[JonathanE]

Hello,

not sure I'm in the right spot.

however, in all offers here couldn't find any ref to benchmarks.

When proposed something my first is to figure out which beta are we up
to try and short it, and extract the alpha of the operator.

Just to have a fixed percentage is not meaning a lot, really.

Cheers,
e

[contrarian]

Not sure you're in the right place either.

Was there a point to that post?

[JonathanE]

hello,

point being:

whenever a trading system, model, investment, ... is proposed,
would be helpful to have an idea of a benchmark, i.e. index, market
direction, basket, ... to measure the performance against.

Noticed in the few posts I came across that there is no indication of such.

Cheers,
e

[contrarian]

I hear ya.
That would be 'in an ideal world' ;-]

Also, not all systems, models, investments are capable of being benchmarked in such a way, or people benchmark them against the wrong index/basket/whatever

And lastly, considering where you are, would you believe it?
;-]

Cheers,
Contrarian

[globalforex]

What is alpha...beta...and the post about? Is this a kind of system or just a rant?

[JonathanE]

Originally Posted by globalforex

What is alpha...beta...and the post about? Is this a kind of system or just a rant?

maybe both.

To put it simple, in a managed investment, beta is the performance of the underlying benchmark or reference, alpha is what the fund manager adds of her own. A 20% result can be good or bad according to the reference. Even
a negative beta outcome is acceptable, since the benchmark can be hedged.

Cheers,
e

[contrarian]

What is alpha...beta...and the post about? Is this a kind of system or just a rant?

From the educated lady?

Come on...
Check here if you're not sure
;-]

EDIT: Aaw... bummer, my link didn't work...

[contrarian]

What would you / could you benchmark a managed forex or futures service against, aside from other cta's?

The fund/asset managers index could work, but I've seen people try it in both cases.
1. They pick the worst performing cta's/trader's record and make themselves look like superman.
2. They worm their way out of a 'true' benchmark, by saying their 'service' is ever so different from the FM/AM index Benchmark
OR
3. They pick a global index, and still get it wrong, like the S&P500, instead of the S&P100 (ala Madoff for example)

You'd have to be able to compare apples with apples, which is tricky in the best of cases IMO.

But, again, it is a good thought and I for one would love to see it.

EDIT: I meant to add, you'd also have to firstly be a cta/cpo/hedge fund manager/whatever, in order to benchmark yourself against a similar group/basket/index.
I see very few on here.

[JonathanE]

Originally Posted by contrarian

What would you / could you benchmark a managed forex or futures service against, aside from other cta's?

Guess it's not straightforward ...

Unless the managed account is totally discretionary, would love to have at least some notion on the effects of volatility, or other indicators in the model.

That could prompt me to cover with options, sell a crossing, or something like that.

Read somewhere they use sentiment for that.

Cheers,
e

[contrarian]

Read somewhere they use sentiment for that

You mean like COT?