Search found 102 matches
- Sun Jun 22, 2008 4:17 pm
- Forum: Testing and Simulation
- Topic: Long term trend following on equities a fool's game?
- Replies: 64
- Views: 53402
- Tue Jul 17, 2007 10:26 am
- Forum: Testing and Simulation
- Topic: R-Multiple misleading ?
- Replies: 24
- Views: 22987
And what would your top choice of 5 more general hedge funds be? I have no favorites from the typical hedge fund styles like merger arb, conv arb, rel val, distressed, event driven, or mkt neutral. I believe these are very crowded with managers that are all chasing the same finite alpha. I've seen ...
- Mon Jul 16, 2007 7:57 am
- Forum: Testing and Simulation
- Topic: R-Multiple misleading ?
- Replies: 24
- Views: 22987
- Sun Jul 15, 2007 4:37 pm
- Forum: Testing and Simulation
- Topic: R-Multiple misleading ?
- Replies: 24
- Views: 22987
- Sat Jul 14, 2007 2:26 pm
- Forum: Testing and Simulation
- Topic: R-Multiple misleading ?
- Replies: 24
- Views: 22987
Of course Eric, there is one very important way in which your trading on equities differs from TF on futures. Futures have a limited universe - one tends to like to maximise the gains from a given trend and therefore may be willing to suffer give back. After all, we have only 70 or 100 futures each...
- Thu Jul 12, 2007 4:41 am
- Forum: Testing and Simulation
- Topic: R-Multiple misleading ?
- Replies: 24
- Views: 22987
- Mon May 28, 2007 7:12 pm
- Forum: Stocks
- Topic: ilYzyPKPwhICaq
- Replies: 88
- Views: 118284
Re: Dividend Adjustment Lag?
ecritt How many days lag are there in CSI data when they adjust for dividends? You raise a good point!! HMMM I may be acting on a few false sell siganls when dividends are being paid out. There is no lag. The ex-dividend dates are well known in advance. The adjustments are automatically processed d...
- Fri Feb 16, 2007 1:15 am
- Forum: Testing and Simulation
- Topic: Trading using Random Entries (Van Tharp book method)
- Replies: 20
- Views: 51513
One other possibility is that the pseudo-random number generator for whatever simulation software he used did not have an adequate dispersion of random values. In other words, it wasn''t as random as it needs to be for this sort of test. Computer pseudo-randomnumber genrators that are supplied by t...
- Fri Feb 09, 2007 10:44 pm
- Forum: Data Providers and other non testing software
- Topic: CSI Stock Data - further dangers
- Replies: 5
- Views: 7386
I've researched dozens of randomly selected delisted stocks from the CSI database; some the result of mergers, some banruptcies. Post 1990 I've found little reason for complaint. Before 1990 there are clearly some omissions. Realtime performance of the database has given me no problems. If you are f...
- Mon Feb 05, 2007 2:42 pm
- Forum: Data Providers and other non testing software
- Topic: CSI Stock Data - further dangers
- Replies: 5
- Views: 7386
Mergers and spinoffs can get very confusing. Looks like Jefferies Group absorbed Quantex and later spun it off as ITGI, only to reacquire ITGI some years later in a convoluted merger involving multiple entities that resulted in ITG and JEF both listed on the NYSE. ITG and Jefferies. ITG began in 198...
- Wed Jan 31, 2007 10:34 am
- Forum: Data Providers and other non testing software
- Topic: CSI Stock Data: Reliability of Start Dates?
- Replies: 20
- Views: 26407
- Sun Dec 03, 2006 3:48 am
- Forum: Stocks
- Topic: Systematic equity funds? CTA's that trade stocks?
- Replies: 18
- Views: 24808
Eric: you certainly bring up a good point regarding Rentec. They have already surpassed the $10B mark in assets under management (in less than a year) and they were up over 12% YTD through August. Rentec does employ a long-term long-only approach but I suspect that their goal is return enhancement r...
- Wed Nov 01, 2006 6:23 pm
- Forum: Stocks
- Topic: Systematic equity funds? CTA's that trade stocks?
- Replies: 18
- Views: 24808
- Tue Oct 31, 2006 7:05 pm
- Forum: Stocks
- Topic: Distributions of stocks
- Replies: 6
- Views: 13921
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. . . Our true cost of borrow is approx 50 basis point. We can borrow at libor + 25 bps, short stocks which brings in cash, invest the cash at libor - 25 bp...
- Tue Oct 31, 2006 4:00 pm
- Forum: Stocks
- Topic: Distributions of stocks
- Replies: 6
- Views: 13921
Assuming that a trend-follower has the ability to short stocks as well, survivorship bias would imply higher returns in live trading compared to back-test (probably higher risk-adjusted returns as well). This is true. But, this is usually nullified (for most people) because they are backtesting on ...
- Tue Oct 31, 2006 3:21 pm
- Forum: Stocks
- Topic: Systematic equity funds? CTA's that trade stocks?
- Replies: 18
- Views: 24808
- Mon Oct 30, 2006 8:21 pm
- Forum: Stocks
- Topic: Systematic equity funds? CTA's that trade stocks?
- Replies: 18
- Views: 24808
I think Campbell's equity trading is both short volatility and very short-term (1 or 2 day hold times). Nothing against Campbell, they are clearly very smart people, but I do not understand why they and every other CTA choose not to offer a long-term cash equities program. The traditional asset spac...
- Sun Oct 29, 2006 9:22 pm
- Forum: Stocks
- Topic: Systematic equity funds? CTA's that trade stocks?
- Replies: 18
- Views: 24808
The one that trades stocks (STOCX) does. Thank you.sluggo wrote:Do these five mutual funds fit your definition: http://www.fundxfund.com/ ?
- Sun Oct 29, 2006 8:37 pm
- Forum: Stocks
- Topic: Systematic equity funds? CTA's that trade stocks?
- Replies: 18
- Views: 24808
- Mon Oct 23, 2006 3:17 pm
- Forum: Stocks
- Topic: Systematic equity funds? CTA's that trade stocks?
- Replies: 18
- Views: 24808
Systematic equity funds? CTA's that trade stocks?
Does anybody on this forum have knowledge of any truly systematic equity mutual funds and/or hedge funds? By systematic I mean purely price/statistics based, not quantitative evaluation of fundamental metrics. Or..... CTA's / Global Macro firms that have programs that trade cash equities??? Thank yo...