Verisimilitude Fund

Discussion in 'Journals' started by Pekelo, Jul 15, 2006.

  1. Pekelo


    Short from 1293
    #71     Aug 16, 2006
  2. Pekelo


    Yesterday was a good example why the fund should be in long position pretty much all the time, except at clear downmoves. After the PPI was announced premarket, the futures jumped 10+ points and never looked back during the day, thus the market gained 1 % on the fund. This morning the CPI came out and the market jumped another 5-6 points me being flat at that time.

    For the rest of the year I will leave the long position in for much longer periods of time. Right now I am short because I am counting on a little pullback...
    #72     Aug 16, 2006
  3. you still short? how long do you plan on holding?

    also I was wondering if we could get a summary of your results so far- as far as points won on how many trades. Thanks.

    #73     Aug 16, 2006
  4. Pekelo


    Still short until this second gap gets filled. The stats is 67.75 points with 20 trades, only 1 loser of 4 points, in a month, when not everyday was traded.
    #74     Aug 16, 2006
  5. Pekelo


    Covering at breakeven 1293...
    #75     Sep 11, 2006
  6. Pekelo


    I expect more downside but I want to roll into the December contracts. In the last 3 weeks I got caught on the wrong side of the market, but a week ago I got my short signal, so it was just question of time when I would be back at breakeven...

    So the fund is still up 5+% from trading and 2% from the DCs, maintaining a healthy 2% advantage over the markets....
    #76     Sep 11, 2006
  7. Pekelo


    So end of the year, let's play with numbers.

    I stopped trading actively the fund because I was expecting an autumn pullback (which never came) and wanted to go long when that bottom occured. I guess I got caught like most real fundmanagers and they were trying to catch up to the indexes. Well, I didn't try...

    The moral of that is: if one wants to mimic an index he has to stay long for most of the time except obvious pullbacks.

    Since the S&P index finished up 13.6% if someone would have followed my strategy from January WITHOUT DOING ANYTHING, (except rolling over the position 3-4 times) that fundmanager would have made
    13.6 (SPX gain) - 3% (timepremium lost) + 4% (gain from CDs)= 14.6%, thus safely outperforming the indexes and getting pretty decent returns not to mention even more decent bonuses.

    Of course there would have been a little commission involved, well, let's see just how much:

    16 contracts (for 1 million AUM) X 4 times rollover X $5 brokersfee= $320, and incredible amount compared to one million, that is about 1/3 of 1%. Thus I can say the index would have been safely outperformed even if I account for trading cost.

    Now let's see how I actually did in the last 6 months. I only managed actively the fund for 2 months, but I managed to make a bit over 5%. Since I started in July when the market was at 0% YTD with a 20/20 the best policy would have been just stay long for the rest of the year. If somebody had got the great idea and copied my strategy going long and do nothing that manager would have ended up with the full 13.6% gain plus 2% from the CDs and only a 1.5% loss from the premium, thus outperforming the S&P just in 6 months! It pays off listening to me!!! :)

    Anyway, my half-hearted performance ended up with 5% gains from managing the position and 2% from the CDs, thus 7% for 6 months. Well, since the SPX did exactly double of that in the full year, I guess I managed the goal even with being inactive for 4 months and successfully mimiced the S&P's performance!!!

    So although I was wrong when I was out of position and I let the market ran away without me being long, but my good trading made up for that, and the goal was achieved.

    Now of course it was just for fun and an exercise to test the strategy. For more fun and entertaining purposes I will repreat the game for the next year and I will start a new thread.

    The major difference is going to be that I will be in position more of the time, thus I won't let a rally advance without me.

    Well, we all live and learn....

    Have a Happy and Profitful Year and see you next year!!!
    #77     Dec 31, 2006