Search found 19 matches
- Tue Jul 10, 2007 5:03 pm
- Forum: Testing and Simulation
- Topic: The Tactical and Strategic Value of Commodity Futures
- Replies: 0
- Views: 3369
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...
- Thu Apr 05, 2007 9:46 am
- Forum: Testing and Simulation
- Topic: Cats out of the BAG LTTF VS SWINGING
- Replies: 34
- Views: 39636
- Tue Feb 13, 2007 11:06 am
- Forum: Testing and Simulation
- Topic: Trendfollowing applied to asset allocation
- Replies: 8
- Views: 7829
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...
- Mon Feb 12, 2007 5:28 pm
- Forum: Testing and Simulation
- Topic: Trendfollowing applied to asset allocation
- Replies: 8
- Views: 7829
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
http://ssrn.com/abstract=962461
- Thu Nov 02, 2006 12:25 pm
- Forum: Stocks
- Topic: Systematic equity funds? CTA's that trade stocks?
- Replies: 18
- Views: 24555
- Tue Oct 31, 2006 6:45 pm
- Forum: Stocks
- Topic: Distributions of stocks
- Replies: 6
- Views: 13811
- Thu Oct 05, 2006 2:53 pm
- Forum: Stocks
- Topic: FOFs and hedge funds
- Replies: 0
- Views: 4593
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?
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?
- Fri Sep 08, 2006 1:19 pm
- Forum: Stocks
- Topic: listed alternatives
- Replies: 3
- Views: 6353
- Tue Sep 05, 2006 3:09 pm
- Forum: Stocks
- Topic: listed alternatives
- Replies: 3
- Views: 6353
- Fri Sep 01, 2006 4:27 pm
- Forum: Stocks
- Topic: listed alternatives
- Replies: 3
- Views: 6353
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...
- Wed Jul 19, 2006 4:01 pm
- Forum: Brokers
- Topic: Hedge Fund Advisory
- Replies: 0
- Views: 4696
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
- Mon Apr 10, 2006 8:43 pm
- Forum: Testing and Simulation
- Topic: Mt. Lucas Index
- Replies: 0
- Views: 3303
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 ...
- Fri Jan 20, 2006 3:02 pm
- Forum: Testing and Simulation
- Topic: Interest rates and historical testing
- Replies: 5
- Views: 5628
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 doesn...
- Thu Jun 23, 2005 5:59 pm
- Forum: Money Management
- Topic: Bill Dunn & Dunn Capital Mgt.
- Replies: 3
- Views: 6748
- Fri Jan 14, 2005 11:45 am
- Forum: Data Providers and other non testing software
- Topic: Whats happened to Troy (oowdg)??
- Replies: 25
- Views: 25237
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...
- Thu Nov 18, 2004 2:31 pm
- Forum: Testing and Simulation
- Topic: reuters datalink
- Replies: 3
- Views: 4875
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...
- Fri Oct 15, 2004 1:53 pm
- Forum: Data Providers and other non testing software
- Topic: Whats happened to Troy (oowdg)??
- Replies: 25
- Views: 25237
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...
- Wed Aug 25, 2004 10:32 am
- Forum: Testing and Simulation
- Topic: Cost of Production
- Replies: 10
- Views: 11361
- Fri Jul 23, 2004 1:20 pm
- Forum: Testing and Simulation
- Topic: Individual contribution of factors...
- Replies: 0
- Views: 3170
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...