</A>m</FONT></DIV></BODY></HTML>
</x-html>From ???@??? Thu Apr 15 09:25:53 1999
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Date: Thu, 15 Apr 1999 11:26:03 -0400
From: Vitaly Larichev <vitaly@xxxxxxxxxxxxx>
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To: metastock@xxxxxxxxxxxxx
Subject: Re: Fair Value of S&P Futures
References: <370FBB2A.E92224AB@xxxxxxxxxx>
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marton@xxxxxxxxxx wrote:
> Is there a site on the web that reports daily fair value for S&P
> futures? I understand that one can guesstimate when programmed buy/sell
> programs might kick in by comparing the calculated fair value to current
> quotes for the futures.
>
> SM
Hi,
The only site I am aware of which gives Fair Value for S&P futures every
night for "today" is
http://www.glen-net.ca/sp500_daytrend/
It seems a one-man-shop, so sometimes updates are delayed or missed. But
nonetheless, it gives me what I need, especially since
Fair Value decreases very gradually from day to day. So you can easily
extrapolate forward from yesterday, or a couple days back. Now Fair Value
1-day change for June contract is about -0.1. Sometimes I pick up FV from
CNBC channel (TV). It makes
a basis for a few next days if the site happens "out of service".
Again, I don't trade S&P futures, and use SP500 June futures vs. SP500 Cash
Index only as early morning, preopening indication of how futures traders
feel about S&P. Or, in other words, it's the best way for me to be alerted
to important news I might miss otherwise.
Cheers, Vitaly
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