Interesting Divergence Data

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Roundtable Knight
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Interesting Divergence Data

Post by DPH » Fri Feb 17, 2012 6:34 am

I am curious to know if anyone else finds the following type of data potentially useful (and how?)...

It is a sort of "money flow" graph comparing a CTA's Assets Under Management (AUM) with their actual performance (VAMI)

Below you can see some enormous divergence between these two. I also added an additional dimension to the data I called "velocity"......As the lines thicken and get darker it means that on a percentage basis AUM is rising faster than the VAMI (IE New Investment)...As the lines get thinner and lighter AUM is falling faster than VAMI (Withdrawals)...

Personally I feel I feel there could be some nuggets in here with the right application.....Just thought I'd toss it out for feedback if anyone cares to share...



Roundtable Knight
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Post by Chris67 » Fri Feb 17, 2012 7:24 am

I update a monthly index of TF funds - which some people on this forum have asked me to send them - our own TF Index as it were
One thing I have noticed over the last year or so is the very large amount of money going in - obvioulsy mostly to Winton

I work on a very simple methodology backed up by nothing other than gut feel - that when money is being thrown into TF it dont work and when all the money leaves it works - kind of as CF alluded to.

I think we need to see some serious money leave TF before we get a run up - perhaps that will be performance induced - perhaps as people scramble to cover their losses in other investments (bit like what happened to Winton in late 2008 i.e. being huge sometimes means you have huge withdrawls even when you are winning and the bigger you are teh more this is going to become a problem!!!)

For me it again all points to my massively strong gut feel that we are very much on the verge of something very nasty here
I dont know how many out there read Zero Hedge and understand this is probably the place one is likely to get a true feel for what is happening / coming - but quite a few think we are on the verge of a catastrophe here and I couldnt agree more
Lets see what that does to TF assets
and performance !!

Lee MacFarlane
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Post by Lee MacFarlane » Sun Feb 19, 2012 1:58 am

I for one really find it interesting Denis.

I would also like to have the TF graph as well Chris, but I'm sure its for a select few only. Catastrophe or not, can you make money on it?

cheers, Lee.

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