true,,, Give a read to this thread and all the reference citations. http://www.elitetrader.com/vb/showthread.php?s=&threadid=164157&perpage=6&pagenumber=13 In there you see RV gives a nodd to happenings in 1992. The automation for this pair of funds originated in "92. The two outfits running the fund and money managing the fund's capital. are organized to get these tasks accomplished and, relatively speaking, it costs money to get the tasks done. Sjfan in the above cited explained why quants do not start at 200K salaries. He s sort of specific about what they didn't do and aren't doing and what they are having trouble doing. I figured it would be fun to make a block for each expense of getting the job done and scale the block size to the relative expenses listed. The problem is, that is would be tough for others to check out since square roots would be involved. A whole bunch of my posts dissappeared today, as well. I was gethering about 100 charts on various aspects of learning to be an expert and the groundwork I laid went poof..... Here all we have to deal with is automated trading in funds and how they make money for owners and clients and managers. I'll assume everyone who is professional and getting paid in careers related to funds, knows how churning works. Lets move on keeping all the work posted in the above mentioned thread in mind but assume it is all automated using TA that was proven in around 1992.
Anyway just to demystify fund trading, its TA automation, money management, and what going to B school turned out to mean, here is a chart scaled by expense money to draw blocks of the February expenses. Anyone can see what is going on in this fund and by its management. I'll post the 7 blocks of "expenses" and then the "churning" effort in terms of shares, etc. next. You can guess the location rent and staff running the back room....
The expenses are offset by two forms of income: trading and the net difference of issuances and redemptions. Here is that info for Feb for the trading:
Lets look at how the issuances and redemptions played out. This makes it fairly possible to see the picture of a TA automated fund series B. The A series looks about the same....lol Any movies come to mind???? What is fun to consider now is Andrew Lo as typified by Nitro. It is fun to read the commentary I cited a couple of posts ago. There is all this idle money out there. All thse rich people who want to make their money work for themselves. If they "buy into" the fund myth, what is happening the the profits their applied capital could be making? We see it that the profits of applying capital to markets is just being expensed out by the fubd operators and the fund managers. Is this kind of thing being regulated? By whom? Who teaches people how to do this? B schools teach... Funds hire the best and brightest into this culture. Financial engineering???? LOL......
If you add the issuances and redemptions (the "work" of the crew) you see that they turn the shares of the fund over about every 8 months at the present rate of the operation. You can also see the only difference in series A and Series B is the "risk strategy". On fund limits risk of any trade to 1% and the other limits the risk to 1.5%. All shares started at 1,000 bucks in 2003. Now the "risky" fund is at 2600 and the less risky fund is at 1900. I magine a finder hauling some moneyed people over to a guy selling thse shares. They get to "look" at both Series and choose the one that is suitable for them. The funds operate out of Grenada. And the "inventors" of the Automation are from Austria. Financial planners are selling this stuff all over the US and Europe and the Orient. Look back at how they held the shae NAV price at the same value for 4 years (2004 to 2008). Automating fund trading is simple as you saw. They used "sorting", Bollinger bands and stops and only traded commodities. 165% return over the years 2003 to the Present. Sharpe ratio loud and clear @ 0.43 lol Look at the two numbers there for operators and for clients: 50/50 split right down the middle. Wanna be's ought to enjoy this thread....LOL...
This was probably humor, but ... Stark tracks managed futures. Here's some links to a few reports for those interested: http://www.starkresearch.com/documents/STAR300Q12006Sample.pdf http://miminvestments.com/documents/STAR300Rankings.pdf http://www.traderview.com/pdf/658.pdf http://www.traderview.com/pdf/451.pdf He and another San Diego based company in La Jolla used to be the only places to get info on offshore funds.