The derived interest rate is 100 - 99.8, so 0.2%.
The reason it is different from the actual bank rate of 0.5% is because this is the average rate that banks charge each other to borrow/lend.
The banks setting these rates are largely crooked so be careful !
Search found 44 matches
- Mon May 06, 2013 7:03 am
- Forum: Futures Markets
- Topic: What Libor is referring to ?
- Replies: 2
- Views: 4960
- Tue Jan 29, 2013 1:55 am
- Forum: Testing and Simulation
- Topic: Master ETF list to emulate futures universe?
- Replies: 14
- Views: 11298
The ETF Database is a good place to start your search:
www.etfdb.com
Yahoo Finance is one place where you can download free backadjusted data but there may be others.
Hope that helps.
www.etfdb.com
Yahoo Finance is one place where you can download free backadjusted data but there may be others.
Hope that helps.
- Thu Nov 22, 2012 2:32 pm
- Forum: Money Management
- Topic: Shutting down our small fund
- Replies: 43
- Views: 45524
Ive drawn down capital base aggressively and I really dont care about missing an explosive upside move right here right now [which just aint coming] - i'd rather survive and make 5 % even if my systems make 15% in that period - its just , for me, a Golden rule - if in doubt get out - I doubt market...
- Thu Nov 22, 2012 3:29 am
- Forum: Data Providers and other non testing software
- Topic: Transtrend portfolio And European markets
- Replies: 6
- Views: 8233
Gadoli - thanks for sharing. Transtrend really are one of the best managers out there and the fact they include some instruments with very limited history goes to show they just apply their models to everything without risk of curve fitting the data. As far as equity data is concerned, once you have...
- Wed Nov 21, 2012 1:43 am
- Forum: Money Management
- Topic: Shutting down our small fund
- Replies: 43
- Views: 45524
- Mon Nov 19, 2012 9:25 am
- Forum: Money Management
- Topic: Shutting down our small fund
- Replies: 43
- Views: 45524
Chris67 mentioned these guys on another thread: http://www.iasg.com/groups/group/district-capital-management/program/diversified-program#all I had not come across this outfit before but apparently the lady who runs it began working in the business with her father in 1978. They are in a draw down of...
- Mon Nov 19, 2012 4:21 am
- Forum: Money Management
- Topic: Shutting down our small fund
- Replies: 43
- Views: 45524
Mark. Sorry to hear you have had to close your fund, my partners and I started our fund in June last year so a very similar time to yours it seems but we set a 3-year timeline for the business and funded it accordingly, I just hope (and pray) that we see the markets free up soon enough. Following on...
- Tue Nov 13, 2012 4:58 am
- Forum: Data Providers and other non testing software
- Topic: deep data history
- Replies: 10
- Views: 10788
svquant - CSI works perfectly for us on a daily basis, we cross-check it with 2 other data sources each morning and it barely misses a beat. For research purposes though, we require much longer history. Originally we thought 30 years was sufficient, but we have recently decided to focus less on the ...
- Mon Nov 12, 2012 6:27 am
- Forum: Data Providers and other non testing software
- Topic: deep data history
- Replies: 10
- Views: 10788
- Sun Nov 11, 2012 5:19 am
- Forum: Data Providers and other non testing software
- Topic: deep data history
- Replies: 10
- Views: 10788
deep data history
Does anybody know where I can get some very long term futures data, preferably backadjusted but not vital ? I use CSI and they are very good but only have long history for a few commodities.
- Fri Oct 05, 2012 9:58 am
- Forum: Money Management
- Topic: negative rates being charged on margins
- Replies: 1
- Views: 5591
negative rates being charged on margins
I have just been told that I will be charged negative interest rates (LIBOR -1%) on margin posted at the exchange, regardless of net positive cash balance (ie cash excess after margin) ! This is as a result of the General Clearing Members looking for new revenue streams at a time of low volumes and ...
- Sun Jan 01, 2012 7:02 am
- Forum: Testing and Simulation
- Topic: When Market move steady
- Replies: 1
- Views: 2328
I have often wondered about this very same thing. It usually occurs on low volume markets or during quiet periods such as out-of-hours or holiday periods. Computer market-making (HFT) is most likely the reason of the pattern, kicked off by a single or small number of relatively large orders. I am gu...
- Thu Oct 06, 2011 4:58 am
- Forum: Testing and Simulation
- Topic: Measuring your correlation to professional futures traders
- Replies: 56
- Views: 37624
- Thu Sep 29, 2011 7:30 am
- Forum: Testing and Simulation
- Topic: Measuring your correlation to professional futures traders
- Replies: 56
- Views: 37624
- Thu Sep 29, 2011 5:50 am
- Forum: Testing and Simulation
- Topic: Measuring your correlation to professional futures traders
- Replies: 56
- Views: 37624
- Wed Sep 28, 2011 1:26 pm
- Forum: Testing and Simulation
- Topic: Measuring your correlation to professional futures traders
- Replies: 56
- Views: 37624
Thanks Sluggo. I already manage a fund and I know how it correlates to others (I should have told you this first, I know) but looking at it from the point of view of those folks who allocate to CTAs is that number more attractive if it's below a certain level ? I've heard 0.75 mentioned but that doe...
- Wed Sep 28, 2011 7:15 am
- Forum: Testing and Simulation
- Topic: Measuring your correlation to professional futures traders
- Replies: 56
- Views: 37624
- Wed Jul 20, 2011 3:31 am
- Forum: Money Management
- Topic: How Fund Manager places order on market?
- Replies: 4
- Views: 6212
- Thu Mar 24, 2011 8:56 am
- Forum: Data Providers and other non testing software
- Topic: Linking historical DM spot to current Euro spot now possible
- Replies: 14
- Views: 17374
- Wed Mar 23, 2011 4:40 pm
- Forum: Data Providers and other non testing software
- Topic: Linking historical DM spot to current Euro spot now possible
- Replies: 14
- Views: 17374
Sorry Josh, I meant to say originally that I was trying to link Nikkei SSI_54 to the NK futures contract. What I am trying to achieve is to extend the Nikkei future back to 1985 using representative data so that I can use it for correlation purposes. The idea was to splice the SSI cash contract onto...