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Re: Mohamed El-Erian's "Portfolio for a New Era" -DXCTX DeerIslander  07-04-2008, 6:06 PM | Post #2535611
2  

Erryl et al --

Several thoughts and comments on DCTCX:

  • My Fido ATP accepts an NTF order for DCTCX just fine as of this PM.
  • The Fund Fact Sheet is HERE.
  • The fund as constructed is a simple momentum trading vehicle. The fund goes long when price crosses above the applicable 7MoEMA and short when it crosses below. Note that since it is using a monthly moving average the lag between signal and move could be more than a month and in a worst case more than 1 month. It is not like using a 140 day EMA which is basically the same duration but much more time sensitive.  So it is not like you have a seat in the grain pits and your own trader. In fact the model is so simple you could essentially run it yourself trading 6 or so ETFs and even use a daily instead of a monthly model.
  • Still that simple model may beat a Buy and Hold model over time. At least the backtesting looks good but some of that period was before commodity investing became so fast and furious and may be of limited practical relevance. Further the 7MoMA smacks a bit of model fitting to get the best result with backtesting since I don't know why 7 versus 4, 6 or 12.
  • Note The Fund deviates from the model for Energy in that it never goes short energy. The Fund only does Long and Neutral. (If you want to go short Energy you must talk to our intrepid UH.)
  • While a very short term indicator since its introduction on June 11 it has lagged DBC and PCRIX by a whopping 6%. Admittledly it is less than 1 month but 6% underperformance in less than a month requires some further cogitation. That says to me I might be a little patient.

Anyway for what it is worth.

 

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