Traders' Roundtable

Good point there and the answer is very much dependent on the average time to maturity exposure of the fund. Zero coupon bonds having no income, just pure exposure to the leveraged price of the longest maturity dates, but to me the question remains as the answer to your question is it has varied gre...

Even when you take the cash earned on collateral, the majority of the profits earned by TF following funds have been in capturing the price movements in rates so I'm not sure I see your point. Bond funds may be different in that they are eternally invested in bonds and as such reap all the income as...

I'm not quite sure which forum to post this question in, but as some of you may have already considered this issue in designing a system, here's the basic question. I've read that "Rates" are responsible for a majority of the profits in trend following systems for the past 30 years or so (...