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>Let's consider the X-Fund-Y1 composed of grains: By smart utilization of
>spreads the designer was able to reduce the margin to $473. Currently this
>fund is $200 in the money, which equates to a 50% return on risk
>capital....
Isn't the tick size $100? So slippage of one tick in, and one tick
out is $200.... add commish and fees and that "50% return" is a small
loser....
You are correct; I did not take it into consideration. Though the fund did close out $400 up.
>The next challenge would be to design a trading system around the X-Fund
>components that will outperform the X-Fund over its 2-week life span.
I'm curious where you would even start with the components changing
every two weeks, or why you would even try at this point with volume
so low.
I believe X-Funds are here to stay, and in time we should see more volatile funds. Fund X has ventured to include a full DJ contract this time round. As for a system, Fund Y2 utilized 2 of its prior funds components, and I utilized all 4 of my prior O-Funds components. I guess only time will tell if one can create a system to buy/sell future contracts against the fund components, which will exceed the fund's performance at expiration.
Kind regards,
Barry V
BW
>From: "Barry Viljoen" <burgett@xxxxxxxxxxxx>
>Reply-To: <burgett@xxxxxxxxxxxx>
>To: "Omega-List" <omega-list@xxxxxxxxxx>
>Subject: O-Fund from 15 Feb to 28 Feb
>Date: Thu, 14 Feb 2002 11:28:59 -0500
>
>Good morning List,
>
>Here are my components for the second round of O-Funds:
>
>Short Gold (GC J2)
>Long Copper (HG H2)
>Long Emini (ES H2)
>Long 10-Year Note (TY H2)
>
>If this where an X-Fund approximate margin required would be $4335.00
>
>With the first round of X and O funds closing out at the end of today's
>trading, how does one asses the performance?
>Up until now we have been looking at return on initial capital, and
>ignoring margin requirement. As prudent speculators/traders should one not
>also be looking at return on margin (capital at risk), as well as return on
>maximum Equity drawdown (sleep-deprivation index)?
>
>Let's consider the X-Fund-Y1 composed of grains: By smart utilization of
>spreads the designer was able to reduce the margin to $473. Currently this
>fund is $200 in the money, which equates to a 50% return on risk capital,
>with very little volatility. In fact this fund moved at about the same pace
>at which the grain components are growing.
>
>On the other side of the coin, is return on initial capital important for
>X-Funds? (John had mentioned in a prior posting that the initial capital
>should be reset to the original amount at the start of each new X-Fund.)
>Traders are now looking for a dominant component in a fund, with the other
>components buffering the negative effect or enhancing the positive effect
>of the dominant component (see CBOT product spotlight). With a dominant
>component in a fund and sufficient volatility one could trade the fund in
>either direction and still make money.
>
>Consider Mark Brown's fund that headed south, though the margin requirement
>was high, had you shorted this fund with a trailing stop, you would have
>been left with a handsome return.
>
>Has anyone got some ideas on how we should assess the performance of these
>funds?
>
>The next challenge would be to design a trading system around the X-Fund
>components that will outperform the X-Fund over its 2-week life span.
>
>Regards,
>Barry Viljoen
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