Search found 19 matches

by budonk
Tue Jul 10, 2007 5:03 pm
Forum: Testing and Simulation
Topic: The Tactical and Strategic Value of Commodity Futures
Replies: 0
Views: 2589

The Tactical and Strategic Value of Commodity Futures

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=650923 The Tactical and Strategic Value of Commodity Futures CLAUDE B. ERB TCW CAMPBELL R. HARVEY Duke University - Fuqua School of Business; National Bureau of Economic Research (NBER) January 12, 2006 Abstract: Investors face a number of challenge...
by budonk
Thu Apr 05, 2007 9:46 am
Forum: Testing and Simulation
Topic: Cats out of the BAG LTTF VS SWINGING
Replies: 34
Views: 30753

Ted, are you trding this in real time, and if so, does your equity curve approximate the backtest?

Congrats if it even comes close!
by budonk
Tue Feb 13, 2007 11:06 am
Forum: Testing and Simulation
Topic: Trendfollowing applied to asset allocation
Replies: 8
Views: 5816

AFJ - I think Sluggo is referring to the review process of getting a paper published at an academic journal...correct me if am wrong Sluggo. The #1 comment I would make is that the author must make sure he has addressed the target audience for the publication. The readers of the FAJ, JWM, JPM, or JT...
by budonk
Mon Feb 12, 2007 5:28 pm
Forum: Testing and Simulation
Topic: Trendfollowing applied to asset allocation
Replies: 8
Views: 5816

Trendfollowing applied to asset allocation

or, titled " A Quantitative Approach to Tactical Asset Allocation" in this months Journal of Wealth Management.

http://ssrn.com/abstract=962461
by budonk
Thu Nov 02, 2006 12:25 pm
Forum: Stocks
Topic: Systematic equity funds? CTA's that trade stocks?
Replies: 18
Views: 20083

one of the main reasons, imo, is that there is the perception that stocks and stock indices "don't trend". . .
by budonk
Tue Oct 31, 2006 6:45 pm
Forum: Stocks
Topic: Distributions of stocks
Replies: 6
Views: 10727

in that -4% figure, did you include the t-bill return from the broker on the short sales? institutional accounts can usually get a short rebate. . .
by budonk
Thu Oct 05, 2006 2:53 pm
Forum: Stocks
Topic: FOFs and hedge funds
Replies: 0
Views: 3855

FOFs and hedge funds

I am interested in investing in listed hedge funds and FOFs abroad (I am in the US).

Do any of our London, Amsterdam, etc members have any experience with investing in listed funds? ie the recent announcement of KKR and Goldman Sachs to list funds in Europe?

or the LPX50 Index?

Anyone?
by budonk
Fri Sep 08, 2006 1:19 pm
Forum: Stocks
Topic: listed alternatives
Replies: 3
Views: 4919

i find it suprising that no one invests in listed alternatives. . .

i think its only a matter of time before you see one listed in the US. . .
by budonk
Tue Sep 05, 2006 3:09 pm
Forum: Stocks
Topic: listed alternatives
Replies: 3
Views: 4919

bump
by budonk
Fri Sep 01, 2006 4:27 pm
Forum: Stocks
Topic: listed alternatives
Replies: 3
Views: 4919

listed alternatives

does anyone here invest in listed alternative funds? i am speaking of the trend of KKR, Goldman, etc to list funds on foreign exchanges (mostly London, Amsterdam, Australia, Canada, etc). Lots of Fund of Funds that list too. Anyone have any favorites? It seems like a very simple way for the US inves...
by budonk
Wed Jul 19, 2006 4:01 pm
Forum: Brokers
Topic: Hedge Fund Advisory
Replies: 0
Views: 3881

Hedge Fund Advisory

I am looking for a hedge fund advisory to work as a consultant picking hedge funds and FOFs - does anyone have any experience working with any? Suggestions, comments? Below are a list of names I've come across: Greenwich Van Altegris Investments Hennessee Group HFR Asset Managment Cambridge Associates
by budonk
Mon Apr 10, 2006 8:43 pm
Forum: Testing and Simulation
Topic: Mt. Lucas Index
Replies: 0
Views: 2511

Mt. Lucas Index

I enjoy reading AFJ Gardners posts, and I saw that he referenced the Mt Lucas Index. . . There is a good paper on the composition of trendfollowing returns from the Mt Lucas Index here: http://www.edhec-risk.com/site_edhecrisk/public/edhec_publications/RISKReview.2005-02-02.1924 most interesting is ...
by budonk
Fri Jan 20, 2006 3:02 pm
Forum: Testing and Simulation
Topic: Interest rates and historical testing
Replies: 5
Views: 4088

Interest rates and historical testing

is that margin/interest rates are not fixed hisotrically. if you look at the mt. lucas index (and a number of other CTA studies) you will find that the tbill return is a MAJOR contributor to managed futures returns (in many cases, about half). so, "fixing" the margin and t-bill rates doesnt make sen...
by budonk
Thu Jun 23, 2005 5:59 pm
Forum: Money Management
Topic: Bill Dunn & Dunn Capital Mgt.
Replies: 3
Views: 5244

i've always thought an updated version of those books with performance updates since publishing would be very interesting.

dunn has a great interview in the book by Art Collins.
by budonk
Fri Jan 14, 2005 11:45 am
Forum: Data Providers and other non testing software
Topic: Whats happened to Troy (oowdg)??
Replies: 25
Views: 19104

where did the original data included with Veritrader come from? and why didnt you decide to include a much more robust database with the product (ie i imagine you could ship an option with 30 years of data and people would pay for it already being integrated) i say this after having already spent tw...
by budonk
Thu Nov 18, 2004 2:31 pm
Forum: Testing and Simulation
Topic: reuters datalink
Replies: 3
Views: 3469

reuters datalink

since oowdg never came through, i was looking for a cheap alternative and i subscribed to reuters datalink ($25/month) because they included a ton of contracts(>200) and entire history for each. unfortunately, they only allow roll on expiration, although they have the files for the next contract out...
by budonk
Fri Oct 15, 2004 1:53 pm
Forum: Data Providers and other non testing software
Topic: Whats happened to Troy (oowdg)??
Replies: 25
Views: 19104

after purchasing the eod futures data from oowdg almost two weeks ago i have not received the cd(2 day air). nor do any of the telephone numbers on the site work, nor does troy respond to my emails. does anyone have a contact number for oowdg? the site/customer service leads me to believe i would ne...
by budonk
Wed Aug 25, 2004 10:32 am
Forum: Testing and Simulation
Topic: Cost of Production
Replies: 10
Views: 8627

hi gary, great results. depending on how small the stop is, the Veritrader testing engine might not treat those stops correctly(No inside bar lookback). Not to say those results are not correct, just want to warn you.
by budonk
Fri Jul 23, 2004 1:20 pm
Forum: Testing and Simulation
Topic: Individual contribution of factors...
Replies: 0
Views: 2570

Individual contribution of factors...

I've seen some discussion of the various contibutors to turtle performance...and I tested a few that contradict what some other people here posted, so I wanted to get some commentary... Unit Add ...(All of these are with the original turtle parameters,)I first tested the Unit Add(ATR), and my result...