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In a message dated 12/29/01 11:27:26 AM Central Standard Time,
markbrown@xxxxxxxxxxxxx writes:
<< Hello I4Lothian,
Iac> ***** That is why I nominate you to be one of the managers. Do
Iac> you accept?
i guess i have no problem with it as long as i think of it as gambling
and not trading. besides i would love to knock some heads with these
guys. let's see if pit savvy can out perform super computing.
&&&&& It would not be gambling because there is no real money at risk. Call
it simulation or academic exercise. But you can internally justify it anyway
you want, as long as you participate.
Iac> **** I am not sure what you mean by flipping. The Xfunds will
Iac> change every two weeks. I am just recommending a combination of
Iac> fixed and variable Xfunds, but for this exercise I am trying to
Iac> have the Shadow traders create their own 2 week variable
Iac> components.
can you give me a better example? like first would i have to use only
cbot products? and would i have to basically do like a flex option,
you put it on and that's it - you can not adjust it or get out of it.
&&&&&&& Yes, you can only use CBOT products to start with. I believe that is
how the real Xfunds are going to start. The components you would pick and
their positions would have to remain the same for the two week period. So if
you pick long dow, short bonds, long beans and long corn, that is the
positions for the two weeks. The performance you achieve would be judged
only on the performance at the end of the two weeks. Thus, we have in effect
created a different time frame upon which to base out position selections.
i guess i would put on a position with a basket and then be committed
till the designated expiration? sounds like fun "not" so can the
basket be long some items and short others? and different size
contract amounts rather that one of each. i have a good idea for
balancing this out.
&&&&&& Yes, the basket can be long some contracts and short others. I
believe the contract sizes will allow for only one unit per component. We
will see when the CBOT comes out with the final contract specs. Until that
time, lets assume it is one contract for each of the four components.
i really want to know "when i say flipping" is can i change my
positions from long to short in the basket intra expiration, i would
really like the option to flip from long to short. let's say i was
short the bonds and long the financial's in mid stream i may wish to
flip my short bonds to a long bond position. or am i committed in
size, product, direction ect. till expiration?
&&&&&& You are committed to the position until expiration. There is no
changing the components in mid stream. However, if one of your models says
go short bonds and the Xfund is long, you can certainly sell 1 or 2 bonds to
try to profit from your other models. But that would have nothing to do with
the performance of the basket you selected for the Shadow Xfund.
&&&&& Thanks Mark, I will include you in the list of 5 managers.
Regards,
John J. Lothian
Disclosure: Futures trading involves financial risk, lots of it! John J.
Lothian is the President of the Electronic Trading Division of The Price
Futures Group, Inc., an Introducing Broker.
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