For the past several years, ILF and MALTX are usually highly correlated with a
correlation coefficient hanging around 1 but before then things were not so
clean and there were periods of quite poor correlation. However, irrespective
of their correlation their portfolios are quite a bit different so they are
really apples and oranges. ILF is fixed at the S&P LA 40 Index and MALTX is
whatever the manager feels like doing on any particular day but typically has
about 100 positions in the fund with an average turnover rate of "X" days. As
a result, their relative performance will sometimes be very close and less so
at other times. The relative performance (%) for various periods picked at
random are as follows (starting date shown to present):
MALTX ILF
8/20/03 480 398
4/12/05 200 178
7/05/06 76 70
6/07/07 13 14
2/15/08 -4 -7
8/21/08 1.4 -4
9/14/09 11 9
How they behave with any particular system is a different matter and may or may
not be the same as the relative performance data which by eye appears to give
the edge to the fund.
Bill
----- Original Message -----
From: Sidney Kaiser
To: [email protected]
Sent: February 24, 2010 10:01 PM
Subject: [amibroker] Mutual funds are outperforming ETFs big time, but they
shouldn't...why?
I ran a couple of quick tests to check out this possibility. I used
ILF and MALTX from 1 Jan 2006 to date.
2 ma xover: the fund outperformed etf by a large amount but both
grossly under performed B&H.
Kirshenbaum Bands: the etf return was quite a bit greater than the fund
and both considerably out performed B&H.
etf 212% 76% b&h
fund 140% 61% b&h
For this test I did a quick optimization of the system parameters and
then ran the old V4.4 backtester to generate comparable results for the two
securities on one run. Running the same system with the same parameters over
the same time span.
Perhaps you might want to keep poking around with this idea.
Cheers
Sid
