JP Morgan launches Managed Futures ETF https://am.jpmorgan.com/us/en/asset...-strategy-etf-etf-shares-46641q829##Documents Approach Employs a rules-based, bottom-up approach to building a diversified portfolio of managed futures strategies in a cost-effective manner Invests globally to take advantage of opportunities across a broad range of asset classes including equities, fixed income, currency and commodities based on relative attractiveness Seeks to identify a set of investment return sources with distinct risk and return profiles that have a low correlation to one another and to traditional markets
Sent you a long PM on this, as I don't want to pollute this thread (GAT is probably already upset with me getting on this tangent).
GAT, I notice the middle of your name is 'arb'. Did you or do you engage in arbitrage ? I'm a great fan of arbitrage and was an extremely successful sports arbitrageur (I even wrote a mildly successful book on the subject) until I finally had to stop as I'd run out of accounts. I'm therefore looking for alternative markets and wondered, if you had any arb trading experience, you could point me in the right direction. Keep up the good work btw....
The short answer is 'no', I've never done much arbitrage. I originally used this username when I was a member of the discussion board community UK branch of fool.com (now sadly demised, but mostly in other hands now at lemonfool.co.uk). At the time I was trying to disguise my identity so I deliberately chose a username that was almost completely opposed to the type of trading I was doing (you may well ask why I didn't choose something without the word 'trader' in it. I guess I wanted the fake authenticity that having the word trader in my username would give). Naively the largest opportunities for arbitrage right now are across crypto exchanges where prices yesterday were thousands of dollars apart. Of course there are obvious dangers with that strategy GAT Not at all. I am extremely proud of the fact that this is probably the only thread on ET where this is consistently high quality and helpful discussion about futures and systematic trading.
GAT, thanks for the reply. OK, no problem. I've looked into arbitrage with the cryptos and coinigy.com have a great interface and api one can work with but the issue is the honesty of the exchanges and getting your money out. So many look to build up a client base and then run an exit scam I've decided cryptos are not for me....btw I did run a forex locking latency arbitrage on MT4 for a week but one of the brokers soon started delaying my trades, so that was halted too. MT4 is after all a brokers playground I suspect most of the clever guys (banks) with huge trading balances have blown most of all arbitrage possibilities away but I'll keep looking....have fun...
Sle is one of the few truly legit members on ET. I hope he posts more, not less, on this thread and elsewhere. Certainly would be an improvement on five pages of "how do I roll futures to the next expiry??"...
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There are various little pockets of arbitrage out there, but usually they have to do with some form of risk. To quote myself, "there are no free lunches, just cheap lunches" LOL, yeah. To close out the rolls and bagels discussion, here is what I told FCT: I took spooz as an example. Usually this type of shit happens in various back-waters, especially places where shorting is difficult (Thailand, for example). What happens is the various accounts (long/short, quant) are perpetually long stock via rotating inventory. The are holding futures to keep themselves market-neutral. So they are "forced rollers", while the long accounts are usually much more opportunistic - locals, macro accounts etc. Sometimes, a bunch of shorts need to roll and end up shoving the distant contract a fair bit down. Think of it this way; even though for every seller there has to be a buyer, if the seller is trading to open (i.e. adding open interest), the buyers might step out a little. Dividend futures are only liquid in Stoxx50 (very interesting market, but way too small). SPX has an active div swap market in OTC (which makes it an easy way to get fucked with a chain saw). On something short-dated like front/second month futures roll, best way would be to trade EFP - you short a basket of stock and carry futures against it. Index arb desks do it all the time, though it's a PIA if you are not set up. However, the reason why rolls are mispriced is exactly because index arb is impossible to do. Forget rolls - in fact, places like China (mainland) has futures mispriced by as much as 20% annualized sometimes and there is no easy way to play it since shorting is so hard. Well, when it is really our of wack, I sometimes would decide not to roll (as I described). There is probably some opportunity to buy rolls early when they are cheap and provide liquidity when the hoards come, but that would be very capacity constrained (like weeks before maybe you can grab a few lots, so you'd make a grand or so). Modeling fair value for rolls is hard(ish). You need to know dividend projections and dates for all stocks in the index, plus understand the local funding situation - a veritable PIA when you are dealing with some 3-rd world countries. Cheers S
Has anybody here tried using one future price series to forecast another? So taking pairs, such as cattle/feeder, or bund/eurooat, and using that relationship?