I think you are probably right, which is quite disappointing. When Morningstar says a mutual fund and an ETF have a .97 correlation over 3 years, they use month-end data for 36 data points. Using daily, I've seen them dip below .90 often. That could be it, however, as I mentioned in another reply, if I take the trades generated by one of my strategies for a mutual fund and manually go through and replace the buy prices with the prices from a similar ETF, the performance is pretty close. That's the one part I don;t understand. I'm tempted to run the strategies with the mutual fund EOD data and actually buy and sell the ETF instead.
What is the fastest way to plot 2 symbols and their correlation to each other in Amibroker? --- In [email protected], "wavemechanic" <fim...@...> wrote: > > I suspect that the correlation is not as good as you suspect, reflecting the > difference in portfolios. Plot the relative performance of the two or the > correlation between them and see if they are strongly correlated. > > Bill > ----- Original Message ----- > From: graphman27 > To: [email protected] > Sent: February 23, 2010 2:49 AM > Subject: [amibroker] Mutual funds are outperforming ETFs big time, but they > shouldn't...why? > > > I'm a new user of Amibroker and am spending weeks converting my old Window > on Wall Street simple formulas to Amibroker. It's been a steep learning > curve, but here is my problem. An example: > > When I take a simple strategy, such as a MA crossover system and run it > with a mutual fund, say a Latin America fund, I'll get profit up 300% in 7 > years, as an example. I'll then take a very similar ETF, that has a 99% > correlation to the mutual fund and has the nearly identical buy & hold return > as the mutual fund, but the performance for the ETF may be half or even only > 1/3 of what the mutual fund was. > > I use Yahoo Finance's EOD data, so could that be the problem? Maybe the > stops I have set up are based on more than EOD close. I've tried changing > the buy price settings every way possible (Open+1, Close+1, > Average+1...etc.), but I can't get good numbers. The only change I can make > gets great results, but is unrealistic: Open+0. Amibroker support says that > isn't right for EOD data anyway. > > I'm hoping my settings are off or some formulas (like stochastics) are > based on more than close and that could be my problem. However, even the > formulas that are 100% based on close are showing poor results. > > Any advice? Aren't ETFs going to perform better due to intraday trading? > > Thanks! > > > > ------------------------------------ > > **** IMPORTANT PLEASE READ **** > This group is for the discussion between users only. > This is *NOT* technical support channel. > > TO GET TECHNICAL SUPPORT send an e-mail directly to > SUPPORT {at} amibroker.com > > TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at > http://www.amibroker.com/feedback/ > (submissions sent via other channels won't be considered) > > For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG: > http://www.amibroker.com/devlog/ > > Yahoo! Groups Links >
