Title of this thread indicated that why should anyone with this specific fund? Are you now questioning entire Managed futures strategy funds?...
This was a good book when I did the interviews with banks(quite a while ago). [MEDIA]
"Is it possible to make consistent profits from trading?" This question implies that there is free lunch in the market, that can be exploited...
CFA is more about investment and portfolio analysis rather than trading as done in this forum. Options are not big part of CFA either.
"30 day constant maturity futures contract" is correct, but number of N contracts may not be correct (or I might be interpreting wrong) Here is...
Any statement that refers Buffet as a trader is a oxymoronic statement. His holding period is probably higher than most of the "buy and hold"...
This is also magical place, atleast for me. http://bit.ly/2gKB5D1
* I believe SPX was the first market to introduce options, so lot more institutional following and deeper liquidity. * Lot more portfolio's are...
Agree. If the levered ETF can not beat out Futures in favorable conditions like today, it will be much more difficult during the time of stress...
Portfoliovisualizer does take into account dividends. It is easy to test it out. Portfolio 1: VFINX (SP500 vanguard mutual fund) Portfolio 2: SPY...
Thanks. I looked up short rates at IB. They are much lower. [ATTACH] So for Portfolio2: It is about (2.09% + 2.16%)*3 (borrow rate+margin rate)...
It is just a theoretical exercise. You are absolutely right, it does not take into account "hard to borrow" issues or short rates. For this...
You are right about just for holding long futures vs long levered ETF. Question I was asking from Ryan81's post was whether it is better to get...
Backtest of this portfolio is really interesting. In Portfolio1, I shorted twice 3xbear vs 1 time 3xbull, So it is effectively long 3xbull etf. In...
I also take what Rob Arnott says with grain of salt. He is a value guy and his firm pushes fundamental index etf's. He is also founder of the...
They are not trading spot. They are using currency futures. This is from current prospectus. [ATTACH] When i said rebalancing constituents,...
You are right. Their float is tiny. Any insight on their rebalancing. It seems strange to rebalance once a year for carry strategy.
Carry usually associated with currency, which DBV is. But Carry factor can be everywhere....
You should check out globalarbtrader thread. He combines carry and momentum in his trades....
This is not you requested, but best free source for US is CRSP or shiller database, free global data for each country is impossible to get....
Separate names with a comma.