Traders' Roundtable

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 ...

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

Congrats if it even comes close!

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 ...

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

http://ssrn.com/abstract=962461

one of the main reasons, imo, is that there is the perception that stocks and stock indices "don't trend". . .

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. . .

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?

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. . .

bump

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 ...

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 ...

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 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 ...

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.

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 ...

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 ...

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 ...

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.

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 ...