Estimating Future Risk…

Discussions about Money Management and Risk Control.
kianti
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Post by kianti » Wed Feb 09, 2011 4:01 am

Chris67 wrote:Its interesting to note how neither of these funds DH has mentioned are trend followers - but they are CTA's - Once again paying homage to the fact that CTA Does nOt equal trend follower and therefore you cannot compare their M/E ratio's with somebody like Abraham as its comparing apples to oranges
Maybe you can, please correct me if I got it wrong.
SPAN: March/April 2008
SPAN:The First 20 Years
Happy anniversary! With little fanfare the CME Group is celebrating the 20th anniversary of the launch of Standard Portfolio Analysis of Risk, or SPAN—a methodology for evaluating risk and calculating margin requirements that revolutionized futures and options risk management when it was introduced and today serves as an industry standard around the world.
If there's a SPANNER around, it would be nice to see a chart of historical margins, CT,SB,...

SPAN

Best regards, as ever
Attachments
tmspan_margining043001.pdf
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LeapFrog
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Post by LeapFrog » Wed Feb 09, 2011 9:50 am

LeviF wrote:
LeapFrog wrote:...I have run as high as 80 percent margin to equity intraday and often average around 40 to 50 percent.
What sort of drawdowns are you realizing with this level of heat?
A level that I can stand - less than the numbers above though.

LeviF
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Post by LeviF » Sun Feb 13, 2011 10:46 pm

Where'd the charts go?

DPH
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Post by DPH » Sun Feb 13, 2011 10:53 pm

Whoops, was messing around with my website and accidentally erased them! I'll re-post them here shortly.

LeviF
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Post by LeviF » Mon Feb 14, 2011 12:26 am

What is the definition of "average drawdown"?

DPH
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Post by DPH » Mon Feb 14, 2011 1:47 am

Levi,

Good question, I subscribed to, and compiled the data from Barclay Hedge, but I do not have their exact definition of average drawdown. I will find out and post back.

In the meantime, if you are interested, you can view an “interactiveâ€

kianti
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Post by kianti » Thu May 05, 2011 8:07 am

Silver Investors Dump Futures as Comex Boosts Speculator Trading Costs 84%
[quote]CME raised margins after “unprecedented high levels of volatility,â€

Chelonia
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Post by Chelonia » Thu May 05, 2011 4:53 pm

Who made money today?

After today´s sell-off our equity was unchanged at close of business compared to yesterday´s closing equity.

LeviF
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Post by LeviF » Thu May 05, 2011 8:33 pm

Chelonia wrote:Who made money today?

After today´s sell-off our equity was unchanged at close of business compared to yesterday´s closing equity.
Ha, getting killed so far this month.

Chris67
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Post by Chris67 » Fri May 06, 2011 6:54 am

who turned the lights off ?

does anyone still doubt that when one trade ends violently - all established trends seem to go with it
witness may 2006
summer 2008
yesterday

crude down 16% in 24 hours at one point this morning silver down 35% in a week or so !!! oh i love trend folowing
i believe in markets / trends etc - but sometimes its just s aliitle hard to believe bigger manipulative hands are not at play - witness this mornings stop loss run in crude oil = nothing more nothing less
c

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