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At 9:41 AM -0400 5/6/98, Bill Bancroft wrote:
>You bring up a great point about the Rydex series of funds. I have tested
>the Nova fund with our stock model, and the return is not exactly 150% of
>the S&P, but the maximum drawdown was greater than 150% of the S&P. I was
>stumped. There was an article on these type of funds either in WSJ, IBD, or
>Barron's, I can't remember which, that said the same thing.
I had the same question a while ago and ran some tests comparing the
performance of the Rydex fund vs the S&P500 cash index. My concern was how
closely the fund tracked the index on a day-to-day close such as you would
need for daily switches.
I calculated the following ratio on daily data for the past eight years:
(Close of Rydex Today - Close of Rydex Yesterday) / Close of Rydex Today
divided by:
(Close of S&P Today - Close of S&P Yesterday) / Close of S&P Today
Ideally, if Rydex tracked the S&P perfectly, the ratio would equal 1.50
every day.
The attached a GIF file shows the distribution of this over the past 8
years. As you can see, it ranges from about 0 to about 3 with a standard
deviation of about 0.6 (if you don't count the significant number of values
that are way off, ranging from -145 to +214).
Similar tests on ProFunds and SPDR's showed similar results.
Bob Fulks
Attachment Converted: "c:\eudora\attach\Rydex.gif"From ???@??? Sat May 09 01:45:01 1998
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Date: Wed, 06 May 1998 09:17:43 -0700
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From: wes blake <amerskin@xxxxxxxxxxxxxx>
To: RealTraders Discussion Group <realtraders@xxxxxxxxxxxxxx>
Subject: VIX
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Howdy,
Can someone please tell me how the VIX number I get over DTN is
computed. This is a volitility #, and also I would like to know if
anyone uses this number intraday to detemine whether or not to trade or
to decide how much to risk. I appreciate it if anyone can clue me in on
this number.
shooting,
Wes
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