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Try using an unadjusted price series for the futures and select two of the contract expiration dates as the starting an ending points, respectively.
Bob Fulks
At 01:46 PM 10/28/2009, you wrote:
>I'm not sure I follow you .. let me say it a slightly different way:
>The end prices are the same (1050) ..
>The capital gains available in each time series must be identical so the net
>price change AFTER CARRY is the same
>Therefore the forward price of the index = the start price of the
>back-adjusted contract
>So far, very easy .. now what is the calculation that does that. I (think
>I)know that too:
>Start price*(1+net carry)^periods = fwd price
>
>That's all there is to this (as far as I can tell) so now I am struggling
>to get that implied net carry number to make some sense
>
>-----Original Message-----
>From: DH [mailto:catapult@xxxxxxxxxxxxxxxxxx]
>Sent: Wednesday, October 28, 2009 10:04 AM
>To: Omega List
>Subject: Re: Recreating the back adjusted vistorical number
>
>You're never going to get it to work using back-adjusted (addition
>method) contracts and calculating percentage gain/loss. If the real
>contract went from 100 to 110, that's a 10% gain. If your adjusted
>contract goes from 500 to 510 over the same time period, that's only a
>2% gain. I don't see any easy way to reconcile the two. Bad data in, bad
>result out.
>
>--
> Dennis
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